Asymmetric information and a theory of compensating balances

This paper derives an economic justification for the existence of compensating balance requirements using an equilibrium model of asymmetric information. Because bank profitability depends upon the probability distribution of a borrower's future cash requirements, and assuming this distribution is known by the borrower but not by the bank, compensating balance requirements can be used by the bank as a screen to distinguish among borrowers. Compensating balances are shown to exist without invoking assumptions of monopoly banks or non-maximizing behavior, and these balances need not be explained as a method of indirect payment for bank services.     

我国的货币需求、中央银行冲销操作与国际收支顺差

为分析我国国际收支顺差长期存在的原因,本文基于货币主义的分析框架和中国的经济现实,从货币需求和中央银行冲销操作的角度进行了研究.实证研究结果表明,自动调整机制无法纠正国际收支的失衡.两个可能的原因是较高的货币需求收入弹性与中央银行对增加的大部分国外资产的有效冲销.在此基础上本文提出了相应的政策建议.     

Foreign reserve and money dynamics with asset portfolio adjustment: international evidence

In this paper we argue that more complete modeling of foreign exchange intervention and sterilization dynamics is necessary when there are adjustment costs to changing private portfolios and/or the central bank attempts to balance longer-run monetary control against short-term exchange rate objectives. We show that measured correlations between domestic credit and foreign asset changes, often interpreted as ‘sterilization coefficients’, may be misleading because they vary with the pattern of disturbances as well as private agent and central bank behavior. We assess the empirical significance of this issue by estimating vector error correction models of the domestic and foreign asset components of the monetary base for Japan and Germany. In both countries, we find that that the impact of foreign exchange intervention on domestic credit falls markedly after several months, implying that the degree of sterilization decreases over time. However, the monetary base remained largely insulated as foreign asset positions were subsequently ‘unwound.’     

Methods for evaluating mortality risk

An important aspect of decisions related to the long-range planning of large-scale systems, eg world energy supplies, is their possible environmental side-effects. These decisions, which potentially affect the public's health and safety, increasingly require a formal consideration of mortality risk. Several methods have been proposed for the evaluation of public programmes which probabilistically alter human mortality. This article reviews the relevant literature and the practical applications of these proposed methods. Particular emphasis is placed upon the explicit identification of the social objectives implied by their use.     

Sterilization and the monetary approach to balance of payments analysis

The authorities can sterilize the balance of payments in both the short and long run if domestic capital markets are not fully integrated with those of the rest of the world. The degree of sterilization which the authorities employ is an important determinant of the economy's response to any outside changes.     

货币政策与政府债务管理的关系：理论与实践新进展

近年来，许多国家的政府债务管理目标明确为在控制风险的前提下，使政府融资需求和中长期利息支付维持在尽可能低的水平。政府债务管理者优化债务期限结构的行为可能与中央银行货币政策目标方向并不一致，从而既影响货币政策的效果，也可能会阻碍政府债务管理目标的实现。文章对近年来政府债务管理与货币政策关系的表现及相关理论成果进行初步梳理和总结，并对优化政府债务管理的方法和前景进行思考和展望。     

基层央行资产负债表健康性审计研究

央行资产负债表的状况是公众评价货币政策效果和形成政策预期的重要渠道。资产负债表的真实性和健康性越来越受到公众的关注,央行的资产负债表健康性审计也逐渐成为央行内审工作的重要内容。本文结合开展央行资产负债表健康性审计的意义,着眼于基层央行的实际情况,提出了基层央行资产负债表健康性的三项标准,明确了基层央行资产负债表健康性审计的主要内容、审计方法,初步构建了资产负债表审计框架。     

A dynamic balance sheet management model for a Canadian chartered bank

This paper presents a linear programming (LP) model based on Markowitz portfolio theory for solving the balance sheet management problem for the domestic assets and liabilities of a Canadian chartered bank. Given the bank's initial position, its economic forecasts, and the constraints under which it operates, the model will determine the current and expected future balance sheet adjustments which will meet the bank's expected profits goal with the minimum possible risk. By parametrically varying the expected profits goal, the model will generate the set of risk-return efficient decisions. Bankers need examine only the set of efficient decisions to choose their optimal solution.     

Value Creation and Governance Structure in Reit Mergers

The Umbrella Partnership REIT (UPREIT) structure has become the dominant form of organization for U.S. REITs. We examine the utility of this corporate structure from a new perspective, finding evidence that convertible securities issued by UPREITs in payment for properties acquired from private sellers often function as instruments of corporate control, aligning the interests of new executives acquired in the transaction with those of the purchasing REIT’s shareholders. We also find evidence that these financial arrangements are used to signal information regarding the firm’s future prospects. We use a sample of 53 public–private mergers 1995–2001, in which the acquirer is a publicly traded REIT. We find that wealth effects from central managerial changes are positively related to the degree to which payment takes the form of convertible equity units of UPREIT subsidiaries, and to the minimum lock-up period for those units prior to conversion. The positive effects of longer lock-ups are evidence that financing structure can be used to reduce agency and information costs related to managerial restructuring in public–private mergers.     

Inflationary bias of the Federal Reserve System: A bureaucratic perspective

The Federal Reserve System does not receive a budget from Congress, but instead, finances its operation from interest payments on its government security portfolio. This peculiar financing arrangement provides the foundation for a bureaucratic model of Federal Reserve official behavior. The empirical section tests the bureaucratic model by analysing the Fed's expenditure record since 1947 and its policy actions during periods of ‘constitutional’ revision.     

