Non-bank public and commercial bank portfolio behavior in the Brunner-Meltzer model: A review and clarification

This paper investigates the relationship between a portfolio theoretic model of non-bank public and commercial bank behavior and the Brunner-Meltzer non-linear money supply hypothesis. We examine the recent modification of the Brunner-Meltzer macroeconomic model suggested by Friedman and Froewiss (1977), discuss its shortcomings, and argue that the unmodified model is valid if one adopts the monetary sector equilibria definition of Saving (1977).     

Predicting the money multiplier: A case study for the U.S. and the Netherlands

A Box-Jenkins model has been developed to predict the U.S. money multiplier. The forecasts are approximately 30% more accurate than those produced by the regression methods which Burger and others have used in recent work. Similar models are then applied to three different money multipliers for the Netherlands, taken from Korteweg's reformulation of the Brunner-Meltzer money supply scheme for this open economy. The results suggest that if the Dutch Central Bank invested more resources in the collection of data from the banks, then predictions could be made sufficiently accurate for use in the control of the money stock.     

Time deposits in the Brunner-Meltzer model of asset markets

Benjamin Friedman raised on a previous occasion questions about the interpretation of the multiplier formulation in our assetmarket model of the money suppl process. These questions addressed the role of time deposits in this process. This short note establishes the consistency of an equilibrium model of assetmarket interaction centered on a multiplier formulation. It states the rationale of the procedure and the nature of time deposit supply function the process.     

Relative prices and inventory investment

In macroeconomic models of the economy disequilibrium is reflected in undesired investment. This undesired investment is largely in the form of undesired accumulations or depletions of inventories. Therefore, in studying inventory investment one is analyzing the adjustment of the goods market in disequilibrium. In order to study this process the Brunner-Meltzer three market model of the economy is modified to explicity treat inventory investment. The resulting relative price model of inventory behaviour is then tested on aggregate yearly and quarterly U.S. data.     

Supply and Demand Effects of Bank Bailouts: Depositors Need Not Apply and Need Not Run

We address two key issues concerning bank bailout effects on depositor and bank behavior. The first is whether bailouts weaken or strengthen market discipline by depositors through deposit supplies. The second is if bailed-out banks decrease or increase their deposit demands. These questions can only be adequately addressed by analyzing the effects of bailouts on both deposit quantities and prices. We do so for the Troubled Asset Relief Program (TARP) bailouts. Overall, we find that demand changes empirically dominate supply changes, and suggest significantly reduced deposit demand from bailouts. In some cases, however, supply changes dominate and indicate weakened market discipline.     

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.     

How do banks respond to shocks? A dynamic model of deposit-taking institutions

This paper proposes a dynamic model of the optimal choices of a bank that benefits from market power and takes into account the impact of the deposit generation process. Interbank lending/borrowing emerges as a buffer that assists the bank in smoothing intertemporal adjustments in interdependent loan and deposit choices. The bank smooths the impact of interest-rates shocks on its customers to minimize the adjustments over time of the stocks of deposits and loans. It does not, however, provide insurance against negative shocks of real origin that increase its expected default costs. The predictions of the model help to shed light on the available empirical evidence and to analyze some recent developments of the banking industry.     

Money,interest, inflation and growth in Turkey

This paper estimates a two equation model of inflation and growth in Turkey over the period 1950–1977. Inflation is determined by the difference between the rates of change in nominal money supply and real money demand. The short-run growth function consists of an expectations augmented Phillips curve, to which a credit availability effect is added. Under Turkey's disequilibrium institutional interest rate and exchange control systems, the real supply of domestic credit is determined, in large part, by real money demand which is, in turn, influenced by the real deposit rate of interest. The central bank can use both the nominal money supply and the nominal deposit rate of interest as policy instruments for stabilisation purposes.     

