IMF-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 Credit Transformations Shalva Mkhatrishvili WP/25/166 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 AUG * I’d like to thank Andre Roncaglia, Bas van der Klaauw, Divya Kirti, Douglas Laxton, Gunseli Tumer-Alkan, JohnCochrane, Marco Gross, Natan Epstein, Pau Rabanal, Rodolfo Maino, Sascha Buetzer, Simon Gilchrist, Tobias Royand Wim Boonstra for useful comments and suggestions. All errors and omissions remain with the author. The viewsexpressed in this paper are those of the author(s) and do not necessarily represent the views of the IMF, itsExecutive Board, or IMF management.© 2025 International Monetary Fund WP/25/166 IMF Working Paper Institute for Capacity Development Inside (the) Money Machine: Modeling Liquidity, Maturity and Credit Transformations Prepared by Shalva Mkhatrishvili Authorized for distribution by Natan Epstein August 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: The key function of banks in the real world is endogenously creating (inside) money. But they do so facing solvency, liquidity and maturity risks and being subject to regulatory and demand constraints. These five aspects, representing the eventual breaks on banks’ money-creation abilities, are tightly and nonlinearly interlinked. Yet, there is no tractable quantitative macro framework that models endogenous money creation while simultaneously addressing these interlinkages. In this paper we develop a tractable macro-banking model trying to fill this gap, emphasizing two key frictions: the capital adequacy constraint (generating a credit risk premium) and the central bank’s collateral base constraint (generating a liquidity risk premium). The model simulations produce conclusions, about both normal times as well as stress episodes, many of which were frequently overlooked. For instance, it shows how – within capital requirements – setting lower risk weights on secured loans may lead to an expansion of unsecured loans. It also reveals subtle interactions between capital and liquidity regulations. The model also creates a certain bridge between a money-centered view of the price level and the fiscal theory of the price level. JEL Classification Numbers: E4, E5, G21 Keywords: Endogenous Money Creation; Monetary Policy; Macroprudential Policy; Fiscal Theory of the Price Level; Macro-Banking Modeling Author’s E-Mail Address: smkhatrishvili@imf.org WORKING PAPERS Inside (the) Money Machine: Modeling Liquidity, Matu