发达国家刺激经济中的定量宽松货币政策

国际金融危机中,传统货币政策在主要发达国家已失去了操作空间,为了维持虚拟经济的稳定,定量宽松货币政策被大规模使用。定量宽松货币政策是在经济陷入流动性陷阱时的一种非传统货币政策,也是虚拟经济高度发展背景下的一种必然选择。美国等发达国家的定量宽松货币政策虽然取得了一定的效果,但其对未来经济却存在着诸如通货膨胀风险等负面作用,同时这一政策的平稳退出也将是两难选择。     

Effects of Monetary Policy during Financial Market Crises and Regime Changes: An Empirical Evaluation Using a Nonlinear Vector Autoregression Model

Using monthly data for Korea, this study examines nonlinear effects of monetary policy in association with financial market distress. The study uses a nonlinear vector autoregression model and finds that monetary policy becomes ineffective for addressing huge demand contractions in times of financial market turmoil or severe economic downturn, implying a structural change from a non‐Keynesian to a Keynesian regime, such as a liquidity trap. Monetary contractions have stronger output effects than monetary expansions, particularly in times of financial distress. We found no evidence in favor of asymmetric effects of monetary shocks of different sizes. Finally, we also found financial shocks to have stronger effects on the real economy in times of financial distress than in normal times. The results have important policy implications for periods of financial turmoil or economic crisis.     

基于金融稳定目标的规则型货币政策研究

随着货币政策与金融稳定之间联系的不断深化，中央银行理应在防范金融市场系统性风险中发挥重要的作用。文章首先构建我国金融稳定指数，并将其加入线性货币政策规则，研究结果表明，中央银行在调整名义利率时的确对金融稳定状况有所关注，相比于传统泰勒规则，纳入金融稳定指数的泰勒规则中通胀系数与产出缺口系数均有显著改善，其能够更好地拟合中央银行的实际政策操作。随后，为了进一步考察货币当局对名义利率调整的动态变化特征，文章通过TVP-SV-VAR模型对拓展的时变参数泰勒规则进行了再估计。研究发现，随着经济周期和金融形势的更迭，中央银行也会不断动态调整其政策目标。其中，货币政策对通货膨胀的调控不存在明显的惰性区域，控制通胀始终是中央银行工作的重心。其次，中央银行存在规避经济收缩的偏好，在经济下行时期其对货币政策的调整会向产出缺口倾斜。最后，为了抑制金融机构的过度风险承担，货币当局在本次金融危机之后显著增强了对于金融稳定的关注。     

The Netherlands Bank's narrow monetary policy

Summary In his article Mr. Timmerman describes the way the Netherlands Bank conducts its so-called narrow monetary policy,i.e. the policy pursued in the money and foreign exchange markets. The developments during the period October 1979–July 1981 serve as example of how movements in Dutch money market rates are dominated by exogenous factors. The author concludes that in a small open economy which maintains a stable exchange rate there is no room for an independent money market policy and that the hectic developments in the international money and foreign exchange markets have made illusory what until very recently was regarded as the most important objective of the narrow monetary policy,viz. an orderly money market. P.C. Timmerman was Deputy Director of De Nederlandsche Bank N.V. and is now Managing Director of De Bank van de Nederlandse Antillen. A similar article by the author appeared inZoeklicht op beleid, liber amicorum in honour of Professor G.A. Kessler.     

On Monetary Analysis of Derivatives

Financial derivatives are products whose price is linked with that of an underlying asset. The relationship between these two prices has been studied in depth, and the following conclusions have been reached: (1) the volatility of underlying asset's price decreases after the introduction of derivatives, (2) the price discovery effect improves, (3) the liquidity of the underlying asset's market increases, (4) the bid-ask spread decreases together, and (5) the noise component of prices decreases. Those results are microeconomic and are not coherent with a macroeconomic analysis of derivatives. Derivatives tend to change the effectiveness of monetary policy actions by modifying the instruments that can be used. Derivatives have a monetary nature that has not been yet recognized by central banks and international organizations such as the International Monetary Fund and the Bank for International Settlements. This monetary nature can be evident by testing the relationship between derivatives and the interest rate. The consciousness of the monetary nature of derivatives would impose the quantification of transactions at least by the institutions that hold them, such as banks and other financial operators, and consequently by national authorities.     

