金融危机、货币政策与信贷供给*——基于公司层面银行信贷数据的经验研究

不同的银行特征会对金融危机和货币政策传导的银行信贷渠道产生异质性影响。本文运用2001-2015年公司层面银行信贷数据实证检验了我国货币政策传导的银行信贷渠道,随后进一步研究金融危机对不同特征银行信贷供给的影响差异。经验研究发现：我国货币政策银行信贷渠道主要通过非国有控股银行传导,并引起不同资产负债表特征银行信贷供给的异质性反应。银行规模越大、流动性越强、资本充足率越高,银行信贷供给对货币政策越不敏感。金融危机期间,银行信贷渠道的传导效率显著降低,高资本充足水平的银行和国有控股银行受金融危机的冲击较小,并且宽松的货币政策对国有控股银行信贷供给调控的效率更高。     

Involuntary excess reserves,the reserve requirements and credit rationing in China

Using a sample of 95 banks that covers the period 2000–2011, this article examines Chinese banks’ credit lending behaviour in response to the changes in the reserve requirement ratio in the presence of involuntary excess reserves (IERs) in the banking system. The study finds that Chinese banks with positive IERs one period after a reserve requirement shock experience a significantly increased credit supply in response to an increase in reserve requirement ratio. However, the reserve requirements have no significant impact on the credit supply in Chinese banks that have negative IERs one period after a reserve requirement shock. This article sheds lights on the effectiveness of Chinese monetary policy, which uses reserve requirements as the primary tool to sterilize excess liquidity and restrain credit expansion.     

我国外汇存款准备金问题研究

2007年美国次贷危机爆发后,全球性的流动性过剩被流动性不足所替代,美国政府采取了扩张性的政策组合,即以降息和提供紧急流动性援助方式为代表的扩张性货币政策、以减税为代表的扩张性财政政策以及纵容美元贬值的汇率政策,以对中国经济政策的调整空间形成制约.我国中央银行上调外汇存款准备金率以及要求用外汇缴存新增人民币存款准备金的做法,并不能从根本上缓解人民币汇率的升值压力,相关的外汇存款准备金制度设计还有待改进.     

存款准备金政策对企业集团财务公司的限制作用

财务公司作为企业集团内部独立金融机构,其内部信用创造与商业银行社会信用创造存在明显差别。对财务．公司实施存款准备金政策,不能对我国货币调控政策起到显著作用,并与企业集团财务公司的基本功能存在着一定的错位,利少而弊多,因此,宜取消对企业集团财务公司实施的存款准备金政策。     

Credit crunch in a model of financial intermediation and occupational choice

In this paper, we introduce a dynamic general equilibrium model with numerous and heterogeneous investment projects and endogenous occupational choice to study a credit crunch. Asset accumulation of assets by households as they face various employment and return risks over a long lifetime determines whether they are entrepreneurs or workers. The origin of a credit crunch may be found in the conservative lending by banks during periods of financial duress and reduced profitability because of capital requirements. Using an example from Canada, monetary policy is shown to be largely ineffective in alleviating the credit crunch, while flexible loan regulation can erase it.     

The link between the federal funds rate and banking system distress: An empirical investigation

We investigate the association between deviations of the monetary policy rate from its benchmark, and systemic risk between 2001 and 2017. We adopt an impulse response function framework that uses the local projections method model proposed by Jorda (2005). We find that paying interest on reserves by the Fed beginning in 2008 introduced a monetary policy regime shift between the period that the Fed did not pay interest on reserves and the period that it did. Consequently, while we identify a positive and significant link between deviations of the policy rate from its benchmark and systemic risk in the former period, this link was broken in the latter period. During the former period, upsurges in the fed funds rate raised bank costs and increased bank distress. In contrast, during the latter period, interest payment on reserves exceeded the policy rate, except for 2009Q1, and as a result, banks did not expand lending in response to the Fed's reserve injections, instead, holding large amounts of excess reserves. This practice produced greater bank profitability and reduced bank liquidity risk and credit risk, without increasing systemic risk.     

The People’s bank of China’s response to the coronavirus pandemic: A quantitative assessment

The People’s Bank of China (PBoC) has implemented numerous measures to cushion the impacts of the COVID-19 health crisis on the Chinese economy. Since the current monetary policy framework features a multi-instrument mix of liquidity tools and pricing signals, we employ a dynamic-factor modelling approach to derive a composite indicator of China’s monetary policy stance. Our quantitative assessment shows that the PBoC’s policy response to the outbreak of the COVID-19 pandemic has been swift and decisive. Specifically, our estimates reveal that the PBoC has implemented novel policy measures to ensure that commercial banks maintain liquidity access and credit provision during the COVID-19 crisis.     