存款准备金交存范围核定工作浅析

存款准备金是人民银行的主要货币政策工具之一,长期以来在调节货币供应量和 社会流动性,促进金融机构稳健经营等方面发挥着重要作用。存款准备金交存范围核定是存 款准备金制度的重要组成部分。本文在仔细梳理存款准备金交存范围核定相关规定和工作实 践的基础上,归纳了目前存款准备金交存范围核定的基本原则和交存范围核定工作出现的新变 化新要求,总结了目前交存范围核定工作中所面临的突出问题,并就改进工作提出意见建议, 对在新形势下做好存款准备金交存管理工作进行了有益的探索。     

Bank spread with uncertain deposit level and risk aversion

This paper derives a model of the banking firm under uncertainty and risk aversion. The selection of the bank's optimal spread between loan and deposit rates is emphasized. The model's results provide some implications for bank asset quality, capital regulation and deposit insurance. For example, it is shown that increases in the level of equity capital tend to increase the bank's spread under DARA. This implies an improvement in bank asset quality. On the other hand, as the deposit supply function becomes more volatile, the bank's spread narrows, which implies a decline in the quality of the bank's assets.     

Geographical segmentation of US capital markets

Demographic variation in savings behavior can be exploited to provide evidence on segmentation in US bank loan markets. Cities with a large fraction of seniors have higher volumes of bank deposits. Since many banks rely heavily on deposit financing, this affects local loan supply and economic activity. I show a positive effect of local deposit supply on local outcomes, including the number of firms, the number of manufacturing firms, and the number of new firms started. The effect is stronger in industries that are heavily dependent on external finance. The deregulation of intrastate branching reduced the effect of local deposit supply by approximately a third.     

A hierarchical agency model of deposit insurance

This paper develops a hierarchical agency model of deposit insurance. The main purpose of the analysis is to propose a micro-founded model of deposit insurance schemes and study their effects on the behavior of depositors and the monitoring problem for a bank. This paper also characterizes a risk-based premium in equilibrium, and conducts a comparative statics analysis of depositors’ optimal actions. The results supply the basic theoretical foundation for designing deposit insurance schemes. Our findings are consistent with the empirical research on depositor behavior.     

The effect of bank ownership and deposit insurance on monetary policy transmission

In this paper we develop a theoretical model with a representative bank whose ownership is shared between state and private sector. The bank faces a risk of failure and provides private and public explicit deposit insurance. Banks owned to a larger extent by the government are more able to counteract a restrictive monetary policy because of their capacity to raise additional volume of deposits. Therefore, the greater the state’s share in the bank ownership, the less the impact of a monetary tightening on the level of loan supply.     

银行理财产品收益率市场化演进机制研究——基于修正Hotelling模型的理论分析与实证检验

本文利用修正的Hotelling模型对我国银行理财产品收益率的市场化演进机制进行了理论分析,并使用2005至2019年的银行理财产品历史数据进行了实证检验,得到了一系列结论。第一,收益率落后的“输家”银行下期将以更大的相对幅度提高其收益率,呈现出“输家”追赶“赢家”的锦标赛竞争机制。第二,上述竞争机制受到“输家”银行排名、不同银行之间收益率差距和监管政策的影响。“输家”银行排名越靠后、不同银行之间的收益率差距越大,那么,下期“输家”银行提高其理财产品收益率的相对幅度就越大,不同银行之间的竞争行为就越强烈;与之相对的,监管政策越严,则不同银行之间的竞争强度越弱。本文的研究结论对进一步深入理解我国存款市场化利率的形成机制、加强对商业银行的监管和引导有一定的借鉴和启示意义。     

利率市场化与商业银行存款战略转型

本文首先探究了利率市场化改革的缘由,然后分析了利率市场化对我国商业银行存款业务的影响,最后提出了商业银行存款业务战略转型对策。研究表明：利率市场化改革有助于提高商业银行存款业务经营管理水平,推动金融产品创新,为商业银行创造公平竞争环境,但也加剧了商业银行间的存款竞争,增大了存款数量的波动性,使商业银行的存款定价能力面临挑战。为此,商业银行必须转变存款经营思路,重视存款保险的作用,创新存款产品,建立合理的存款定价模型。     

