货币机器内部：流动性、到期日和信贷转换建模

Inside (the) Money Machine:Modeling Liquidity, Maturity andCredit Transformations Shalva Mkhatrishvili WP/25/166 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025AUG IMF Working Paper Institute for Capacity Development Inside (the) Money Machine:ModelingLiquidity,Maturity andCreditTransformations Prepared byShalva Mkhatrishvili Authorized for distribution by Natan EpsteinAugust 2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Thekey function ofbanks in the real world is endogenously creating(inside) money. But theydo sofacing solvency, liquidityandmaturity risks andbeing subject toregulatory and demand constraints.These five aspects, representing the eventual breaks on banks’ money-creation abilities, are tightly andnonlinearly interlinked. Yet,there is notractable quantitative macro framework that models endogenousmoney creationwhilesimultaneouslyaddressingtheseinterlinkages. In this paper we develop atractablemacro-bankingmodeltrying tofill this gap, emphasizing two key frictions:thecapital adequacy constraint(generatinga credit risk premium)andthecentral bank’s collateral base constraint(generatingaliquidityrisk premium). The model simulations produce conclusions, about both normaltimesas well as stressepisodes,many of which were frequently overlooked.For instance,it shows how–within capitalrequirements–setting lower risk weights on secured loansmaylead to an expansion of unsecured loans.It alsorevealssubtleinteractions between capital and liquidity regulations.The model also creates acertainbridge between a money-centered view of the price level and the fiscal theory of the pricelevel. Inside (the) Money Machine:ModelingLiquidity,Maturity andCreditTransformations PreparedbyShalva Mkhatrishvili1 Contents 3.1.Balance sheets and timeline.............................................................................................................103.2.Objective function of banks...............................................................................................................123.3.Introducing demand constraints to banks.........................................................................................143.4.Introducing exogenous bank runs.....................................................................................................153.5.Introducing endogenous bank runs...................................................................................................173.6.Introducing bank defaults..................................................................................................................183.7.Putting everything together...............................................................................................................193.8.Law of motion for banks’ equity........................................................................................................22 4.Modeling setup: nonfinancial sector.................................................................................................25 4.1.Households.......................................................................................................................................254.2.Producers..........................................................................................................................................284.3.Distributors........................................................................................................................................284.4.Entrepreneurs...................................................................................................................................294.5.Macro policies...................................................................................................................................29 5.Key policy-relevant simulations.........................................................................................................30 5.1.Calibration.........................................................................................................................................305.2.Impulse response analysis................................................................................................................325.3.Transition dynamics..........................................................................................................................37 1.Introduction “All models are wrong, but some are useful”George Box What does a macro-banking model need to have to be useful? It needs to