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「バーナンキ他「エージェンシーコスト、純資産、景気循環」AER 1989」の編集履歴(バックアップ)一覧に戻る

バーナンキ他「エージェンシーコスト、純資産、景気循環」AER 1989 - (2010/03/17 (水) 07:44:58) のソース

**Agency Costs, Net Worth, and Business Fluctuations 
By BEN BERNANKE AND MARK GERTLER

***Abstract
この論文では債務者のバランスシートの状態が産出の変動の原因となるようなシンプルな新古典派の景気循環モデルを構築する。債務者のもつ純資産の価値が高いほど設備投資資金調達のためのエージェンシーコストが軽減されるというのがメカニズムである。好景気は純資産の価値を高め、エージェンシーコストを減少させ、投資を増加させ、このためさらなる好景気を生むのである。また不況においては同様に不況を加速するのだ。(デットデフレーションで見られるような)純資産へのショックは変動のきっかけになりうるであろう。

***Introduction
多くの景気循環論研究者が、企業や家計のバランスシートの状態(=債務者の支払能力や信用力)がマクロ経済活動の大事な決定要素であると主張してきた。例えばFrederic Mishkin (1978) と Ben Bernanke (1983) は債務者の毀損したバランスシートは大恐慌を悪化させる原因となったと論じている。また、Otto Eckstein and Allen Sinai (1986) は企業のバランスシートの科目を景気循環分析の中心に据えている。バランスシートの状態と家計や企業の支出の意思決定が関係していることを多くの研究が示している。

この論文で、我々は景気循環におけるバランスシートの役割を厳密に分析する。用いる枠組みはリアルビジネスサイクルモデルをベースにしたものであり、投資を企画し管理する企業家と彼らへの融資を行う投資家との間の情報の非対称性を特徴とするようなものである。具体的には、Robert Townsend (1979, 1988) にあるような「有償状態監査(costly state verification)」問題を考える。この情報の非対称性はモジリアーニ・ミラー定理の適用を不可能にし、実物と「会計」(つまりバランスシート)要因との間の興味深い関係の可能性を持ち込むのである。
 
バランスシートのいくつかの側面は潜在的にマクロ経済学者にとって興味を引くものだ。我々が特に注目するバランスシート科目は純資産である。純資産は次の理由で重要であると考えられる。借り手と貸し手の間に情報の非対称性がある時は常に、最適な契約は完全情報における最善の均衡に較べて死荷重(エージェンシーコスト)を引き起こす。これらのコストは「内部」資金に較べてより高い「外部」資金のコストであることの証拠となってしまう((原文:these costs manifest themselves as a higher cost of "external," as compared to "internal," funds))。ここで使われているモデルや、ほとんどの標準的なプリンシパルエージェントモデルにおいて、潜在的な借り手の純資産が大きければ大きいほど最適契約によってもたらされるエージェンシーコストの期待値は小さくなる。よって、金融「困窮」の期間は投資のエージェンシーコストが相対的に高い期間でもある。

マクロ経済のレベルでは、借り手の純資産と投資のエージェンシーコストの逆相関は少なくとも二つの重要なインプリーケーションを含んでいる。第一に、借り手の純資産は景気循環に同調的(好況時には支払能力が高まる)になりがちなため、好況時にはエージェンシーコストは小さくなり、不況時には高まる。この論文ではこのことがエージェンシーコストがない時にはどちらの現象も起きないような環境に投資の変動と循環の持続性を導入するのに十分であることを示す。ある種の加速装置としての効果を生むのである。第二に、総需要とは無関係に起きる借り手の純資産へのショックは実質変動の原因となる。一つの解釈がIrving Fisher (1933) によって最初に分析されたデット・デフレーションである。デット・デフレーションの間、物価水準の予期せぬ下落のため(または借り手の担保、例えば農場、の相対価格の下落のため)、借り手の純資産価値の下落が起きる。これによって投資計画に最も直接的な関わりを持つ人々の信用力が突然低下してしまう(彼らに融資することに対するエージェンシーコストが高まる)。結果としての投資の減少は総需要と総供給の両方に負の影響を与える。次節以降で示すモデルを使って借り手の純資産へのショックのマクロ経済へ与える影響の予備的な分析を行う。

