Internal Capital Markets in Financial Conglomerates: Evidence from Small Bank Responses to Monetary Policy

This paper looks at internal capital markets in financial conglomerates by comparing the responses of small subsidiary and independent banks to monetary policy. I find that internal capital markets in financial conglomerates relax the credit constraints faced by smaller bank affiliates. Further analysis indicates that those markets lessen the impact of Fed policies on bank lending activity. The paper also examines the role of internal capital markets in influencing the investment allocation process of those conglomerates. My findings suggest that frictions between conglomerate headquarters and external capital markets are at the root of investment inefficiencies generated by internal capital markets.     

货币政策与宏观审慎政策共同支持宏观经济稳定

货币政策是维持宏观经济稳定运行的重要政策工具,但2007—2009年国际金融危机表明,仅仅保持物价水平稳定,忽视金融风险,并不足以维持宏观经济稳定。近年来中国提出双支柱宏观政策框架以支持宏观经济稳定,这一创新具有重要的理论与现实意义。我们首先提出了双支柱宏观调控的框架,强调应该注重两类政策目标的协同与矛盾、政策传导渠道的相互交叉与影响、冲击类型与开放条件的差异等,从而保证双支柱宏观调控对宏观经济的稳定效应。接下来,我们建立了一个DSGE两国模型,作为分析双支柱宏观调控稳定宏观经济的案例研究。研究表明,第一,金融冲击下,货币政策有助于稳定宏观经济,且随着汇率制度从固定转向浮动,货币政策稳定宏观经济的效果会明显加强。第二,在货币政策的基础上,增加以跨境资本流入税为代表的宏观审慎政策工具,可以有效遏制金融市场的顺周期机制,进一步提高宏观经济的稳定性,从而验证了双支柱宏观调控的有效性。第三,双支柱宏观调控的有效性与汇率制度有关,当汇率灵活性水平较低时,双支柱宏观调控对宏观经济的稳定效果更好。     

What Is in a Name? Purchases and Sales of Financial Assets as a Monetary Policy Instrument

This paper studies optimal interest rate and balance sheet policy in a quantitative New Keynesian model with a constrained financial sector, considering commitment versus discretion in monetary policy design and fixing either instrument. Optimal interest rate policy under commitment (discretion) achieves 93.0% (82.6%) of the potential gains to dual instrument monetary policy under commitment. Optimal discretionary dual instrument policy eliminates the cost of commitment limitations and exhibits no inflationary bias. Under commitment, the optimal balance sheet policy eliminates the cost of suboptimal interest rate policy, for example, an interest rate peg. Finally, I compare optimal policies to implementable rules-based policies.     

经常账户冲击、资本账户管理与中央银行货币政策操作

经常账户负向冲击及引发的宏观变量联动性通常对各经济体央行货币政策操作构成挑战。本文构建了融入经常账户冲击的小型开放经济DSGE模型,比较了采取不同资本账户管理工具(数量型和价格型)情景下,央行执行数量型货币政策规则、盯住CPI通胀泰勒规则、盯住PPI通胀泰勒规则下,经常账户负向冲击对货币政策操作的异质性影响及传导机制,并进行了福利分析。主要结论如下：第一,经常账户负向冲击将对本国央行货币政策操作构成一定影响;第二,资本账户管理可以成为缓冲经常账户负向冲击的防火墙,价格型资本账户管理工具与盯住PPI通胀泰勒规则相结合造成的福利损失较小;第三,经常账户贸易端与收益端双重负向冲击对一国货币政策操作的影响更大,但公众预期到的经常账户恶化对货币政策操作的影响将有所减弱。本文认为,转型经济体央行应倾向于执行价格型货币政策规则,最优货币政策应在稳定价格水平与缓释风险方面进行权衡,适度降低对名义汇率的关注度,稳慎推进资本账户开放进程,并可优先选择价格型资本账户管理工具。     

The Credit Channel at the Zero Lower Bound through the Lens of Equity Prices

This study examines the impact of unconventional monetary policies on the stock market when the short‐term nominal interest rate is stuck at the zero lower bound (ZLB). Unconventional monetary policies appear to have significant effects on stock prices and the effects differ across stocks. In agreement with existing credit channel theories, I find that firms subject to financial constraints react more strongly to unconventional monetary policy shocks [especially large‐scale asset purchases (LSAPs)] than do less constrained firms. These results imply that the credit channel is as important as the interest rate channel in the transmission of unconventional monetary policies at the ZLB.     

