Real liquidity and banking

In an economy where banks take numeraire goods, so called money, as deposits, money allows depositors suffering preference shocks to withdraw from banks prematurely without liquidation of real investment. If real liquidity, defined as the real value of the monetary base, is low, the amount of payment liquidity, constrained by the velocity of money, limits the short-term price level of investment goods before banks can settle their long-term loan contracts. This leads to an attractive nominal long-term investment return and over-investment. Allowing for inside money, that is, bank deposits, to be used for payment can improve social welfare but cannot fully resolve the liquidity shortage problem as the short-term interest rate offered by banks is constrained by the threat of bank runs. In the presence of systemic liquidity shocks, the price-adjustment mechanism cannot take full effects with insufficient payment liquidity, which can lead to non-zero profits for banks. Exchanging investment goods for numeraire goods through international trade can improve social welfare.     

Banking in a Matching Model of Money and Capital

We introduce banks in a model of money and capital with trading frictions. Banks offer demand deposit contracts and hold primary assets to maximize depositors’ utility. If banks’ operating costs are small, banks reallocate liquidity eliminating idle balances and improving the allocation. At moderate costs, idle balances are reduced but not eliminated. At larger costs, banks are redundant. A central bank policy of paying interest on bank reserves can reverse inflation's distortionary effects, and increase welfare, but only when costs are small. The threshold levels of banks’ costs increase with inflation, suggesting inflation and banks’ utilization are positively associated.     

流动性过剩根源与应对从紧货币政策之对策

编者按:人民币持续升值的预期和中国为抑制通胀的连续加息大大刺激了热钱的流入,使中国外汇储备遥遥领先于全球各国,热钱与强制结汇制结合引发了货币供给的高速增长,最终导致宏观流动性过剩.     

Interest rate smoothing and financial stability

Central banks smooth fluctuations in interest rates based on a belief that this policy promotes financial stability. This belief is based on a presumption that the direct effect of less interest rate volatility on a bank's likelihood of insolvency is the predominant effect of this policy. The main point of this paper is that these policies also give rise to indirect effects that lower financial stability. These indirect effects occur because the policy itself alters bank behavior. In effect, if the central bank provides (liquidity) insurance (at zero premia), it may introduce a classic moral hazard problem that encourages risk taking by banks. As a result, to maintain a given degree of financial stability, a bank regulator may, in fact, need to impose a higher prudential capital requirement when an interest rate smoothing policy is in place. The paper concludes that the link between interest rate smoothing policy and financial stability may be more complicated than is generally recognized.     

Bank panics and the endogeneity of central banking

Central banking is intimately related to liquidity provision to banks during times of crisis, the lender-of-last-resort function. This activity arose endogenously in certain banking systems. Depositors lack full information about the value of bank assets, so that during macroeconomic downturns they monitor their banks by withdrawing in a banking panic. The likelihood of panics depends on the industrial organization of the banking system. Banking systems with well-diversified big banks are less prone to inefficient bank runs because diversification alleviates the information asymmetry. In addition, big banks can self-monitor through publicly observable branch closure. Systems of many small banks form incentive-compatible bank coalitions to emulate the big banks during times of crisis. Such coalitions improve efficiency by monitoring member banks and issuing money that is a kind of deposit insurance—a precursor of central banking.     

Optimal pricing of intraday liquidity

This paper presents a general equilibrium model where intraday liquidity is needed because the timing of payments is uncertain. A necessary and sufficient condition for an equilibrium to be efficient is that the nominal intraday interest rate be zero, even when the overnight rate is strictly positive. Because a market for liquidity may not achieve efficiency, this creates a role for the central bank. I allow for the possibility of moral hazard and study policies commonly used by central banks to reduce their exposure to risk. I show collateralized lending achieves the efficient allocation, while, for certain parameters, caps cannot prevent moral hazard.     

2014年上半年货币市场利率运行报告

2014年上半年,在稳健的货币政策基调下,货币市场利率冲高回落,总体平稳,利率中枢下移,波幅收窄,6N份关键时点没有发生大的市场异动。这主要得益于央行货币政策操作稳定市场预期,以及金融机构完善流动性管理措施。此外,交易所市场与银行间市场的利率差异性仍然存在;境外货币市场利率走势背离于境内市场,利差保持较高水平。     

Banks and markets in a monetary economy

Modern financial sectors consist of banks, asset markets and a central bank. This paper builds a model where these institutions provide different financial services, and their interaction supports efficient allocations. When one institution is missing equilibria are, by construction, inefficient. The paper analyzes how interest rates and asset prices depend on the structure of the financial sector and characterizes the central bank policy that supports efficient allocations. The analysis relies on the difference between liquidity and real shocks, and relates the notion of liquidity used in this paper to the one adopted in other studies.     