The government budget constraint and standard macrotheory

Christ, Blinder-Solow, Brunner-Meltzer and others have discussed the implications of deficits raising the public's stock of bonds or money. Among the major findings of this literature are that bond-financed deficits may raise income more than money-financed deficits, that the former may lead to instability, and that open market purchases ultimately lower nominal income. This paper shows that these seemingly revolutionary results (though not all of the results of this literature) follow simply from a textbook Keynesian or monetarist model. However, Blinder and Solow's conclusion that crowding-out cannot be complete is refuted.     

The role of saving and investment in exchange rate determination under alternative monetary mechanisms

We argue that the demand for national currencies depends on existing payment arrangements for imports and exports. Therefore, exchange rate movements depend on these arrangement. As a result, the relationship between exchange rate movements and various macroeconomic aggregates — like saving and investment — depend on what we call the monetary mechanism. These points are explicitly demonstrated by studying two extreme monetary mechanisms, one in which all payments are done with the seller's currency and one in which all payments are done with the buyer's currency.     

危机以来全球主要发达经济体央行资产负债表变化概览

中央银行资产负债表是对中央银行职能及其各项政策执行情况的集中概括。危机以来,全球主要发达经济体中央银行为应对危机、救助金融体系和刺激实体经济,采取了大量非常规货币政策措施,这对其资产负债表产生了重要影响。文章比较分析了危机以来全球主要央行的资产负债表变化情况和特点,并简述了各主要央行资产负债表的发展趋势。     

What's different about banks?

Negotiable certificates of deposit (CD's) trade in the capital market in competition with other securities like commercial paper and bankers' acceptances. If CD's must pay lenders competitive monetary interest, the reserve tax on CD's is borne by bank borrowers. Viability of the tax means there must be something special about bank loans that makes some borrowers willing to pay higher interest rates than those on other securities of equivalent risk. Moreover, there must be something special about banks that prevents other intermediaries from competing to assure that it never pays to finance loans with CD's.     

Stochastic reserve losses,bank credit expansion and Bayesian information

In standard bank credit expansion models the optimal amount of new demand deposits to create is derived for a given level of uncertainty of reserves losses. In this paper, I analyze in detail, the microeconomics of bank credit expansion in which the degree of uncertainty is a decision variable for the bank to determine. First, the role of information in adjusting the bank's expected profit is established and its impact on demand deposit creation is discussed. I then derive the optimal demand for information and its comparative static behavior is examined. Finally, I discuss the major implications of considering the level of uncertainty as a decision variable in the bank credit expansion literature.     

Alternative central bank credit policies for liquidity provision in a model of payments

I explore alternative central bank policies for liquidity provision in a model of payments. I use a mechanism design approach so that agents’ incentives to default are explicit and contingent on the credit policy designed. In the first policy, the central bank invests in costly enforcement and charges an interest rate to recover costs. I show that the second-best solution is not distortionary. In the second policy, the central bank requires collateral. If collateral does not bear an opportunity cost, then the solution is first best. Otherwise, the second best is distortionary because collateral serves as a binding credit constraint.     

Private payment systems, collateral, and interest rates

Recent developments in private payments arrangements, particularly at the wholesale level, (including recent innovations in China) challenge central banks’ longstanding monopoly on the provision of the ultimate means of settlement for financial transactions. This paper examines competition between public payments arrangements and private intermediaries, and the effect on central banks’ role in monetary policy. Central to the issue is the role of collateral both as a requirement for participation in central bank sponsored payments arrangements and as the backing for private intermediary arrangements. The presence of private systems serves as a check on the ability of a monetary authority to tighten monetary policy.     

我国货币冲销的效果分析

近些年来,我国国际收支大量赢余,为了维持人民币汇率的稳定,人民银行进行了冲销干预,在外汇市场大量吸收外币的同时,在国内采取一系列措施来冲销外汇占款迅猛增长引起的货币供应量的飞速增加。本文对我国冲销外汇占款的效果好坏进行了分析,并且对央行采取的不同冲销手段的效应也进行了探讨。     

Central bank financial strength and inflation: Is there a robust link?

Central bank financial strength has not been a fundamental issue for a substantial period of time. However, recent theoretical and empirical studies argue that central banks need to maintain a sufficient level of financial strength to perform their functions effectively and to achieve monetary policy objectives. In this study, we examine the empirical relationship between central bank financial strength and inflation using an unbalanced panel data set for a sample of selected advanced and emerging countries. We observe a statistically significant and robust negative relationship between central bank financial strength and inflation. This relationship is robust in the presence of other determinants of inflation and for alternative estimation methods. Our results have important implications for policy makers and central bankers. Particularly, our results suggest that avoiding persistent losses and maintaining the health of the central bank balance sheet remain vital pre-conditions for desirable policy outcomes of a central bank.     

发达经济体中央银行资产负债表管理及对我国的启示

中央银行资产负债表既是表示自身财务状况的会计报表,也是中央银行法定职责履行情况的综合反映。近年来,央行资产负债表正逐步成为公众评价货币政策效果、形成政策预期的重要渠道,同时,各国央行也更加关注自身资产负债表的持续健康问题。本文通过分析2006年以来部分发达经济体央行的资产负债表规模和结构变化,重点揭示了其防范和降低资产负债表风险所采取的控制措施,以期为央行更好地开展资产负债表管理提供参考。