美联储应对疫情的直达性货币政策工具研究

本文梳理了自2020年3月份以来美联储为应对新冠肺炎疫情采取直达性的货币政策工具,并以其中主街贷款为例,详细分析其通过具体条款、借款人资格限制、利率定价等方式圈定目标企业的范围,促进资金流入实体经济,分析研究发现:美联储系列直达性货币政策工具,一定程度上行使了"准财政"职能,核心目的在于通过短期内大量流动性对冲防止疫情...     

新冠肺炎疫情冲击下美联储货币政策的应对、挑战与方向

本文通过整理此次疫情防控期间美联储的非常规货币政策应对措施和工具,分析美联储当前货币政策面临的主要挑战以及未来后疫情时期的调整空间和方向,以期为我国的货币政策提供有益参考和借鉴.     

美联储应对次贷危机的货币政策工具

在次贷危机的应对中，美联储的货币政策激进、灵活，与正常时期的渐进主义策略大相径庭。文章在对次贷危机以来美联储的货币政策操作进行梳理的基础上，研究美联储应对危机的货币政策机理，发现在危机时期，美联储始终坚持其担负的目标，货币政策体现为及时的、决定性的和灵活的。最后，文章探讨了美联储的危机时期政策对我国央行货币政策操作的启示。     

当前美联储货币政策工具简介

2007年8月次贷危机爆发以来,美联储又陆续推出拍卖式融资便利（TAF）、主经纪商融券便利（TSLF）、主经纪商融资便利（PDCF）等货币政策工具向市场注入流动性。该文通过对联储货币政策操作层面较为细致的分析,详细介绍了美联储所推出的创新型货币政策工具,廓清相关事件的内在联系,并对政策背后的真实含义进行探究。     

美联储创新型货币政策工具——基于机制安排的视角

金融危机管理中,美联储对创新型货币政策工具的运用在缓解金融市场流动性方面发挥了重要作用。然而,创新型工具的运用也带来了新的问题。本文在介绍美联储创新型货币政策工具的同时提出了新工具可能引发的若干问题,在此基础上从机制安排的角度分析了美联储的对策。     

美联储应对金融危机的货币政策效果评估

美国爆发次贷危机后,为应对危机,美联储实施了以＂信贷宽松＂为特征的货币政策,并创新了一系列政策工具。审视2007年至2009年美联储的货币政策实际效果,应该说是成功的。美国金融市场已经趋于稳定,美国经济正在走出衰退,美联储已开始酝酿宽松货币政策的退出战略。     

美联储超预期宽松政策的影响及应对措施

在新冠疫情席卷全球的背景下,美国感染人数最多,疫情对经济金融的影响超出预期。美国政府多部门都纷纷制定法案、出台政策予以应对,其中美联储推出的经济救助计划无论从规模和范围上都是史无前例的。本文梳理了美联储应对新冠疫情的诸多政策,剖析政策或将对全球经济金融的影响,并就我国应如何应对提出若干建议。     

美联储疫情救助工具的使用和退出情况简析

2020年3-4月,面对新冠疫情冲击,美联储针对国内金融市场、实体经济和美元国际市场,先后推出十大紧急流动性救助工具,起到了稳定市场信心、降低市场主体融资成本的作用。目前,外国央行回购工具已转为常备工具,其余九项工具已经到期。整体来看,美联储疫情期间推出的流动性救助工具使用规模不大,对美联储资产负债表影响有限,但发挥了预期引导作用,通过少量操作“以小博大”,起到了积极效果。     

美联储货币政策工具变量对有效利率的影响

本文使用了结构向量自回归模型对2003年1月-2012年10月美国次贷危机前后美联储基础货币供给量、存款准备金月度余额和公开市场业务对美联储有效利率的影响进行了实证分析。经过模型实证分析可知,美联储这三大基础货币工具的变动对美联储有效利率的影响方向和力度都发生了变化,这些变化正说明美国经济目前已经进入"流动性陷阱"当中,同时金融机构的"惜贷"较为严重,美联储在次贷危机之后的公开市场业务是有效的。     

