银行、流动性管理与货币政策
Banks, Liquidity Management, and Monetary Policy
Econometrica · 2022 · Javier Bianchi、Saki Bigio
中文摘要
我们构建了一个包含场外银行间市场、易于处理的银行流动性管理模型，以研究货币政策的信贷渠道。存款在银行间随机流转，并必须以准备金进行结算。我们揭示了货币政策如何通过改变放贷获利与承担更大流动性风险之间的权衡来影响银行体系。我们给出了该理论的两项应用：一项考察货币政策实施与向贷款利率传导之间的联系；另一项则对2008年金融危机期间银行贷款崩溃背后的因素进行量化分解。我们的分析凸显了流动性摩擦和银行间市场的运行对于实施货币政策的重要性。
Abstract
We develop a tractable model of banks' liquidity management with an over‐the‐counter interbank market to study the credit channel of monetary policy. Deposits circulate randomly across banks and must be settled with reserves. We show how monetary policy affects the banking system by altering the trade‐off between profiting from lending and incurring greater liquidity risk. We present two applications of the theory, one involving the connection between the implementation of monetary policy and the pass‐through to lending rates, and another considering a quantitative decomposition behind the collapse in bank lending during the 2008 financial crisis. Our analysis underscores the importance of liquidity frictions and the functioning of interbank markets for the conduct of monetary policy.