Postwar monetary policy

Summary Monetary policy has played an active role in Dutch postwar economic policy. Essentially, it has sought to contribute to balanced economic growth by controlling the money supplyM ₂ in relation to national income. Policy measures extend to all sources of money creation-viz. bank credit, public sector finance and the balance of payments - and are predominantly of the quantitative type. This is reflected, among other things, in medium-term targets for the structure and outcome of the balance of payments and the size and coverage of the public sector's borrowing requirement. Internationally, the Netherlands favour and participate in stable exchange rate systems. This has not led to serious conflicts with domestic monetary objectives until the seventies, when excessive easing of monetary conditions had to be accepted temporarily.     

Economic crisis and economic policy in the thirties and the seventies

Summary This article studies the causes of the deterioration of the Dutch economy after 1930 and after 1973 and potential remedies. An originally Keynesian model from the Central Planning Bureau is extended with some crucial financial feedbacks. Foreign factors and restrictive policy explain the bulk of unemployment growth in the 1930's; the opposite holds for the 1970's. Optimal control suggests the feasibility of a somewhat less restrictive policy in the 1930's, at the cost of financial targets. Fiscal discipline, combined with a less restrictive monetary policy and wage restraint in the 1970's would have improved the initial conditions for the 1980's.We gratefully acknowledge the able assistance of L.H. van der Meiden and J.J. Graafland, also of Erasmus University. Professor S.K. Kuipers and two anonymous referees provided useful comments on an earlier version.     

Is There a Bank Lending Channel in Southern African Banking Systems?

Abstract: Macroeconomic models currently used by policymakers generally assume that the functioning of financial markets can be fully summarized by financial prices, because the Modigliani and Miller (1958) theorem holds. However, the assumption that this theorem holds is questionable. This paper argues that there are frictions in the market which traditional models based on the Modigliani and Miller theorem fail to take into account in explaining how monetary policy and other shocks are transmitted to the economy and points to new directions. A comprehensive macroeconomic model should incorporate financial market interactions to enhance the understanding of the transmission mechanisms of monetary policy and other shocks. If market dynamics are not taken into account, macroeconomic models used by policymakers may point to wrong policy choices. Motivated by the lack of assessment of the recently launched financial reforms, deregulation, consolidations, financial innovations and joint payment systems, the paper assesses the process of monetary transmission mechanism by investigating evidence of a bank lending channel in SADC during the period 1990–2006 using data from the banking sector. Data from a panel of banks is used to identify shifts in the loan supply curve in response to changes in monetary policy using a vector autoregression (VAR) model. Although the results are mixed the paper generally reports the existence of a bank‐lending channel in all SADC countries in the sample. The take‐off point for monetary policy effects differs from one country to another.     

Influence of the Banks' Money Mediation Behavior on the Monetary Policy: A Study of Korean Case

Abstract

This paper analyses how financial institutions' arbitrary intermediation behaviors, including adjustments in bank lending and deposit rates, influence monetary policy transmission channels. For the analysis, we develop a New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) model with parameters estimated to fit the Korean conditions. The role of banks is subsequently examined by classifying monetary policy transmission channels (real rate channel, nominal debt channel, financial accelerating channel, and banking attenuator channel). A notable part of this analysis is the inclusion of the banking sector in the model specifically with the intent to study transmissions from the financial sector to the real economy. This paper follows this line of inquiry with recent research in mind. Empirical analysis verifies the existence of the banking attenuator effect in Korea, which means banks act to reduce the effect of monetary policies. This indicates that if financial intermediaries strengthen arbitrary adjustment behaviors of lending and deposit rates, the effect of the monetary policy intended to relieve volatility in the business cycle may not be as high as expected.     

