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The ‘New Normal’ During Normal Times – Liquidity Regulation and Conventional Monetary Policy 正常时期的“新常态”——流动性监管与传统货币政策
De Nederlandsche Bank Research Paper Series Pub Date : 2021-01-07 DOI: 10.2139/ssrn.3763715
Sînziana Kroon, C. Bonner, I. van Lelyveld, Jan Wrampelmeyer
{"title":"The ‘New Normal’ During Normal Times – Liquidity Regulation and Conventional Monetary Policy","authors":"Sînziana Kroon, C. Bonner, I. van Lelyveld, Jan Wrampelmeyer","doi":"10.2139/ssrn.3763715","DOIUrl":"https://doi.org/10.2139/ssrn.3763715","url":null,"abstract":"We analyze the impact of a requirement similar to the Basel III Liquidity Coverage Ratio (LCR) on conventional monetary policy implementation. Combining unique data sets of Dutch banks from 2002 to 2005, we find that the introduction of the LCR impacts banks’ behaviour in open market operations. After the introduction of the LCR, banks bid for higher volumes and pay higher interest rates for central bank funds. In line with theory, banks reduce their reliance on overnight and short term unsecured funding. We do not observe a worsening of collateral quality pledged in open market operations. Thus, to correctly anticipate an open market operation’s effect on interest rates, monetary policy requires central banks to consider not only the size of the operation, but also how it impacts banks’ liquidity management and compliance with the LCR.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"237 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122118299","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A Structural Investigation of Quantitative Easing 量化宽松的结构研究
De Nederlandsche Bank Research Paper Series Pub Date : 2020-08-04 DOI: 10.2139/ssrn.3668257
G. Goy, Felix Strobel, Gregor Boehl
{"title":"A Structural Investigation of Quantitative Easing","authors":"G. Goy, Felix Strobel, Gregor Boehl","doi":"10.2139/ssrn.3668257","DOIUrl":"https://doi.org/10.2139/ssrn.3668257","url":null,"abstract":"\u0000 Using nonlinear Bayesian methods that fully account for the binding zero lower bound (ZLB), we estimate a large-scale macro-finance DSGE model on US data. Counterfactual analysis suggests that by easing financing conditions, quantitative easing facilitated a net increase in aggregate investment. The resulting expansion of firms' production capacities lowered their marginal costs. These disinflationary supply side effects dominated over the inflationary effects induced by the stimulus to aggregate demand. At the ZLB, the concomitant rise in real interest rates, in turn, induced a net fall in aggregate consumption.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115137491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Demand Shocks for Public Debt in the Eurozone 欧元区公共债务的需求冲击
De Nederlandsche Bank Research Paper Series Pub Date : 2020-03-02 DOI: 10.2139/ssrn.3548059
A. Lengyel, Massimo Giuliodori
{"title":"Demand Shocks for Public Debt in the Eurozone","authors":"A. Lengyel, Massimo Giuliodori","doi":"10.2139/ssrn.3548059","DOIUrl":"https://doi.org/10.2139/ssrn.3548059","url":null,"abstract":"In this paper we use high-frequency (intraday) government bond futures price changes around German and Italian Treasury auctions to identify unexpected shifts in the demand for public debt. Estimates show that positive demand shocks lead to large and persistent negative movements in Treasury yields. There is also evidence of significant spillover effects into Treasury bond, equity and corporate bond markets of other euro area countries. We find interesting differences in the effects of demands shocks between the two countries, which are consistent with the “safe-haven” status of German bonds versus the “high-debt” status of Italian Treasuries. Results also suggest that these effects are stronger during periods of high financial stress. <br>","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126712193","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Evolution of Monetary Policy Frameworks in the Post-crisis Environment 后危机环境下货币政策框架的演变
De Nederlandsche Bank Research Paper Series Pub Date : 2020-01-07 DOI: 10.2139/ssrn.3515347
A. Samarina, Nikos Apokoritis