美联储货币政策转向:背景、事实与应对

新冠肺炎疫情暴发以来,美联储采取了无限量宽松的货币政策,全球主要央行纷纷跟进,随之衍生的货币超发给世界经济带来深刻影响。在此背景下,关于美联储在何种时间、以何种方式、按何种节奏进行政策转向,成为理论界和全球市场投资者共同关心的问题。历史来看,历次美联储政策转向的逻辑都与同时代美国经济基础和主流经济哲学嬉变高度相关。本次疫情应对中,美联储再次调整货币政策目标框架,决策相机性明显增强,大大增加了政策转向的预判难度。根据当前形势,美联储可能于2021年年底完成前瞻指引,并最早在2022年年底正式进入加息进程。在此过程中,美联储货币政策实践主要面临四个矛盾:一是控制通胀与促进就业之间的矛盾;二是维护金融稳定与恢复实体经济之间的矛盾;三是“最后贷款人”与“最后做市商”之间的矛盾;四是美元体系“短期稳定”与“长期可持续”之间的矛盾。当下,在中美宏观政策及其经济基础存在明显差异的条件下,中国应保持灵活审慎的货币政策以平衡“促发展”与“防风险”,在继续深化金融改革的同时注重K型复苏对社会的深刻影响,并应更加重视中美货币政策合作与国际金融协调。     

美联储货币政策对我国资产价格的影响

本文利用事件研究法考察了美联储货币政策对我国资产价格的影响。研究发现美联储货币政策会显著影响我国资产价格,美联储加息会降低我国债券和股票回报,降息则会提高债券和股票回报。将美联储货币政策进行细分后发现,预期到的货币政策调整对债券市场和股票市场的回报都有显著影响,而未预期到的货币政策调整和前瞻性指引只影响债券市场。进一步的研究表明,未预期到的美联储货币政策调整和前瞻性指引还会加剧我国金融市场的波动率。本文的研究结论为美联储货币政策对我国经济金融的影响提供了新的证据,对于投资者提高投资收益、降低投资风险以及货币当局完善我国货币政策调控和维护我国金融市场稳定具有重要意义。     

金融危机前后的美联储货币政策调控方式演变

2008年国际金融危机前后,美联储的货币政策调控方式发生了明显变化.从金融危机之前准备金短缺下的公开市场操作调控转变为金融危机之后准备金充裕下的利率走廊与公开市场操作相结合的调控方式.本文详细分析了危机前后美联储货币政策调控方式的变化情况,这对于理解和预测未来美联储货币政策调控具有重要意义.     

美联储复合型宽松货币政策的实践及正常化

在由次贷危机引发的全球金融海啸中,美国金融体系和实体经济都遭受了巨大的冲击。一段时期内,流动性短缺和信贷可得性急剧下降且循环往复,诸多系统重要性金融机构面临破产或申请救助,房地产市场降至冰点,失业率迅速攀高至两位数,宏观经济陷入负增长,美国甚至面临再次陷入"大萧条"的风险。针对危机中金融体系和实体经济的复杂"病灶",关联储在强化传统货币政策工具应用的同时,实施了大量的非常规货币政策,最终取得了显著的成效。本文详细地梳理和评价了自危机以来美联储所实施的"复合型"宽松货币政策及其综合"疗效",包括了对系统重要性金融机构的直接和间接救助、常规价格型货币政策工具的应用、非常规数量型货币政策工具的应用等等。本文还探讨了美联储货币政策正常化的现实和理论基础,指出今年稍后时间美联储或将首次提高联邦基金利率,并在未来的三年内逐步提高至使中期通胀达到2%左右的名义利率水平。     

Monetary Policy Implementation: Making Better and More Consistent Use of the Federal Reserve's Balance Sheet

