数理解析研究所講究録 1215 巻 2001 年 102-102

102
A MACRODYNAMIC MODEL OF FINANCIAL INSTABILITY

Hideyuki Adachi (Kobe University)
ABSTRACT
Hyman Minsky has provided interesting theories on financial crises based on hisGeneral Theory. Though the detail ofhis theory is rich and illuminating,it is not developed as aformal model. To elaborate his work formally has been attempted by some(1985) among others develop an ingenious macro model thatauthors. Taylor and$\mathrm{i}\mathrm{n}0\mathrm{o}\mathrm{e}\mathrm{r}\mathrm{p}\mathrm{r}\mathrm{e}\mathrm{t}\mathrm{a}\dot{\mathrm{b}}\mathrm{o}\mathrm{n}\mathrm{s}\mathrm{o}\mathrm{f}\mathrm{K}\mathrm{e}\mathrm{y}\mathrm{n}\mathrm{e}\mathrm{s}’\mathrm{s}$$\mathrm{O}’\mathrm{C}\mathrm{o}\mathrm{m}\mathrm{e}\mathrm{U}$iUusffaOes Minsky’s financial crisis theories. Their model is characterized by two assumptions: thefirst is that the level of nominal wealth is determined macroeconomically, depending on the state ofconfidence, and the second is that there is high substitutability betweenof fims and moneyin the public’s portfolio. Though their attempt isand valuable, it fails to capture antheories, i.e., the role of financial inkmediaries. Minsky stresses theimportant element ofimportance intermediaries in accelerating boom or crisis through expansion or contraction of credit.
It may be essential, therefore, to take into account the role of banking system in modeling his theories.
Taylor andonly point out its importance, and do not discuss it in detail.
Another aspects of Minsky’s theories that Taylor and O’Connell’s model fails to formalize is thethemselves,microeconomic foundations. As
theories are both microeconomicallydetailed and institutional.” Though it is beyond the scope of asimple mathematical model toconsider
the microeconomic details of Minsky’s theories, it may be desirable to pay suitableattention to behavioral aspects of firms, households and banks.
The purpose of this paper is to reconstruct amodel that iUuffiaOoes Minsky’s financial crisis,considering those respects. Our model may be characterized by the following respects: (1) it is basedon appropriate microeconomic foundations; (2) it formulatesof banks; (3) it takes into
account hability structures {?}f&ms; and finally, (4) it assigns acentral role to expectations of firms,
households and banks. Using this model, we will examine causes and consequences of financial
instabillly. Our model, however, not only illustrates Minsky’s financial crisis, but more generaly
serves to elucidate the role of and financial factors behind the fluctuations ofthe economy.
The paper is organized as follows. Section II discusses investment and financing decisions offirms. Section III discusses portfolio decisions by households and credit creation by banks. Sections
IV andexamine the equilibrium conditions in the commodity market and in the financial market,. Section VI analyzes the simultaneous determination of the rate of profiL the rate ofinterest rate and the price of equity in the short-run. Section VII extends the analysis to dynamics
around asteady state in which high-powered money grows at aconstant rate, and presents$\mathrm{l}\mathrm{i}\mathrm{a}\mathrm{b}\mathrm{i}\mathrm{h}.\dot{\mathrm{d}}\mathrm{e}\mathrm{s}$$\mathrm{i}\mathrm{n}\mathrm{b}\mathrm{r}\mathrm{e}\mathrm{s}\dot{\mathrm{U}}\mathrm{n}_{\mathrm{o}}\sigma$$\mathrm{M}\mathrm{i}\cdot \mathrm{s}\mathrm{k}\mathrm{y}\mathrm{s}$$\mathrm{O}’\mathrm{C}\mathrm{o}\mathrm{m}\mathrm{e}\mathrm{U}$$\mathrm{t}\mathrm{h}\mathrm{e}\mathrm{y}\dot{\mathrm{n}}0\dot{\mathrm{d}}\infty$$\prime\prime \mathrm{M}\mathrm{n}\mathrm{s}\mathrm{k}\mathrm{y}’\mathrm{s}$$\mathrm{a}\mathbb{I}$$\mathrm{c}\mathrm{r}\mathrm{e}\mathrm{d}\mathrm{i}\mathrm{t}.\mathrm{c}\mathrm{r}\mathrm{e}\mathrm{a}\dot{\mathrm{u}}\mathrm{o}\mathrm{n}$$\mathrm{V}$$\mathrm{r}\mathrm{e}\mathrm{s}\mathrm{p}\mathrm{e}\mathrm{c}\dot{\mathrm{b}}\mathrm{v}\mathrm{e}\mathrm{l}\mathrm{y}$observations on financial instabilities