{"title":"Evolution of Monetary Policy Frameworks in the Post-crisis Environment","authors":"A. Samarina, Nikos Apokoritis","doi":"10.2139/ssrn.3515347","DOIUrl":"https://doi.org/10.2139/ssrn.3515347","url":null,"abstract":"This paper evaluates the changes in monetary policy frameworks made by 14 central banks in advanced economies over the period 2007-2018. We draw several conclusions about the evolution of their monetary policy strategies. There has been a tendency among central banks to move towards more narrowly defined inflation targets and to lower the (mid)point of the target. Additionally, transparency and commitment of central banks have been enhanced, and monetary policy toolkit has been expanded.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116875138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Capital Regulations and the Management of Credit Commitments During Crisis Times 危机时期的资本监管和信贷承诺管理
De Nederlandsche Bank Research Paper Series Pub Date : 2019-12-12 DOI: 10.2139/ssrn.3505151
Paul J. Pelzl, M. Valderrama
{"title":"Capital Regulations and the Management of Credit Commitments During Crisis Times","authors":"Paul J. Pelzl, M. Valderrama","doi":"10.2139/ssrn.3505151","DOIUrl":"https://doi.org/10.2139/ssrn.3505151","url":null,"abstract":"Drawdowns on credit commitments by firms reduce a bank's regulatory capital ratio. Using the Austrian Credit Register, we provide novel evidence that during the 2008-09 financial crisis, capital-constrained banks managed this concern by substantially cutting partly or fully unused credit commitments. Controlling for a bank's capital position, we also find that greater liquidity problems induced banks to considerably cut such credit commitments during the crisis. These results suggest that banks actively manage both capital and liquidity risk caused by undrawn credit commitments in periods of financial distress, but thereby reduce liquidity provision to firms exactly when they need it most.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132504983","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Quantitative Easing and Exuberance in Stock Markets: Evidence from the Euro Area 量化宽松与股市繁荣:来自欧元区的证据
De Nederlandsche Bank Research Paper Series Pub Date : 2019-11-28 DOI: 10.2139/ssrn.3498327
R. Lamoen, Nander de Vette, Tom Hudepohl
{"title":"Quantitative Easing and Exuberance in Stock Markets: Evidence from the Euro Area","authors":"R. Lamoen, Nander de Vette, Tom Hudepohl","doi":"10.2139/ssrn.3498327","DOIUrl":"https://doi.org/10.2139/ssrn.3498327","url":null,"abstract":"In response to a prolonged period of low inflation, the European Central Bank (ECB) introduced Quantitative Easing (QE) in an attempt to steer inflation to its target of below, but close to, 2% in the medium term. This paper examines whether QE contributes to exuberance in euro area stock markets by using recent advances in bubble detection techniques (the GSADF-test). We do so by linking price developments in 10 euro area stock markets to a series of country specific macro fundamentals and QE. The results indicate that periods of QE coincide with exuberant investor behaviour, even after controlling for improving macro fundamentals.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115093434","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Beyond the Zero Lower Bound: Negative Policy Rates and Bank Lending 超越零下限:负政策利率和银行贷款
De Nederlandsche Bank Research Paper Series Pub Date : 2019-09-26 DOI: 10.2139/ssrn.3467618
G. Tan
{"title":"Beyond the Zero Lower Bound: Negative Policy Rates and Bank Lending","authors":"G. Tan","doi":"10.2139/ssrn.3467618","DOIUrl":"https://doi.org/10.2139/ssrn.3467618","url":null,"abstract":"How do banks operate in a negative policy rate environment? Bank profitability is threatened by policy rate cuts in negative territory because the zero lower bound on retail deposit rates prevents banks from benefiting from cheaper deposit funding costs. Contrary to some earlier research, this paper finds that banks most affected by negative rates through this retail deposits channel increase their lending relative to less affected banks. The response is limited to mortgage lending, and is driven by banks with high household deposit ratios and banks with high overnight deposit ratios. Overall, net interest margins are unaffected, which implies that the volume effect is large enough to offset the adverse impact on bank profitability. However, the positive effect on lending dissipates as negative rates persist. This suggests that although the \"reversal rate\" has not been breached, it may creep up over time as banks become more limited in their options to maintain profit margins. The results also point to an important role for bank capitalisation - net interest margins of relatively highly capitalised banks are squeezed, whereas the net interest margins of less capitalised banks are unaffected. This can be explained by differences in capacity for shock absorbency.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114362003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Behavioral Learning Equilibria in the New Keynesian Model 新凯恩斯模型中的行为学习均衡