Since December 2015, the Federal Reserve has operated a new “floor system” in which it brings about desired changes in its targeted federal funds rate by managing the interest rate it pays on bank reserves and other short‐term liabilities. The design of this new system reflects the tendency of Fed officials to view monetary policy as affecting the economy through Keynesian” interest rate channels. From this Keynesian perspective, policy actions that change the size of the balance sheet are seen as tools for influencing credit market conditions that operate in addition to and independently of the Fed's monetary policy stance. The alternative monetarist framework proposed by the author views monetary policy and its effects as operating through the interaction between money supply and demand. Use of this framework makes clear that, even under a floor system, monetary policy actions designed to affect the aggregate price level and the rate of inflation must be accompanied sooner or later by traditional open market operations that have implications for the size and composition of the Fed's balance sheet. Use of the monetarist framework also underscores the likelihood that the Fed, by paying interest on reserves, has unknowingly contributed to the restrictiveness of its own monetary policies since the financial crisis, a period during which inflation has run consistently below target. More generally, the monetarist framework downplays the importance of the zero lower interest rate bound and suggests that monetary policy could be conducted more effectively by adopting and adhering to a consistent, rule‐like manner during good times and bad.     

The Causality Effects of the Federal Reserve's Monetary Policy on U.S. and Eurodollar Interest Rates

Previous studies argue that U.S. interest rates will become more sensitive to changes in eurodollar rates as international financial-market integration increases. However, the empirical results of these studies are suspect because they select their subperiods in an ad hoc manner and ignore the different trading hours of the U.S. and London markets. This study adjusts for the markets' different trading hours and uses Goldfeld and Quandt's switching regression technique to show that the causal relation between U.S. CD rates and eurodollar rates is impacted by the Federal Reserve's monetary policy. Because the latest subperiod exhibits uni-directional causality (i.e., U.S. interest rates cause changes in eurodollar rates), the results cast doubt on the implicit assumption made in the literature that interest-rate causality is only affected by increasing levels of financial-market integration.     

Evaluation of the Federal Reserve's financial-crisis timeline

The present paper evaluates the effect that the events and policy actions important for the Federal Reserve had in five US financial markets. Analysis concentrates on events starting from February 2007 up to August 2009, as dictated by the financial-crisis timeline of the Federal Reserve Bank of St. Louis. Evaluation is indicated via an economic and statistical significance criterion. The former is based on Sharpe-ratio and the latter on Welch's t-test. Robustness of the latter criterion as appropriate for event evaluation is provided via a Kolmogorov–Smirnov test. An overall comparative analysis across the board of categories of the financial events is provided as well. Are there categories of events more significant than others? Is it fiscal decisions or policy actions that more significantly affect US financial markets? Results suggest that academics, economists and financiers re-think the significance of some of the events and policy decisions. Analysis is implemented in the following US financial markets: stock spot indices, stock index futures, Exchange Traded Funds, US Treasury bond futures and spot exchange rates.     

Monetary Policy Response to Oil Price Shocks

How should monetary authorities react to an oil price shock? This paper shows that in a noncompetitive economy, policies that perfectly stabilize prices entail large welfare costs, hence explaining the reluctance of policymakers to enforce them. The policy trade‐off is nontrivial because oil (energy) is an input to both production and consumption. As welfare‐maximizing policies are hard to implement and communicate, I derive a simple interest rate rule that depends only on observables but mimics the optimal plan in all dimensions. The optimal rule is hard on core inflation but accommodates oil price changes.     

Federal Reserve Monetary Policy and Industry Stock Returns

Recent studies identify stock return patterns associated with changes in Federal Reserve monetary policy. We find that these return patterns prevail across sixteen industry stock indices. However, significant cross-industry variation exists as the apparel industry exhibits mean annual returns that are 50% higher under an expansive Fed policy than under a restrictive policy, while the same return difference for the oil industry is only 20%. This cross-industry variation suggests that monetary conditions may be used by investors to estimate different expected returns across industries. Furthermore, the findings support the view that monetary considerations should be considered in ex ante asset pricing models such as the CAPM.     

The Federal Reserve's Tools for Policy Normalization in a Preferred Habitat Model of Financial Markets

We develop a model to analyze monetary policy implementation with multiple Federal Reserve liabilities and superabundant reserves. The analysis demonstrates the Federal Reserve's tools including interest on excess reserves (IOER), overnight reverse repurchase agreements (ON RRP), and term deposits should allow the Federal Reserve to raise the short‐term interest rates to any desired level. We find the contribution of each the increase in the IOER and ON RRP offering rates in firming money market rates suggested by the data during the December 2015 policy tightening event is remarkably similar to the effect of each tool implied by the calibrated model.