A
MACRODYNAMIC MODEL OF
FINANCIAL
INSTABILITY
HideyukiAdachi (Kobe University) ABSTRACT
Hyman Minsky has provided interesting theories
on
financial crises basedon
his $\mathrm{i}\mathrm{n}0\mathrm{o}\mathrm{e}\mathrm{r}\mathrm{p}\mathrm{r}\mathrm{e}\mathrm{t}\mathrm{a}\dot{\mathrm{b}}\mathrm{o}\mathrm{n}\mathrm{s}\mathrm{o}\mathrm{f}\mathrm{K}\mathrm{e}\mathrm{y}\mathrm{n}\mathrm{e}\mathrm{s}’\mathrm{s}$GeneralTheory. Thoughthe detail ofhistheoryis rich andilluminating, it isnot developedas
aformalmodel. To elaborate his work formallyhasbeenattempted bysome
authors. Taylor and $\mathrm{O}’\mathrm{C}\mathrm{o}\mathrm{m}\mathrm{e}\mathrm{U}$ (1985) among others develop
an
ingeniousmacro
model thatiUusffaOes Minsky’sfinancial crisis theories. Theirmodel ischaracterizedbytwoassumptions: the first is that the level of nominal wealth is determinedmacroeconomically, depending
on
the state ofconfidence,and the secondisthat there ishigh substitutabilitybetween$\mathrm{l}\mathrm{i}\mathrm{a}\mathrm{b}\mathrm{i}\mathrm{h}.\dot{\mathrm{d}}\mathrm{e}\mathrm{s}$ of fimsand money
in the public’s portfolio. Though their attempt is $\mathrm{i}\mathrm{n}\mathrm{b}\mathrm{r}\mathrm{e}\mathrm{s}\dot{\mathrm{U}}\mathrm{n}_{\mathrm{o}}\sigma$ and valuable, it fails to capture an
importantelement of$\mathrm{M}\mathrm{i}\cdot \mathrm{s}\mathrm{k}\mathrm{y}\mathrm{s}$theories, i.e.,the roleof financial inkmediaries. Minskystressesthe
importance intermediariesinacceleratingboom
or
crisisthrough expansionor
contraction ofcredit.It may beessential,therefore, totake intoaccounttherole ofbankingsysteminmodelinghis theories.
Taylorand$\mathrm{O}’\mathrm{C}\mathrm{o}\mathrm{m}\mathrm{e}\mathrm{U}$
only point outitsimportance,and donotdiscuss it indetail.
Anotheraspectsof Minsky’s theories thatTaylorandO’Connell’smodelfailstoformalize is the microeconomicfoundations. As$\mathrm{t}\mathrm{h}\mathrm{e}\mathrm{y}\dot{\mathrm{n}}0\dot{\mathrm{d}}\infty$themselves,$\prime\prime \mathrm{M}\mathrm{n}\mathrm{s}\mathrm{k}\mathrm{y}’\mathrm{s}$ theories
are
bothmicroeconomicallydetailed and institutional.” Though it is beyond the scope of asimple mathematical model to
consider $\mathrm{a}\mathbb{I}$ the microeconomic details of Minsky’s theories, it may
be desirable to pay suitable attentionto behavioralaspectsoffirms,households andbanks.
The purpose of this paper is to reconstruct amodel that iUuffiaOoes Minsky’sfinancial crisis,
consideringthoserespects. Ourmodel may becharacterizedbythefollowingrespects:(1)itisbased
on
appropriatemicroeconomicfoundations; (2)itformulates$\mathrm{c}\mathrm{r}\mathrm{e}\mathrm{d}\mathrm{i}\mathrm{t}.\mathrm{c}\mathrm{r}\mathrm{e}\mathrm{a}\dot{\mathrm{u}}\mathrm{o}\mathrm{n}$ ofbanks; (3)it takes intoaccounthability structures {?}f&ms; andfinally, (4) it assigns acentral role toexpectationsoffirms,
households and banks. Using this model,
we
will examinecauses
and consequences of financialinstabillly.
Our
model, however, notonly illustrates Minsky’s financial crisis, butmore
generalyserves
toelucidatethe role of and financial factors behind the fluctuations ofthe economy.The paper is organized
as
follows. Section II discusses investmentand financing decisions of firms. Section III discussesportfoliodecisionsbyhouseholds and credit creationbybanks. Sections IV and $\mathrm{V}$examine theequilibriumconditions in thecommoditymarket and in the financialmarket,
$\mathrm{r}\mathrm{e}\mathrm{s}\mathrm{p}\mathrm{e}\mathrm{c}\dot{\mathrm{b}}\mathrm{v}\mathrm{e}\mathrm{l}\mathrm{y}$
.
Section
VI analyzes the simultaneous determination ofthe rate ofprofiL therate of interestrate and theprice ofequityin the short-run.
Section
VII extends the analysis to dynamicsaround asteady state in which high-powered money grows at aconstant rate, and presents observations
on
financial instabilities数理解析研究所講究録 1215 巻 2001 年 102-102
