中文摘要
我研究危机时期中央银行资金成为金融中介更具吸引力的资金来源对宏观经济的影响。我表明,在其他条件不变的情况下,质押抵押品的要求会对私人信贷产生紧缩效应,从而削弱此类放贷原本具有的扩张效应。我利用一个含金融摩擦的估计新凯恩斯模型表明,抵押品效应可以解释意大利银行私人信贷在欧洲中央银行三年期长期再融资操作下增长有限的现象。最后,我探讨放贷政策的调整能否抵消抵押品效应带来的累积负面影响。
Abstract
I investigate the macroeconomic impact of central bank funding becoming a more attractive funding source to financial intermediaries in times of crisis. I show that the requirement to pledge collateral has a contractionary effect on private credit, everything else equal, and thereby reduces the expansionary effect that such lending otherwise has. I use an estimated New Keynesian model with financial frictions to show that the collateral effect explains the limited growth of Italian banks’ private credit in response to the European Central Bank’s three-year longer-term refinancing operations. Finally, I explore whether changes in lending policy can offset the cumulative negative effects from the collateral effect.