中文摘要
理论预测，中央银行贷款计划会为国内私人贷款利率设定上限，降低事后融资风险，并鼓励事前投资。本文表明，在银行具有全球性、金融市场实现一体化而中央银行仍属国内机构的情况下，可以利用货币互换额度实现最后贷款人功能。通过这种安排，来源国中央银行向接收国银行提供来源国货币信贷，并由接收国中央银行负责监督和承担信用风险。理论上，货币互换额度应当为抛补利率平价偏离设定上限，降低银行事后借款成本的平均水平，并增加接收国银行事前流入以来源国货币计价的私人发行资产的资金。本文利用货币互换额度条款随时间的变化、获准使用该额度的中央银行之间的差异、该额度在一周中不同开放日的差异、不同证券对外国投资的敞口差异，以及不同银行对美元融资风险的敞口差异，对上述三项预测进行了实证检验。证据显示，国际最后贷款人非常有效。
Abstract
Abstract Theory predicts that central-bank lending programs put ceilings on private domestic lending rates, reduce ex post financing risk, and encourage ex ante investment. This article shows that with global banks and integrated financial markets, but domestic central banks, then lending of last resort can be achieved using swap lines. Through them, a source central bank provides source-currency credit to recipient-country banks using the recipient central bank as the monitor and as the bearer of the credit risk. In theory, the swap lines should put a ceiling on deviations from covered interest parity, lower average ex post bank borrowing costs, and increase ex ante inflows from recipient-country banks into privately issued assets denominated in the source-country’s currency. Empirically, these three predictions are tested using variation in the terms of the swap line over time, variation in the central banks that have access to the swap line, variation in the days of the week in which the swap line is open, variation in the exposure of different securities to foreign investment, and variation in banks’ exposure to dollar funding risk. The evidence suggests that the international lender of last resort is very effective.