Macroprudential regulation,credit spreads and the role of monetary policy

We study the macroprudential roles of bank capital regulation and monetary policy in a borrowing cost channel model with endogenous financial frictions, driven by credit risk, bank losses and bank capital costs. These frictions induce financial accelerator mechanisms and motivate the examination of a macroprudential toolkit. Following credit shocks, countercyclical regulation is more effective than monetary policy in promoting price, financial and macroeconomic stability. For supply shocks, combining macroprudential regulation with a stronger anti-inflationary policy stance is optimal. The findings emphasize the importance of the Basel III accords in alleviating the output-inflation trade-off faced by central banks, and cast doubt on the desirability of conventional (and unconventional) Taylor rules during periods of financial distress.     

各国央行非常规货币政策综述

美国次贷危机爆发以来,全球金融系统和实体经济遭遇了严重冲击,为了有效缓解负面冲击,各国央行纷纷推出各种宽松性货币政策,但在实际应用中,传统货币政策不能有效克制危机,美联储等央行纷纷求助于量化宽松等新型非常规货币政策。目前来看,非常规货币政策产生了积极影响,美国等经济体实现了就业的改善、金融系统的稳定和经济增长的复苏。为全面了解货币政策,本文系统归纳了美联储等央行采取的各类非常规货币政策,探讨了非常规货币政策的实施途径及效能得失,并总结了美联储采取非常规货币政策的主要经验。     

货币政策和银行风险承担：一种非线性关系

宽松的货币政策会通过估值、收入和现金流机制,追逐收益机制以及中央银行沟通和反应机制等渠道增加银行风险承担,通过风险转移机制降低银行风险承担,从而导致货币政策与银行风险承担之间可能存在复杂的非线性关系。本文使用面板阈值模型,基于我国银行业数据研究了货币政策对银行风险承担的影响,发现我国货币政策对银行风险承担的影响存在门限效应,即货币政策对银行风险承担的影响取决于货币政策基准利率偏离泰勒规则利率的程度。当这种偏离小于门限值时,宽松货币政策会增加银行风险承担;当这种偏离大于门限值时,宽松货币政策会降低银行风险承担。本文研究对更好地理解我国货币政策对银行风险承担及金融稳定的影响有一定参考意义。     

Capital controls and optimal Chinese monetary policy

China׳s external policies, including capital controls, managed exchange rates, and sterilized interventions, constrain its monetary policy options for maintaining macroeconomic stability following external shocks. We study optimal monetary policy in a dynamic stochastic general equilibrium (DSGE) model that incorporates these “Chinese characteristics”. The model highlights a monetary policy tradeoff between domestic price stability and costly sterilization. The same DSGE framework allows us to evaluate the welfare implications of alternative liberalization policies. Capital account and exchange rate liberalization would have allowed the Chinese central bank to better stabilize the external shocks experienced during the global financial crisis.     

Monetary Policy,Bank Lending,and the Risk‐Pricing Channel

This paper identifies a monetary policy channel through the risk pricing of bank debt in the market for jumbo certificates of deposit (jumbo CDs). Adverse policy shocks increase debt holder perceptions of bank default, increasing the risk premia for some banks, thereby decreasing their external funding of loans. The results show that contractionary policy increases the sensitivity of jumbo‐CD spreads to leverage and asset risk for small banks, and to leverage for large banks. The results also show a distributional and aggregate effect on banking system jumbo CDs and total loans, producing a risk‐pricing (or market discipline) channel. This channel has implications for monetary and regulatory policies, and financial stability.     

