货币机器内部：流动性、到期日和信贷转换建模（英）

Inside (the) Money Machine: Modeling Liquidity, Maturity and Shalva Mkhatrishvili WP/25/166 IMF Working Papersdescribe research inprogress by the author(s) and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers are 2025AUG IMF Working Paper Institute for Capacity Development Prepared byShalva Mkhatrishvili Authorized for distribution by Natan Epstein 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 the 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 WORKING PAPERS Inside (the) Money Machine:ModelingLiquidity,Maturity and PreparedbyShalva Mkhatrishvili 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..................................................................................................................18 4.1.Households.......................................................................................................................................254.2.Producers..........................................................................................................................................284.3.Distributors........................................................................................................................................284.4.Entrepreneurs...................................................................................................................................29 5.Key policy-relevant simulations.........................................................................................................30 5.1.Calibration.........................................................................................................................................305.2.Impulse response analysis................................................................................................................325.3.Transition dynamics..........................................................................................................................37 Conclusions.........................................................................................................................................45 Appendix 1–summary of all model implications..........................................................................................45 Appendix 2–deriving key interest rate equations........................................................................................55 References.........................................................................................................................................................58 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 incorporate banks’main real-life function–endogenous(inside)money creation by liquidity, maturity and credittransformations,subject to regulatory and demand constraints.2Theway that themacromodelingliteratureincorporatesbanksis mostlyat odds with their real-lifemain functions(e.g.literal intermediation of real resources,a laloanable funds theory) or which capture only some Yet, there is no tractableequilibriummacro-banking model in the literature that addressesallthose issues simultaneously and endogenously. Goodhart (2009) provides a summary of thisshortcoming within monetary economics. This is where this paper tries tofill the gap.Wedevelop a macro-banking theory, resulting in a tractable model that qualitativelyand, in mostcases,quantitatively provides realistic and intuitive causal answers to several dozen highlypolicy-relevant questions at the intersection ofmacroeconomicsand finan