Financial instability, oligopolistic banking, and monetary growth

This paper analyzes the dynamics of a monetary economy whichis characterized by increasing returns to scale in financialintermediation. The intermediation technology is linear in deposits,but its operation requires a fixed verification cost to overcomethe asymmetric information about a borrower's investment outcome.Intermediaries, termed banks, can avoid the costly duplicationof information disclosure. Due to the non–convexity inintermediation activities, two stationary monetary equilibriaexist. The first is a saddle with high economic activity andhigh competition in banking. In the second equilibrium, competitionbetween banks and economic activity are low. Under adverse economicconditions, the low activity equilibrium can bifurcate intoa sink and the economy may experience periods of financial instabilityand banking crises. Although crises are random events, the economy'sexposure to financial instabilities depends on fundamental conditions.Thus, the predictive power of fundamentals does not contradictthe random theory of crises.     

Bank cooperation and banking policy in a monetary union: A political-economy perspective on EMU

Why do large European banks lobby for monetary union? We show in a game-theoretic model that montary union can trigger a change in the structure of the market for international banking transactions with asymmetric effects on profits: large banks are induced to cooperate internationally and gain from European Monetary Union (EMU), while small banks are likely to lose. Monetary union can be interpreted as a device for large banks to push small banks out of the market for cross-border financial services.     

Kasgeld en kasbelegging

Summary A restrictive monetary policy in the Netherlands is virtually a policy to adapt the pace of domestic inflation to the pace of inflation abroad. This aim is pursued by limiting the growth of transactions balances in case of a balance of payments deficit. Although in such circumstances the government uses to take recourse to inflationary financing, credit rationing and the rise of interest rates cause investment expenditures to slow down.Transactions balances are, contrary to what Keynes assumed, not completely held in the form of money. Slow components are invested in short term claims, mainly time and savings deposits. In the recent period of credit restriction in the Netherlands short term lending between enterprises has also grown considerably.The present tightness of liquidity in the Netherlands caused the banks to extend the assortment of various kinds of deposits that can be held by their customers. Competition between all financial intermediaries sharpened considerably. The commercial banks were succesful in penetrating the market for savings deposits but they are lagging behind the giro-services and the circulation bank as far as the increase of their demand deposits is concerned.It is not correct, as Albert Hahn did, to consider commercial banks as pure money creating institutions. The amount of their deposits of various nature depends upon how households and firms choose to distribute their financial assets and to what extent the banks, in competition with the other financial intermediaries, can satisfy their wishes.Openbare les, gehouden bij het aanvaarden van het ambt van lector aan de Universiteit van Amsterdam op dinsdag 19 december 1967.     

Liquidity Risk and Banks' Asset Composition: Implications for Monetary Policy

Monetary growth models in which the government is a net debtor demonstrate that inflation adversely affects capital formation through the crowding out effect. Interestingly, the results are at odds with empirical evidence. In particular, recent studies point to an asymmetric relationship between inflation and the real economy across countries. Specifically, inflation and output are negatively correlated in poor countries. In contrast, inflation is associated with higher levels of economic activity in advanced economies. I present a monetary growth model with public debt, where the exposure to risk is inversely related to the level of income. In this setting, I demonstrate that the effects of monetary policy depend on the level of capital of the economy. In poor countries, banks' portfolios consist primarily of government liabilities. Therefore, a higher rate of money creation inhibits capital formation in these economies. In contrast, banks devote more resources toward productive uses in advanced countries. Consequently, monetary policy generates a Tobin effect.     

The Evolution of Australian Monetary Policy in the 1950s

The 1950s in Australia was a decade of major change in both central banking and the financial system. The changes fed upon one another: financial innovation responded to monetary policy; the authorities adapted their strategy in response. The private banks resisted the harnessing of their balance sheets to policy, and a protracted process of conflict and compromise unfolded. Meanwhile, the growth of non‐bank financial institutions undermined bank‐centred policy. Official controls on bank interest rates opened a space for the new intermediaries. The central bank's attempt to restrain their growth contributed to a credit squeeze at the turn of the 1960s.     

Central Bank Communication in a Low Interest Rate Environment

When interest rates are low, or negative, central banks must increasingly rely on effective communication to ease the stance of monetary policy. Empirical evidence suggests that the ECB’s forward guidance, consisting of a carefully expounded series of expectations involving both key policy rates and asset purchases, has been successful in (i) reducing the sensitivity of forward rates to macroeconomic news, (ii) insulating euro area financial conditions from external shocks and (iii) providing additional monetary policy accommodation at a time when the room for cuts in key policy rates has been very limited. At the same time, a central bank cannot always be sure how its forward guidance works and much of the challenge arises from the interaction between central banks and financial markets. In this environment, and for forward guidance to be credible and effective, policymakers need to be clear about their reaction function, regularly align their policy expectations with the evolving assessment of the state of the economy and its likely evolution, and act accordingly.     

