負債加重,金融資産,及び金融の不安定性

抄録

Minsky (1982; 1986) proposed a financial instability hypothesis, which emphasized that the complicated financial structure underlying the capitalist economy generates business fluctuations and cycles. Many non-neo-classical economists have developed his idea since Taylor and O'Connell (1985), who proved that an economy would fall into a financial crisis when a decline in expected profit rates aggravated the financial condition of firms and increased household preferences for liquidity. Recent works, for example, by Chiarella, Flaschel and Semmler (2001), Asada (2006; 2007), and Ninomiya and Sanyal (2009), incorporated the dynamic equation of the debt burden of firms into non-linear economic dynamic models to indicate financial conditions. On the other hand, Bernanke and Gertler (1989) proposed a financial accelerator hypothesis, which emphasized a strong affinity between assets and economic activity. Uchida (1987) and Ueda (2006) reformulated Taylor and O'Connell's idea by introducing the notion of risk aversion into the theory of portfolio selection under uncertainty and discussed financial instability. In fact, the stock of financial assets of households increased outstandingly and households preferred to invest risky assets during the bubble economy in Japan in the latter half of the 1980s. Uchida and Ueda's discussions are interesting, but their models are mainly comparative static analysis. This paper introduces Uchida and Ueda's idea into a macrodynamic model of financial instability in an oligopolistic (or short-run) economy. We construct a model by incorporating the dynamic equations of the debt burden of firms and financial assets of households and demonstrate financial instability. For example, the stock of financial assets increases when an economy is expanding. A decrease of risk aversion leads the investors to shift portfolio preferences toward bonds that are risky assets. As a result, the increase in wealth leads to a decrease in interest rate. The decrease in interest rate promotes investment demand. The dynamic system becomes unstable in this case. This paper also demonstrates that there is a closed orbit in the model by applying the Hopf bifurcation theorem.