دانلود رایگان مقاله شکست بازار بین بانکی و سیاست های کلان محتاطانه

Abstract

This paper analyses the effects of several macro-prudential policy measures on the banking sector and its linkages to the macroeconomy. We employ a dynamic general equilibrium model with sticky prices, in which banks trade excess funds in the interbank lending market. We find that an increase in the liquidity requirement effectively reduces the impact of an interbank shock on the real and financial sector, while an increased capital requirement propagates only through nominal variables as inflation and interest rates. We conclude that stricter liquidity measures which limit inside money creation, dampen the severity of a breakdown in interbank lending. Targeting interbank financing directly through liquidity measures along with a moderate capital requirement generates lower welfare losses. We thereby provide a comprehensive rationale in favor of the regulatory measures in Basel III.

7 Conclusion

We have developed a model to study how changes in macro-prudential policy measures affect loan and deposit creation, inflation and interest rates, as well as real variables such as consumption, employment and wages. We take a modeling approach which gives a structural role to the interbank market and find supporting evidence for some stylized facts, in particular in the period of the recent financial crisis. Especially, we confirm that a shock to the interbank spread can explain short-to-medium term variations in the loan spread, CPI, output and monetary policy rate. Based on these insights we compare the performance of several macro-prudential and Central Bank policies. We find that an increase in the liquidity measure, LCR and the NSFR, effectively reduces the impact of an interbank shock on output and employment, while an increased capital requirement propagates only through financial variables as inflation and interest rates. For an augmented policy rule which reacts towards the spread in the interbank market we do not find supporting evidence with regard to welfare.

We conclude that stricter liquidity measures which limit inside money creation, can mitigate the severity of a breakdown in interbank lending. Targeting interbank financing directly through liquidity measures along with a capital requirement generates lower welfare losses. We thereby provide a comprehensive rationale in favor of the regulatory measures in Basel III.