The Politics of Shadow Money: Security Structures,Money Creation and Unconventional Central Banking

ABSTRACT

For the first time in the history of central banks, the Federal Reserve has been pursuing monetary policies which allow shadow banks to access its reserves. The paper examines these policies in an analysis based on the concept of security structure. The aim is to facilitate a better understanding of complex institutional arrangements which convert credit claims into money or enable them to simulate the money-form. As the financial crisis reached its peak in September 2008, the Fed was not able to contain the impact precisely because the security structure existing between banks and the Fed did not extend to the shadow banking system, which had meanwhile become thebackbone of the global financial system. To address this situation, the Fed initiated new security structures that were designed to also give players in the shadow banking system access to liquidity and collateral. The concept ‘security structure’ serves as an analytical tool to explore dynamic forms of safety and liquidity generation and to distinguish between credit expansion and money creation. It also helps to differentiate between three qualitatively different stages of security: central bank money, quasi-money and shadow money. In this way, it foregrounds the politics of (shadow) money creation.     

央行票据调控可持续性分析

央行票据是中央银行为调节商业银行超额准备金而向商业银行发行的短期债务凭证,是中央银行为调节商业银行流动性而出台的一项货币政策工具,其实质是中央银行债券。目前,央票已经是债券市场不可或缺的短期投资工具和流动性管理工具。但伴随中国经济增长趋势的放缓,央行票据发行规模的下降,央票是否继续存在的争论也由此而起。通过分析我国央行票据的发展情况及现状,对央票调控的利弊进行分析,并为央票存在的持续性寻求合理的理论支持。     

Securitisation and the bank lending channel

The dramatic increase in securitisation activity experienced in Europe in the years following the introduction of the euro has altered the liquidity, credit and maturity transformation role traditionally performed by banks. We claim that the changing role of credit intermediaries due to securitisation has also modified the effectiveness of the bank lending channel and banks’ ability to grant loans. We use a novel database of securitisation activity and a large sample of European banks and find that the use of securitisation shelters banks’ loan supply from the effects of monetary policy. Securitisation activity has also strengthened banks’ capacity to supply new loans. This capacity, however, depends on business cycle conditions and, notably, on banks’ risks positions. The recent credit crisis is instructive in this respect.     

If the Banks are Doing So Well,Why Can't I Get a Loan? Regulatory Constraints to Financial Inclusion in Indonesia

Indonesia's financial sector has two paradoxes: (i) Indonesia has been a global leader in microfinance for the past 25 years, but access to microfinance services is declining; and (ii) Indonesia's commercial banks are liquid, solvent, and profitable, and the Indonesian economy has been doing well over the past decade, but small and medium enterprises are facing a credit crunch. Although Indonesia is underbanked, most commercial banks have been unresponsive to unmet effective demand. The behavior of banks has been in their own short‐term best interests, primarily because of the unintended consequences of Indonesia's financial sector reregulation after the East Asian crisis and contradictory monetary policies, which have produced a prudentially sound but inefficient, narrow, and homogenized banking oligopoly. Indonesia should not respond to financial exclusion by artificially pumping out and administratively allocating more credit. Instead, it should promulgate smart regulation so that banks maintain their sound risk management without pursuing noncompetitive and noninclusive business practices.     

Does monetary policy lose effectiveness during a credit crunch?

This article investigates the effectiveness of monetary policy during a credit crunch by estimating a vector autoregression on the US economy. We present evidence that interest rate cuts have a diminished impact on growth, due to impairment in the relationship between monetary policy and the supply of intermediated credit.     

An empirical analysis of excess interbank liquidity: a case study of Pakistan

We investigate the drivers of excess interbank liquidity in Pakistan, using the Autoregressive Distributed Lag approach on weekly data for December 2005 to July 2011. We find that the financing of the government budget deficit by the central bank and nonbanks leads to persistence in excess liquidity. Moreover, we identify a structural shift in the interbank market in June 2008. Before June 2008, low credit demand was driving the excess liquidity holdings by banks. After June 2008, banks’ precautionary investments in risk-free securities drive excess liquidity holdings. Monetary policy is less effective if banks hold excess liquidity for precautionary reasons.     

Surplus liquidity,central bank losses and the use of reserve requirements in emerging markets

Since the turn of the millennium, stocks of foreign reserves held by central banks in many emerging markets and developing countries have exceeded currency in circulation. To steer money market rates, these central banks have been absorbing liquidity from, rather than providing it to, the banking sector in their regular monetary policy operations. When interest rates in countries with major reserve currencies are low, the yield on foreign reserves is low. A higher interest rate on liquidity‐absorbing operations may expose central banks to losses. Although a central bank is not a profit‐maximizing institution, central bank losses can undermine the independence of the central bank. Using data for a large panel of central banks, this paper provides some evidence that central banks tend to apply low‐remunerated reserve requirements when profitability is at stake.     

