Central Bank Swap Lines
Central Bank Swap Lines
复制标题
央行互换额度
DOI：
10.2139/ssrn.3222673
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发表时间：
2018
期刊：
影响因子：
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通讯作者：
R. Reis
中科院分区：
文献类型：
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作者：
Saleem Bahaj;R. Reis
发达经济体央行之间的互换额度是全球金融架构的新的重要组成部分。本文从三个方面分析了它们的货币政策效应。首先，从中央银行的角度来看，它表明，互换额度模仿贴现窗口信贷，从源中央银行到借款国银行使用受援国中央银行作为信用风险的承担者。第二，从货币政策传导的角度来看，互换线利率对利率平价的偏离设定了上限，并从数据中得到了证据。第三，从政策的宏观经济效果来看，事前的货币互换额度减少了事后的融资风险，从而促进了资金从来源国银行流入以来源国货币计价的资产。我们发现支持这些预测使用差异中的差异实证策略，利用这一事实，只有一些货币看到了他们的美元互换额度的条款的变化，只有一些债券在银行的投资暴露于美元融资风险，只有一些美元债券是由外国银行显着交易，只有一些银行有显着的美国业务。
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the recipient central bank as the bearer of the credit risk. Second, from the perspective of the transmission of monetary policy, it shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the data. Third, from the perspective of the macroeconomic effects of policy, it shows that the swap line ex ante encourages inflows from recipient-country banks into assets denominated in the source-country’s currency by reducing the ex post funding risk. We find support for these predictions using difference-in-difference empirical strategies that exploit the fact that only some currencies saw changes in the terms of their dollar swap line, only some bonds in banks’ investments are exposed to dollar funding risk, only some dollar bonds are significantly traded by foreign banks, and only some banks have a significant U.S. presence.