投资潮涌、双重金融摩擦与货币政策传导——转型时期货币政策的结构调控功能探究

在银行融资与企业融资两大市场均存在金融摩擦的条件下,经济转型时期的“投资潮涌”蕴含重要货币经济学含义。以货币政策调控行业过剩产能为例,本文为解释转型时期中国货币政策结构调控功能构建一个理论分析框架,并对相关理论假说进行实证检验。经验证据显示:当不同产能过剩行业的企业在抵押能力信息传递上存在系统异质性时,货币政策具有显著产能调控功能,而调控作用的大小与企业产权结构以及货币政策工具类型有关。通过融合“投资潮涌”与BGG理论,本文将BGG理论中的货币政策效应异质性从企业层面拓展至行业层面,进而揭示了传统非结构性货币政策在转型经济背景下何以具有结构调控功能的理论机制。结论表明,进一步夯实金融市场微观基础,协同推进实体经济供给侧结构性改革与利率市场化改革,对于健全价格型货币政策调控体系至关重要。文章也为通过进一步完善和创新分类调控政策思路,实现灵活精准、合理适度的货币政策操作路径提供了政策启示。     

美联储政策变化、国际资本流动与宏观经济波动

本文构建包含国际投资者、外资企业和银行流动性冲击的DSGE模型来探究美联储货币政策变动和政策不确定性对我国宏观经济的影响和作用机制。研究发现:(1) 美联储加息会导致我国产出、投资和通货膨胀的下降、汇率贬值、国际资本外流和银行系统流动性紧张。随着金融摩擦程度的增加和银行杠杆率的上升,美联储加息对我国产出、投资和资产价格的负面影响会进一步增强。(2) 美联储货币政策不确定性的增加会直接导致外资企业的投资、劳动需求和产出的下降,并对我国总产出、总投资和资产价格产生明显的负向外溢效应,进一步加剧我国宏观经济的波动。(3)为应对美联储的利率变动,适当限制国际资本流动能有效稳定我国经济波动和改善社会福利,而实施固定汇率和央行盯住美国利率的政策会加大宏观经济的波动,并导致社会福利下降。     

Estimating monetary policy effects when interest rates are close to zero

Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies based on the data from Japan. We find that when interest rates are at zero, the output effect of exogenous shocks to monetary policy is cut in half if the central bank continues to target the interest rate. The conditional impulse response functions allow us to isolate the effect of monetary policy shocks operating through the interest rate channel when other possible channels of monetary transmission are present.     

Corporate debt and unconventional monetary policy: The risk-taking channel with bond and loan contracts

We investigate the effects of unconventional monetary policies on corporate debt through the risk-taking channel using corporate bond and syndicated loan contracts from 2000 to 2016 in Japan. In this period, the policy rate remained fixed near the zero bound. Using the daily changes in the yield curve on monetary policy meeting days, we identify one call rate shock and two unconventional monetary policy shocks that do not affect short-term rates. We find that QE shocks, which move all medium-to-long-term rates, increase the maturity of debt contracts, especially for syndicated loans. In addition, such QE shocks decrease the size of corporate bonds with short maturity. On the other hand, QQE shocks, which raise medium-term rates and lower long-term rates, decrease the size of loans and corporate bonds with longer maturity. These effects imply the existence of the risk-taking channel of unconventional monetary policy: it stimulates investment in longer-maturity assets and decreases investment in assets with lower yields. Our findings show that unconventional policies affect debt contracts even in an extremely low interest rate environment.     

全球金融周期、美国货币政策与“三元悖论”

全球金融周期存在的背景下“三元悖论”是否依然成立充满争议。本文通过构建包含银行与金融摩擦的两国DSGE模型,为考察全球金融周期的形成提供了理论依据。美国货币政策通过资本流动传导到外围国金融市场,使外围国信贷利率、银行风险承担以及杠杆率与美国银行趋同,形成全球金融周期。金融渠道的传导速度快于实体经济渠道导致外围国国内经济周期与金融周期相背离,外围国想要稳定经济就不得不与美国保持同向的政策利率变化,货币政策独立性将不再存在。随着全球经济一体化进程加速,估值效应的作用越来越明显,浮动汇率制度并不能隔离全球金融周期的影响也无法保证货币政策的独立性。在资本账户开放的情况下,外围国金融市场越不发达,受全球金融周期的影响越大,货币政策越不独立。     