经济增长、结构失衡与流动性过剩——论我国当前流动性过剩的成因与对策

由于社会保障制度的不完善和分配结构的不合理,经济增长带来居民收入增长的同时,消费需求难以有效放大,储蓄和净出口的高增长成为必然。储蓄的高增长导致银行的存贷差上升,其分流导致股市和房市的流动性过剩;净出口的持续高增长和国际资本的大量涌入导致国际收支持续的高顺差。由于汇率缺乏弹性,基础货币的被动增加和货币乘数的预期外上升一并导致货币供给过剩。强化储备货币发行国的发行约束;调整外贸发展战略,优化产业结构;扩大消费需求;扩大汇率浮动区间;提高货币政策的科学性等措施可以有效控制和利用流动性过剩。     

Can CRR,CAR and SLR policy tools perform perversely?

A simple theoretical model is developed from the bank balance sheet identity to understand the effects of cash reserve ratio (CRR) on deposit multiplier. It is found that the deposit multiplier can behave perversely, depending on the loan demand and deposit supply parameters. Thus, CRR can work counter-factually and counter-intuitively, as a monetary policy tool. Further, it is found that the capital adequacy ratio – the Basel policy tool – can also work counter-intuitively. The statutory liquidity ratio tool almost mimics the CRR in performance.     

土地资产价格波动与经济中的流动性供给——基于以地融资视角的研究

本文通过构建理论模型探讨土地资产价格波动与流动性供给之间的关系。在本文模型中,土地兼具生产资本与抵押资产属性,银行贷款同时受到投资需求、抵押品价值与信贷额度的约束。本文主要结论是:(1)土地资产价格在低于一个由基础货币供给决定的临界值后,能影响企业的抵押品价值并反映投资需求变化,故而与存款货币流动性供给正相关。这也使土地资产价格变化与企业杠杆周期一致且具有“预期自我实现”特征。(2)基础货币供给能够通过影响土地的流动性价值的方式来引导土地资产价格,前提是央行可掌握土地资产价格外生变化的原因。(3)信贷资产证券化会提高存款货币供给与土地价格的关联度,但也会削弱基础货币供给对土地价格的引导能力。本文的研究有助于认识土地资产价格与货币政策效果以及系统性金融风险的关联机制,为房地产调控政策提供启示。     

银行理财产品收益率市场化演进机制研究——基于修正Hotelling模型的理论分析与实证检验

本文利用修正的Hotelling模型对我国银行理财产品收益率的市场化演进机制进行了理论分析,并使用2005至2019年的银行理财产品历史数据进行了实证检验,得到了一系列结论。第一,收益率落后的“输家”银行下期将以更大的相对幅度提高其收益率,呈现出“输家”追赶“赢家”的锦标赛竞争机制。第二,上述竞争机制受到“输家”银行排名、不同银行之间收益率差距和监管政策的影响。“输家”银行排名越靠后、不同银行之间的收益率差距越大,那么,下期“输家”银行提高其理财产品收益率的相对幅度就越大,不同银行之间的竞争行为就越强烈;与之相对的,监管政策越严,则不同银行之间的竞争强度越弱。本文的研究结论对进一步深入理解我国存款市场化利率的形成机制、加强对商业银行的监管和引导有一定的借鉴和启示意义。     

Correspondent balances,services, and the money supply

This paper investigates the money supply process on a microeconomic level by developing an inventory-theoretic model of commercial bank reserves, correspondent balances, and correspondent services; by deriving the comparative-static properties of the model for member and non-member banks; and by incorporating these properties into a stochastic money supply framework. In general, correspondent balances and services were found to have mixed effects on the reserve-requirement and interest-rate sensitivities of both the expected value and the variance of the money supply, but most of this ambiguity should eventually be reduced by the Monetary Control Act of 1980.