Negative Nominal Interest Rates and the Bank Lending Channel
Negative Nominal Interest Rates and the Bank Lending Channel
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负名义利率与银行贷款渠道
DOI：
10.2139/ssrn.3334966
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Ella Getz Wold
中科院分区：
文献类型：
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作者：
Gauti B. Eggertsson;Ragnar E. Juelsrud;L. Summers;Ella Getz Wold
2008年危机之后，几家央行进行了一项新实验，设定负政策利率。使用总量和银行层面的数据，我们的文件，存款利率停止响应政策利率一旦他们去负，在某些情况下，银行贷款利率上升，而不是下降，以应对政策利率下调。在实证研究的基础上，我们构建了一个将政策利率、存款利率和贷款利率联系在一起的银行部门宏观模型。一旦政策利率变为负值，货币政策通过银行部门的通常传导机制就会崩溃。此外，由于负政策利率降低了银行利润，对总产出的总体影响可能是收缩性的。与瑞典银行层面数据相匹配的校准表明，-0.50%的政策利率将使借贷利率增加15个基点，并使产出减少7个基点。
Following the crisis of 2008, several central banks engaged in a new experiment by setting negative policy rates. Using aggregate and bank level data, we document that deposit rates stopped responding to policy rates once they went negative and that bank lending rates in some cases increased rather than decreased in response to policy rate cuts. Based on the empirical evidence, we construct a macro-model with a banking sector that links together policy rates, deposit rates and lending rates. Once the policy rate turns negative, the usual transmission mechanism of monetary policy through the bank sector breaks down. Moreover, because a negative policy rate reduces bank profits, the total effect on aggregate output can be contractionary. A calibration which matches Swedish bank level data suggests that a policy rate of - 0.50 percent increases borrowing rates by 15 basis points and reduces output by 7 basis points.