货币政策冲击对实体企业投资选择影响的“宿醉效应”

本文研究货币政策冲击对实体企业投资选择的动态影响效应。与传统分析方法不同,本文运用利率衍生品价格数据来识别中国货币政策冲击,利用工具变量局部投影法获得货币政策冲击对微观实体企业投资选择的动态影响效应。研究表明,动态效应呈现出更丰富的信息:货币政策冲击对企业金融资产占比有显著驱动效应,效应大小表现出先升后降趋势,在冲击发生一年半后达到峰值。值得注意的是,货币政策冲击会导致企业货币资金占比在短期内显著减少,而在中长期显著增加。进一步分析表明,货币政策冲击使实业投资和金融投资在短期内都更有利可图,所以在短期内企业倾向于减少货币资金占比,增加非货币金融资产投资和实业投资;政策冲击在中长期对企业资产收益率的提升作用消退,盈余效应使企业在中长期的金融资产占比提高,表现出一定的“宿醉效应”。     

创新内含碳中和目标的结构性货币政策

2020年9月,我国提出努力争取2060年前实现碳中和,宣示了向低碳经济转型的战略。在实现碳中和目标过程中,货币政策起着极其重要的金融稳定、风险防控、融资引导作用,也将在其间经历相应调整。本文归纳总结了目前国内外对结构性货币政策的理论探讨和政策实践,分析了构建与碳中和一致的结构性货币政策的必要性,提出在碳中和目标下货币政策应采取更为积极的立场主动促进经济低碳转型,走向包含碳中和目标的结构性货币政策。本文同时讨论了构建与碳中和一致的结构性货币政策框架面临的理论和政策挑战,并提出了相关政策建议。     

Euro area banking and monetary policy shocks in the QE era

This paper assesses the effects of monetary policy shocks on the macroeconomy and the euro area banking sector after the global financial crisis. First, financial risk-return indicators of the banking sector based on a compound option-based structural credit risk model are embedded in a large macro-financial quarterly database covering the period 2008Q4–2019Q4. Second, a SFAVAR identifies and estimates the shocks’ responses relating them to the endogenous build-up of banks’ vulnerabilities which are consistent with the internally coherent structure of the credit risk model. By introducing structure in the understanding of banks’ asset-liability management behavior following monetary policy shocks, the research strategy contributes to disentangling results that are often mixed in the empirical literature. The study finds that unconventional monetary policy, in particular the Asset Purchase Program of the European Central Bank, seems to have been more successful than conventional monetary policy in raising output and inflation. The desired boost to bank lending has been muted and loan cyclicality has varied across countries and loan types. The performance of the banking sector following monetary policy shocks can be characterized by a drop in expected return on equity and assets, a relaxation of lending conditions and increased correlation between banks’ assets return and the market return, a mechanism pointing to enhanced risk-taking. While banks’ probabilities of default fall following monetary policy shocks, the price of risk increases. Banks’ net worth rises via higher market capitalization and implied assets value together with lower volatility, despite often incurring more debt. Risk-taking in the banking sector may pose a risk to financial stability, especially if its effects on banks’ vulnerability spread and increase systemic risk. The unintended endogenous build-up of macro-financial vulnerabilities may need to become part of monetary policymaking.     

面对货币政策调控时外资银行、本土银行信贷行为相同吗——基于MS-VAR模型的实证分析

本文利用MS-VAR模型分析了外资银行、本土银行在面对货币政策调控时的信贷行为,发现不论是在货币政策相对紧缩时期还是相对扩张时期,本土银行发放的信贷都会随货币供给增加而增加;外资银行信贷反应相对较弱;在货币政策相对扩张时期,外资银行发放的信贷会随着货币供给的增加而增加,但是在货币政策相对紧缩时期,其发放的信贷并不会随货币供给的增加而增加。本文对于加强货币政策调控有一定的启示作用。     

External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets

Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that “when the U.S. sneezes, emerging markets catch a cold.” At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks.