FBBVA Lecture 2025: Negative Rates and the Effective Lower Bound: Theory and Evidence
Journal of the European Economic Association · 2025 · Michael McLeay、Silvana Tenreyro、Lukas von dem Berge
中文摘要
随着货币政策下限在部分地区再度成为关注焦点，本文就负政策利率的影响提出新的见解。我们构建了一个新的理论模型，以匹配有关负利率效应的实证证据。该模型刻画了一个异质性的寡头垄断银行业部门，其中贷款定价一部分取决于存款资金的可获得性，另一部分取决于批发融资。非存款融资的使用确保了负利率下的银行信贷渠道仍然有效。我们考察了该政策对不同类型银行的影响：高存款银行的利差与盈利能力可能下降，从而导致贷款减少；但低存款银行贷款的增加对此形成了超额补偿。我们将这一银行业部门嵌入一个开放经济宏观经济模型中，该模型包含汇率与资本市场传导渠道，这些渠道在利率为负时仍能正常发挥作用。这些非银行渠道，加之一般均衡效应与活跃的银行信贷渠道，意味着负利率的传导仅略弱于常规政策的传导。
Abstract
Abstract With the monetary policy lower bound a re-emerging concern in some locations, we present new insights on the impact of negative policy rates. We develop a new theoretical model to match the empirical evidence on their effects. The model features a heterogeneous, oligopolistic banking sector where loan pricing is determined in part by the availability of deposit funding and in part by wholesale funding. The use of non-deposit funding ensures that the bank lending channel of negative rates remains active. We explore the impact of the policy on different types of banks: High-deposit banks may experience a fall in interest margins and profitability, which can result in reduced lending. But this is more than compensated for by greater lending from low-deposit banks. We embed this banking sector in an open-economy macroeconomic model, featuring exchange-rate and capital market transmission channels, which continue to work as normal when rates are negative. These non-bank channels, combined with general equilibrium effects and an active bank lending channel, mean that the transmission of negative rates is only somewhat weaker than the transmission of conventional policy.