流动性、银行间市场摩擦与借贷便利类货币政策工具

通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。     

流动性、银行间市场摩擦与借贷便利类货币政策工具

通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。     

基于“六月货币荒”现象的反思与启示

自2008年爆发国际金融危机以来,对于金融市场的货币供给而言,中央银行先后实施适度宽松和稳健的货币政策,保证了银行体系流动性的充分供给;商业银行保持着低不良贷款率和正常杠杆率,也不会明显削弱其贷款创造能力以及货币供给水平;个人偏好和支付便利导致公众在特定时段更多地持有通货的行为,即使有削弱货币乘数的作用,其影响也是极其轻微和短暂的.因此可以断定,“六月货币荒”并非真实的货币荒,而是某些货币表象的欺骗性所致.“六月货币荒”现象的重要启示是,中央银行的货币政策意向要更加透明,商业银行要加强流动性风险管理和资产负债管理,公众要权衡个人偏好和支付便利与持有通货的货币性成本等诸多因素.这是消除货币表象的欺骗性,避免类似“六月货币荒”现象的出现,以及防止道德风险和逆向选择的基本要求.     

The conditioning role of performance on the bank risk-taking channel of monetary policy: Evidence from a multiple-tool regime

The study investigates how monetary policy affects bank risk-taking under a multiple-tool regime of Vietnam during 2007–2018. Particularly, we also consider the conditioning role of bank performance, broken down by bank profitability and cost efficiency, in this nexus. Using both dynamic and static panel models, we show that the liquidity injection initiated by the central bank’s asset purchases induces banks to take more risks, captured by the traditional Z-score and two alternative measures of credit risk. However, monetary policy easing through decreased interest rates is beneficial to the credit portfolio and financial stability of banks, which therefore challenges the functioning of the bank risk-taking channel. This startling result is robust across three different interest rate measures, including lending rates, refinance rates and rediscount rates. Further analysis reveals that our observed effects are alleviated for banks with higher performance — i.e., more profitable and efficient banks. This in-depth finding offers more insights into the “search for yield” incentive, based on the theory of information asymmetry and the two competing hypotheses of “bad management” and “cost skimping”.     

Variations in Market Liquidity and the Intraday Interest Rate

Most central banks offer banks participating in large‐value real‐time gross settlement (RTGS) systems a free intraday overdraft facility to discourage banks from actively managing their daylight liquidity. In this paper, we ask whether this facility has kept the intraday interest rate at zero. Using a unique transaction‐level data set on collateralized interbank loans for 2006–12, we find that during periods of financial distress, rates for morning transactions are higher than those in the afternoon. Moreover, this intraday rate correlates with market liquidity, suggesting that rates contain a liquidity premium. This intraday pattern is reduced, but not eliminated by the Eurosystem's accommodative liquidity provision.     

结售汇如何影响银行风险承担水平?——基于银行资产负债表的视角

本文构建了一个基于银行资产负债表的理论模型,研究了结售汇对银行风险承担水平的影响机制,并采用结售汇报表数据进行实证检验。结果表明,为实现利润最大化,银行会将外汇流入创造的流动性用于投放较高风险的贷款,导致净结汇对银行风险承担水平有正向影响,异质性分析结果显示大型银行受影响程度高于中小银行。本文结论意味着,当考虑结售汇波动可能进一步加剧时,有必要出台更多结构性政策,补足外汇流入减少带来的货币缺口,优化存款市场结构,稳定金融机构流动性预期,以缓冲外需冲击可能带来的影响,并激励银行服务重心进一步下沉,为小微企业提供更多信贷支持,完成好金融服务实体经济的重要使命。     

Interbank market liquidity and central bank intervention

We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. In such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand.     

国内商业银行流动性选择的行为分析

银行愿意用流动性资产形式保持自己投资基于如下心理因素:在一定的资产总量下,银行的流动性偏好越强,对中长期资产要求的流动性溢价水平就越高,贷款利率定价就越高。当前,商业银行持有大量流动性资产和中长期贷款的低流动性溢价并存。商业银行的流动性选择行为,受来自于央行的政策压力的影响大于来自于市场的经济压力的影响。     

Reprint of: Central bank collateral frameworks

This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.     

Central bank collateral frameworks

This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.     

Monetary Policy Transmission with Interbank Market Fragmentation

This paper shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location, have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on monetary policy operations, I show that this mechanism has been at work in the euro area since 2008. The model is used to analyze conventional and unconventional monetary policy measures.     

关于我国利率和利率传导关系的思考

当前我国银行体系利率大致可分为货币市场利率和信贷市场利率,其中由央行指定的利率主要有存贷款基准利率、再贴现率等。在货币市场上,隔夜同业拆借利率具有基准利率的地位。在信贷市场上,在特定时期,保持适当的存贷款利差具有积极意义。由于一些阻碍信贷市场与货币市场统一的制度安排的存在,这两个市场间的利率传导呈现出一定的不对称性。为推进利率市场化,进一步完善我国利率体系,下一步应逐步弥合市场分割,加强货币市场基准利率建设,培育商业银行利率定价能力。