We have tried to conduct our analysis solely from first principles. In particular, we derive the form of all financial arrangements endogenously, and we do not rule out randomizing strategies and lotteries. The model is thus necessarily simple, and our analysis should be viewed as an attempt to obtain qualitative insights, rather than to provide an empirically realistic description of realfinancial interactions. Other papers in this area which proceed in a general manner similar to ours include those of Roger Farmer (1984), Bruce Greenwald and Joseph Stiglitz (1986), and Stephen Williamson (1987). 

The plan of this paper is as follows: Section I lays out the assumptions of the model. Section II analyzes the benchmark-perfect information case. The equilibrium in this case is rigged to involve no business cycle dynamics (investment is constant and output fluctuations are serially independent). Section III introduces asymmetric information and agency costs. Section III, Parts A, B consider optimal lending contracts and the entrepreneurial investment decision for this case. Implications for macroeconomic equilibrium dynamics are investigated in Section III, Parts C, D; we show that, in contrast to the perfect-information case, the economy with agency costs exhibits persistent fluctuations in investment and output, and that redistributions between borrowers and lenders (as in a debt-deflation) have real aggregate effects. Section IV concludes. Additional results on the nature of the optimal contract under "costly state verification" are presented in the Appendix. 


***IV. Conclusion 
We have constructed a simple neoclassical model of intrinsic business cycle dynamics in which borrowers' balance sheet positions play an important role. The critical insight is that the agency costs of undertaking physical investments are inversely related to the entrepreneur's/borrower's net worth. As a result, accelerator effects on investment emerge: Strengthened borrower balance sheets resulting from good times expand investment demand, which in turn tends to amplify the upturn; weakened balance sheets in bad times do just the opposite. The aggregate effects of productivity shocks may be asymmetric (since the agency problem may only bind on the "down" side). Further, redistributions or other shocks that affect borrowers' balance sheets (as may occur in a debt-deflation) will have aggregate real effects. 

We have investigated extensions of this approach in related work. Our 1987 paper studies the macroeconomic implications of agency costs in a richer model of the investment process. In that model, projects differ ex ante (not just ex post, as in the costly state verification model), borrowers are able to obtain private information about project quality by incurring an evaluation cost, and borrowers must decide whether to proceed with projects that they have evaluated. The analysis of that model shows that the concept of "agency costs" relevant to macroeconomic fluctuations is much broader than the monitoring costs of the present paper: "Agency costs" should include any deviation from first-best outcomes associated with the necessity of external finance (whether it be through debt or other instruments). This result is important for interpreting the model empirically. Our companion paper also verifies the robustness of this basic approach to variations in assumptions about endowments and the information structure, and to permitting coaliti'ons among entrepreneurs. 

We have not discussed policy implications in the present paper. While, as in most OG models, the competitive solution of our model economy is not guaranteed to be Pareto optimal, it is efficient in a limited, intra-generational sense.32 Issues of efficiency and policy are taken up at greater length in our 1987 paper. In particular, that paper discusses whether a policy of "debtor bailouts" (redistributions from lenders to borrowers) may be desirable when borrower net worth is low. Also addressed there is the issue of whether agency costs typically lead to "under"or "over" investment on average. 

Finally, it is important to find out whether the qualitative results of this paper go through when borrowers and lenders are able to make contacts that last many periods. This has been done by Gertler (1988). In an n-period setting, he shows that the concept of "borrower net worth" should be augmented to include not just current endowments (as in the present paper), but also the " most secure" portion of expected future profits; thus, agency costs depend not only on current wealth but also on expected future conditions. He demonstrates that this can induce additional interesting cyclical dynamics into the aggregate economy. 

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