Credit risk, liquidity risk and the Quantity Theory of Money.

信用风险、流动性风险和货币数量论。

• 批准号: 2887800
• 金额: --
• 依托单位: Durham University
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2023
• 资助国家: 英国
• 起止时间: 2023 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2887800
• 关键词: Credit; risk; liquidity; Quantity; Theory

The objective of my research is to explain the connection between money supply and inflation, which underwent a significant structural change after the 2008 financial crisis. Following the crisis, the BoE, FED, ECB, and other major central banks implemented Quantitative Easing and significantly increased the reserve accounts of commercial banks. The supply of money (M0) in the UK tripled in 2008-2009 and increased by more than six times by 2015. According to the Quantity Theory of Money, this should lead to hyperinflation. However, UK inflation stayed within the target level (below 3%) until 2020 due to a change in monetary transmission performed by commercial banks. To explain the effect of money supply on inflation, we need to study the relationship between the growth of reserves, controlled by the Bank of England, and the money used for economic transactions. Those funds include deposits created within the fractional-reserve banking system. The reserve expansion is only efficient if banks use them and provide credit to the real economy. I intend to uncover the factors that influence this process. First, I will study the effect of credit and liquidity risks on monetary transmission. Banks operating in a riskier environment are more reluctant to provide loans to households and businesses, which slows down monetary transmission. I expect to find quantitative support for this theory by conducting empirical research. Then, I will evaluate different macroprudential policies using the dynamic stochastic general equilibrium (DSGE) framework

本研究的目的是解释2008年金融危机后货币供应量与通货膨胀之间的关系，这种关系经历了重大的结构性变化。危机发生后，英国央行、美联储、欧洲央行和其他主要央行实施了量化宽松政策，并大幅增加了商业银行的准备金账户。英国的货币供应量（M0）在2008-2009年增加了两倍，到2015年增加了六倍多。根据货币数量理论，这应该会导致恶性通货膨胀。然而，由于商业银行的货币传导发生变化，英国通胀率在2020年之前一直保持在目标水平（低于3%）。为了解释货币供应量对通货膨胀的影响，我们需要研究由英格兰银行控制的储备增长与用于经济交易的货币之间的关系。这些资金包括在部分准备金银行体系内创造的存款。只有当银行使用储备并向真实的经济提供信贷时，储备扩张才是有效的。我打算揭示影响这一过程的因素。首先，我将研究信贷和流动性风险对货币传导的影响。在风险更高的环境中运营的银行更不愿意向家庭和企业提供贷款，这减缓了货币传导。笔者期望通过实证研究为这一理论找到定量的支持。然后，我将使用动态随机一般均衡（DSGE）框架评估不同的宏观审慎政策