A Diagnostic on the West African Monetary Union

Deploying the classical optimum currency areas (OCA) theory and recent developments in the monetary literature, this paper evaluates the appropriateness of West African Monetary Union (WAEMU) as a monetary zone. Nine macroeconomic dimensions are investigated under which the first four items are quantified against a reference economy, namely the United States, the eurozone or China, while the rest are measured in absolute terms for time periods before and after the 2008‐2009 global financial crisis. Results could signify relative dominance of the three world's largest economies to the West African region. In addition to inherent asymmetries across the union, findings suggest the emerging Chinese yuan as an alternative to the euro as the monetary anchor.     

Tu Felix Austria: Evidence for a de-celerator in financial reform

This paper analyzes some reasons for the apparent success of financial liberalization in Austria. Against the odds, Austrias ambitious program of deregulation between 1977 and 2000 did not result in a financial crisis, but yielded large and tangible benefits. While the Austrian experience has so far not attracted much attention in the literature, it may contain important lessons on policy best practices, and on the transmission mechanism of monetary policy. Three implications emerge from this study: First, gradualism worked well. The slicing of reforms into manageable pieces avoided a cumulation of risk factors and the emergence of financial bubbles. Second, financial reform was timed in a counter-cyclical manner, which added stability to the economy. Finally, the large banking sector was able to stabilize itself. The predominance of financial networks and non-profit banks in Austria gave rise to a counter-cyclical lending behavior, i.e. a financial decelerator.This paper was written during a research visit at the Austrian National Bank (OeNB). I would like to thank Eduard Hochreiter for suggesting this research project and the OeNB for its generous logistic support. I am indebted to Peter Brandner, Heinz Glück, Harald Grech, Sylvia Kaufmann, Markus Knell and Martin Summer for helpful comments and suggestions. Further thanks go to participants of the IAEA conference in September 2002 in Washington, DC, where the paper was presented.     

Soft budget constraints, bank capital, and the monetary transmission mechanism

This paper investigates the effect of monetary policy in a situation where soft budget constraint problems prevail in the economy and the bank faces a capital requirement. Under these circumstances, an expansionary monetary policy may increase quantity of bank lending without improving the quality and thus may not stimulate economic activity. On the other hand, in order to solve the problem of soft budget constraint problems and to improve the quality of bank lending, the quantity of bank lending should be decreased. Central authorities need to keep this tradeoff in mind when exercising monetary policy and injecting public funds.     

ZONE‐TARGETING MONETARY POLICY PREFERENCES AND FINANCIAL MARKET CONDITIONS: A FLEXIBLE NON‐LINEAR POLICY REACTION FUNCTION OF THE SARB MONETARY POLICY

We estimate a flexible model of the monetary policy reaction function of the South African Reserve Bank based on a representation of the policymaker's preferences that capture asymmetries and zone‐targeting behaviours. We augment the analysis to allow for responses to financial market conditions over and above inflation and output stabilisation to address the current debate on the importance of financial asset prices in monetary policy decision making. The empirical results show that the monetary authorities' response to inflation is zone symmetric. Secondly, the monetary authorities' response to output is asymmetric with increased reaction during business cycle downturns relative to upturns. Thirdly, the monetary authorities pay close attention to the financial conditions index by placing an equal weight on financial market booms and recessions.     

The Asymmetric Loss Function and the Central Banks’ Ability in Developing Countries

Abstract

This paper seeks to develop a theoretical strand of research in monetary economics by modelling central bank ability in the loss function. Recently, many working papers issued by the International Monetary Fund (IMF) prove that some central banks, particularly from developing countries, are suffering from serious operational problems that might affect their abilities to control the economy. Simultaneously, a literature review shows that the movements are toward using asymmetric loss function. Therefore, we utilize this function in the standard monetary approach. The results proved that both central bank ability and preference in developing countries are fundamental to explain inflation bias and the movement of monetary policy instrument.