一、主題：An Endogenous Money Creation Framework to Analyse Default and Maturity Mismatch

二、主講人：王軒，英國牛津大學賽德商學院金融經濟學博士研究生。他本科畢業于對外經濟貿易大學，獲得牛津大學的經濟學碩士學位。研究領域是貨币經濟學，主要研究現代銀行體系貨币的内生創造機制和貨币區的可持續性。他目前在牛津大學講授金融經濟學和高級資産定價的博士生課程。他曾擔任英格蘭銀行的研究員。

三、時間：2017年9月6日（周三），12:30-13:30

四、地點：學院南路校區主教學樓910會議室

五、主持人：黃志剛，bevictor伟德官网副教授

Abstract: This paper aims to complement the recent advances in endogenous money creation and uses dynamic stochastic general equilibrium (DSGE) to model the banking sector in three ways. Firstly, we introduce endogenous maturity mismatch in the heterogeneous banking sector, where the retail bank uses short-term borrowings to provide the firms with long-term corporate loans. Secondly, hitherto neglected components such as endogenous default and money via cash-in-advance (CIA) constraints via bank's money creation are incorporated so that liquidity and default are the reasons for the influence of money injections on real economic variables. Lastly, the model analyses the macro-prudential instrument Net Stable Funding Ratio (NSFR), which is designed to reduce the overall maturity mismatch. With a calibrated DSGE model, we micro-found default and maturity mismatch and analyse how they feed into real economic variables, particularly the term structure of various interest rates, and we have found that a fall in maturity mismatch typically reduces the default rates of the firms and the retail bank. Moreover, we simulate the quantitative impact of the macro-prudential policy tool NSFR on the economy and search for optimal policy reaction functions that induce the most welfare gains.