Unconventional monetary policies and the credit market
نویسنده
چکیده
We propose a theoretical model based on the bank lending channel to assess the ability of lending facilities and swap programmes to a¤ect the credit interest rate. The model predicts the success of both unconventional monetary measures in reducing the credit interest rate under very general conditions. The comparison between measures reveals the outperformance of lending facilities over swap programmes if i) the risk premium on the interbank money market is sizeable and the yield on government bonds is low, ii) the share of bank lending obtained from the central bank is below some speci c threshold, iii) the interest rate o¤ered by the central bank on excess reserves is high, and iv) the default rate on loans is high. The quantitative assessment of the model with real data con rms the appropriate response of the Federal Reserve in recent crisis episodes but sheds some doubts on the European Central Bank intervention. Keywords: Bank pro t maximization, credit interest rate, optimal credit supply, unconventional monetary policy. JEL codes: E41, E50, G21. Corresponding author. Address: School of Social Sciences, Department of Economics, University of Southampton, Room 3015, Bld 58 (Murray Bld), High eld Campus, Southampton, SO17 1BJ, UK. Tel: +44(0)23 8059 2537. Fax: +44(0)23 8059 3858.
منابع مشابه
Financial Frictions and Unconventional Monetary Policy in Emerging Economies, Roberto Chang (Rutgers University and NBER), Andrés Velasco (Columbia University and NBER), Paper presented at the 16th Jacques Polak Annual Research Conference, Washington, DC─November 5–6, 2015
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