第76号（2011年12月）

How Does the Market-Based Intermediary Sector Affect the Business Cycle?―An Empirical Analysis Based on a DSGE Framework

須藤時仁（当研究所主任研究員）

〔要　旨〕

　Sudo [2011] developed a new-Keynesian DSGE model in which market-based intermediaries or active investors have an interactive relationship with the ultimate borrowers and lenders, and derived the following important propositions from the theoretical analysis. First, the greater the active investor’s asset size, the higher will be the expected net profits. Second, the steeper the yield curve, the greater is the asset size. These propositions together suggest that steeper yield curves will yield higher net profits to active investors. Third, the term structure of interest rates is endogenously shifted by the modified relative amounts of money and each bond that is outstanding.
　Using the developed model in Sudo [2011] and the U.S. quarterly data for 1990:Q1-2010:Q3﹨, this study performs empirical analyses and thereby empirically proves the abovementioned propositions in the model. Furthermore, the analyses indicate that the active investor sector is not only a source of the business cycle but also a fluctuation amplifier, that active investors might impede the propagation of monetary policy effects, and that although rigorous financial regulation could forestall asset price bubbles, it might not necessarily lead to economic stability.
　The results of the empirical analysis indicate that the active investor sector has significant effects on the business cycle, thus supporting the view of Adrian, Moench and Shin [2010b].