The Role of Banks in the Transmission of Monetary Policy

这个项目的目标是沿着理论和实证两方面探索银行在货币政策传导中的作用。在理论方面，该项目旨在开发一个新的完全指定的银行部门模型，以证明银行在筹集无保险、非存款外部融资时面临的逆向选择问题如何影响银行贷款和公开市场证券利率的确定。该模型将显示，导致非金融企业支出对现金流过于敏感的资本市场摩擦，也会影响银行的投资组合决策和均衡利率水平。在经验上，将使用银行层面的数据来检验模型。该模型最有用的一个方面是，它做出了一些明确的横截面预测。例如，如果可以识别出一组在筹集非存款融资时先验地更容易受到逆向选择问题约束的银行，该模型预测，这些银行的贷款行为应该对蒙特雷政策立场的变化特别敏感。有许多潜在的变量可以用来作为这些约束的代理，包括银行规模、“过剩”现金和手头的证券、资本水平等。应该强调的是，本项目构建的银行级数据集在覆盖时间和银行方面是独一无二的。因此，除了对货币传导的狭隘关注之外，该数据集无疑将在解决其他一些相关问题方面非常有用。

9512649 Kashyap The goal of this project is to explore, along both theoretical and empirical lines, the role of banks in the transmission of monetary policy. On the theoretical front, the project aims to develop a new fully specified model of the banking sector that demonstrates how the adverse selection problems banks face in raising uninsured, non-deposit external financing can affect the determination of interest rates on both bank loans and open-market securities. The model will show how the same sort of capital market frictions that can make non-financial firms spending overly sensitive to cash flow can influence bank portfolio decisions and the equilibrium level of interest rates. Empirically, bank-level data will be used to test the model. One of the most useful aspects of the model is that it makes a number of clear-cut cross-sectional predictions. For example, if a set of banks can be identified that are a priori more likely to be constrained by adverse selection problems in raising non-deposit finance, the model predicts that the lending behavior of these banks should be particularly sensitive to changes in the stance of Monterey policy. There are potentially a number of variables that can be used as proxies for such constraints, including bank size, "excess" cash and securities on hand, levels of capital, etc. It should be emphasized that the bank-level data set that this project constructs will be unique in terms of its coverage over time and across banks. Therefore, in addition to the narrow focus on monetary transmission, the data set will no doubt very useful in addressing a number of other related issues.