危机管理中美联储货币政策工具创新对我国的启示

为缓解本次危机对金融市场和实体经济的冲击,以美联储为代表的各主要央行推出大量以信贷宽松或数量宽松为特点的非常规货币政策,对危机中受损的常规货币政策传导渠道进行弥补,加强了各国央行的合作力度,有效缓解了危机带来的负面冲击。本文将集中研究美联储的货币政策工具的特点、效果,并总结对我国的启示,这也将有助于我国深入理解美联储即将采用的第二轮量化宽松货币政策的本质。     

Interest on Reserves and the Flexibility of Monetary Policy in the Euro Area

This paper shows that remunerating required reserves can increase the flexibility of monetary policy. The remuneration at the current policy rate implies constant net marginal interest costs of holding required reserves. This allows the central bank to change the policy rate also within a reserve maintenance period without inducing a problematic reserve shifting on behalf of the banks. In the euro area, required reserves are remunerated at an average rate. Therefore, the way in which reserves are remunerated has to be changed in order to make use of the advantage of a higher flexibility of monetary policy.     

A two-pillar DSGE monetary policy model for the euro area

The current financial crisis has revived the interest for monitoring both monetary and credit developments. Over the past two decades, consistent with the adoption of inflation targeting strategies by a growing number of central banks and the development of New Keynesian models for which monetary aggregates are largely irrelevant, money and credit have been progressively neglected in the conduct of monetary policy. A striking exception has been the Eurosystem, which has implemented a strategy known as the “two-pillar monetary policy strategy” giving a prominent role for money. In this paper, we develop a small optimizing model based on Ireland (2004), estimated on euro area data and featuring this two-pillar strategy. We evaluate an ECB-style cross-checking policy rule in a DSGE model with real balance effects of money. We find some evidence that indeed money plays a non-trivial role in explaining the euro area business cycle. This provides a rationale for the central bank to factor in monetary developments but also raises some issues regarding the reliability of M3 as an appropriate monetary indicator. We find some evidence that the ECB has systematically reacted to a filtered measure of money growth but weak evidence it has reacted more aggressively during excess money growth periods.     

The Credit Channel at Work: Lessons from the Financial Crisis in Korea

We demonstrate that the credit channel of transmission of monetary/financial shocks appears to have aggravated Korea's economic crisis. We use micro-data gathered at the individual bank level to identify this channel of transmission. Our major findings are as follows: i) consistent with banks' autonomous retrenchment in loan supply, monetary tightening broadens the spread between marginal bank lending rates and corporate commercial paper rates; ii) credit limits on overdrafts – arguably a proxy identifying shifts in loan supply – react negatively to the monetary squeeze; iii) large negative capital shocks induce banks to disproportionately slow-down both lending and deposit taking and to disproportionately raise their lending rates. Our findings lend unequivocal support to the hypothesis that banks' autonomous contraction restricted the availability of credit and magnified the increase in its cost. In turn, this compounded the Korean crisis by aggravating liquidity constraints for the vast majority of agents who rely only on bank credit as an external source of funds.     

Desperately seeking cash: Evidence from bank output measurement

We examine the impact of a “near-zero” interest rate policy on bank output. Specifically, we document the existence of negative banking output on deposits for French banks from 2009. We show a structural break in banks' long run interest rate pass-through that explains this change in their business model during the 2003–2012 period. Since the crisis, banks are desperately seeking cash, and deposits have become a cost center. This is due to the new monetary policy and reveals banks' adaptation to the new banking regulation on liquidity. This new environment raises questions about banks' increasing exposure to interest rate risk and shows the necessity of coordinating monetary and regulatory policies.     

Bank liquidity risk and monetary policy. Empirical evidence on the impact of Basel III liquidity standards

We extend the literature on the bank lending channel in two aspects. First, rather than following the literature by analyzing the impact of banks’ liquidity (measured via their asset portfolio) on monetary policy transmission, we study the role of banks’ actual liquidity risk, as measured by the Basel III liquidity regulations. Second, we investigate the effect of complying with the Basel III liquidity standards on monetary policy transmission. We use highly detailed bank-level data from Luxembourg for the period 2003q1--2010q4. Our findings are that monetary policy transmission works its way through small banks that also have a large maturity mismatch, as measured by the Net Stable Funding Ratio. In contrast, large banks with a small maturity mismatch increase their lending following a monetary policy shock, which confirms existing results that Luxembourg’s banks are liquidity providers to the European market. Based upon in-sample predictions and upon simulated data from an optimization model that takes the banks’ business models into account, we conclude that the bank lending channel will no longer be effective once banks adhere to the new Basel III liquidity regulations.