De Nederlandsche Bank Research Paper Series Pub Date : 2019-09-01 DOI: 10.2139/ssrn.3450570
C. Hommes, K. Mavromatis, Tolga Ozden, Mei Zhu
{"title":"Behavioral Learning Equilibria in the New Keynesian Model","authors":"C. Hommes, K. Mavromatis, Tolga Ozden, Mei Zhu","doi":"10.2139/ssrn.3450570","DOIUrl":"https://doi.org/10.2139/ssrn.3450570","url":null,"abstract":"We introduce the concept of behavioral learning equilibrium (BLE) into a high dimensional linear framework and apply it to the standard New Keynesian model. For each endogenous variable, boundedly rational agents use a simple, but optimal AR(1) forecasting rule with parameters consistent with the observed sample mean and autocorrelation of past data. The main contributions of our paper are fourfold: (1) we derive existence and stability conditions of BLE in a general linear framework, (2) we provide a general method for Bayesian likelihood estimation of BLE, (3) we estimate the baseline NK model based on U.S. data and show that the relative model fit is better under BLE than REE, (4) we analyze optimal monetary policy under BLE and show that it differs from REE. In particular, we find that the transmission channel of monetary policy is stronger under BLE at the estimated parameter values.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116244268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Animal Spirits and Household Spending in Europe and the US 动物精神与欧洲和美国的家庭支出
De Nederlandsche Bank Research Paper Series Pub Date : 2019-08-14 DOI: 10.2139/ssrn.3437732
Bahar Öztürk, A. Stokman
{"title":"Animal Spirits and Household Spending in Europe and the US","authors":"Bahar Öztürk, A. Stokman","doi":"10.2139/ssrn.3437732","DOIUrl":"https://doi.org/10.2139/ssrn.3437732","url":null,"abstract":"We investigate whether consumer confidence has an independent effect on household spending. First, we control for a common set of factors that drive both consumer confidence and household spending. Next, we interpret the non-systematic residuals in the country consumer confidence equations as a proxy for animal spirits, \"a spontaneous urge to action rather than inaction\" in Keynes' words, and subsequently include this proxy in the spending equations as an additional explanatory variable. Our results suggest that animal spirits exist and may have a considerable impact on spending growth in Europe and the US.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131777437","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Debt Shift, Financial Development and Income Inequality 债务转移、金融发展与收入不平等
De Nederlandsche Bank Research Paper Series Pub Date : 2019-08-01 DOI: 10.2139/ssrn.3436782
D. Bezemer, A. Samarina
{"title":"Debt Shift, Financial Development and Income Inequality","authors":"D. Bezemer, A. Samarina","doi":"10.2139/ssrn.3436782","DOIUrl":"https://doi.org/10.2139/ssrn.3436782","url":null,"abstract":"Does financial development increase income inequality? Ambiguous answers to this question may be due to over-aggregation of 'financial development'. In a sample of 40 developed economies over 1990-2013, we study the effects on income inequality of different components of financial development. There was a shift in bank credit allocation, away from supporting investments by non-financial firms and towards financing real estate markets ('debt shift'). In system-GMM estimations, we find that mortgage credit increases income inequality while credit to non-financial business reduces inequality. The effect of business credit is conditional on macroeconomic and labor market factors related to broader income formation, such as wage share, investment, trade openness, and labor force participation. House prices and the size of the real estate sector condition the impact of mortgage credit on income inequality.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122380727","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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