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  • 标题:Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking
  • 本地全文:下载
  • 作者:Florian Heider ; Agnese Leonello
  • 期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
  • 印刷版ISSN:1830-3420
  • 电子版ISSN:1830-3439
  • 出版年度:2021
  • 卷号:2021
  • 语种:English
  • 出版社:European Central Bank
  • 摘要:This paper develops a simple analytical framework to study the impact of central bank policy-rate changes on banks’ credit supply and risk-taking incentives. Unobservable expost bank monitoring of loans creates an external-financing c onstraint, w hich determines bank leverage. Unobservable, costly ex-ante screening of borrowers determines the level of bank risk-taking. More risk-taking tightens the external-financing c onstraint. T he policy rate affects the external-financing c onstraint b ecause i t a ffects b oth t he r eturn o n outside investors’ alternative investments and loan rates. In a low rate environment, a policy-rate cut reduces bank funding costs less because of a zero lower bound (ZLB) on retail deposit rates. Bank risk-taking is a necessary but not sufficient for a policy-rate cut to become contractionary ("reversal"). Reversal can occur even though banks’ net-interest margins increase. Credit market competition plays an important role for the interplay of monetary policy and financing s tability. When banks have market power, a policy-rate cut can increase lending and still lead to risk-taking. We use our analytical framework to discuss the literature on how monetary policy affects the credit supply of banks, with special emphasis on low and negative rates.
  • 关键词:deposits;zero-lower bound;bank lending;equity multiplier
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