存款利率零下限与负利率传导机制

Zero Lower Bound on Deposit Rates and the Effects of Negative Interest Rate Policy

负利率政策自从在欧元区和日本实施以来一直备受争议。许多学者认为由于存款作为银行体系资金来源的特性,存款利率难以突破零下限,因此负利率环境将导致银行净息差收入减少,对银行盈利和信贷供给带来负面影响。本文认为,在现代信用货币体系中银行并不依赖存款发放贷款,因此负的存款利率不会损害银行业的存款和信贷供给。本文基于信用货币理论和贷款创造存款机制(LCD)建立了一个微观基础的DSGE模型,对存款利率零下限在负利率政策传导机制中的作用进行量化分析。数值模拟结果显示,存款利率零下限严重阻碍了负利率的传导,这可能是欧洲和日本的负利率政策效果不够显著的重要原因。在存款利率可以顺畅通过零下限的条件下,中央银行可以采用大幅度的负利率政策来应对通缩型衰退。

Summary ： Policy interest rates in several advanced economies have stuck at around or below zero since the onset of the 2008 financial crisis. Although the global economy has been on a recovery track, there are still trillions of dollars worth of bonds with negative yields. As global growth picks up, this issue will not go away. A great deal of research suggests that global productivity will stay low in the long term, and hence neutral interest rates consistent with long-term growth will stay significantly lower than their historical levels. Therefore, an adverse shock can easily bring advanced economies back to a zero lower bound. Although a negative interest rate is not unorthodox in economic theory, there have been heated debates over it since the negative interest rate policy （NIRP） was first introduced in a major economy. The NIRP is widely believed to squeeze banks＇ interest margins and cause banks＇ profitability to deteriorate. More importantly, holding cash （paper currency） is an alternative to deposits in a bank account. While institutions holding large deposits are unlikely to convert deposits into cash, retail depositors like households may easily withdraw from banks and hold cash instead. Therefore, banks are reluctant to expose retail depositors to negative interest rates. While returns on bank assets have declined considerably and deposit rates remain sticky, banks＇ net interest margins have tended to shrink. While these concerns about the NIRP seem plausible, they misunderstand how the banking system works. As Sun Guofeng （1996, 2001, 2015） has pointed out, bank deposits are created by asset purchases, mainly by bank loans （LCD） , not the other way around. When a bank initiates a loan, it simultaneously creates a matching deposit in the borrower＇s bank account, thereby creating new deposits. In a practical sense, banks do not use deposits to make loans, and banks＇ credit supply is not constrained by the deposits initially made by households. Although an individual bank can lose deposits to other banks, deposits as a whole remain in the banking system： only cash can be withdrawn and leaves the banking system. However, the cost of holding cash is very high, and the security cost of holding a large amount of cash is extraordinarily high. Central banks can always provide sufficient liquidity to make up for cash withdrawn. In addition, digital currency issued by central banks is bound to become a trend. Central banks can easily set negative interest rates on central bank digital currency. The importance of paper money in the transmission nmchanism of monetary policy will significantly decrease. In this paper, we use a micro-founded DSGE model incorporating the key features of a banking sector to investigate the transmission mechanism of the NIRP. We model the financial contract explicitly to capture the cyclical adjustments of capital investment and credit demand and to study the effect of sticky deposit rates on banks＇ profitability and the implications for credit supply. Simulation results show that the effects of the NIRP hinge on the downward stickiness of the deposit rates. With the deposit rates stuck at zero, banks＇ net interest margins are squeezed, which causes the bank capital and credit supply to decline. The zero lower bound on deposit rates has heavily impeded the transmission mechanism of the NIRP, which may account for the limited effect of the NIRP in the Euro Area and Japan. Breaking the zero lower bound on deposit rates can guarantee banks＇ net interest margin and reduce the fluctuations of both nominal and real interest rates. We draw the following policy implications from the results. First, in a banking system where interest rate pass-through is complete, central banks should cut the policy rates to be substantially negative to counter a deflationary recession. Second, from a longer-term perspective, given the low natural interest rate, monetary authorities may resort to the NIRP much more often in the future. Third, phasing out cash will facilitate the implementation of NIRP. Central banks should speed up the development of central bank digital currency.