Pushed Past the Limit? How Japanese Banks Reacted to Negative Rates
Pushed Past the Limit? How Japanese Banks Reacted to Negative Rates
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突破极限了吗？
DOI：
10.2139/ssrn.3088165
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
John Kandrac
中科院分区：
文献类型：
--
作者：
G. Hong;John Kandrac
本文研究了日本央行推出的负利率政策对日本银行放贷和风险承担行为的影响。日本央行的这一出人意料的声明被明确地视为金融市场的一个宽松惊喜，但日本金融公司的股价经历了大幅下跌。我们利用公告前后股价变化的横截面差异来衡量银行对负利率政策的不同敞口。我们首先记录了日本银行体系的独特特征，这些特征增加了日本银行对NIRP的风险敞口。然后，我们发现，与有效的风险承担渠道一致，与风险敞口较小的银行相比，受NIRP风险敞口较大的银行通过促进冒险行为和增加信贷供应，使其利润免受负政策利率的不利影响。然而，我们的理论框架表明，对于足够负的利率，银行最终将被推过其通过承担额外风险来抵消利润压力的能力或意愿的极限，这可能会抑制NIRP通过银行的传播。
In this paper, we investigate how negative interest rate policy (NIRP) introduced by the Bank of Japan (BoJ) affected Japanese banks' lending and risk-taking behavior. The BoJ's unexpected announcement was unequivocally viewed as an accommodative surprise in financial markets, but equity prices of Japanese financial firms experienced sharp drops. We exploit the cross-sectional variation in the change of share prices around the announcement to measure banks' differential exposure to negative rate policy. We first document the unique characteristics of Japan's banking system that heighten the exposure of Japanese banks to NIRP. We then show that, consistent with an operative risk taking channel, banks that were more exposed to NIRP insulated their profits from the adverse effects of negative policy rates by boosting risk-taking behavior and increasing credit supply relative to less exposed banks. However, our theoretical framework suggests that, for sufficiently negative rates, banks will eventually be pushed past the limit of their ability or willingness to offset profit pressures via additional risk taking, which can inhibit the transmission of NIRP through banks.