Interest Rate-oriented Monetary Policy Framework and Financial Procyclicality
0
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
This paper shows that the current interest rate-oriented monetary policy framework if combined with sophisticated interbank transactions a la Adrian and Shin (2009), can foster or accelerate financial procyclicality since the central bank’s high-powered money can be used as a funding source for financial intermediaries. Interbank transactions that involve maturity transformations pave a silky way for the flow of high-powered money to end up as lending for the ultimate borrowers. This paper also provides some empirical evidence using Korean financial data. In particular, we find that the growth of non-core liabilities, as a close proxy for interbank liabilities, has substantial explanatory power for the growths of core assets, monetary base, and broad money. This paper explores the implications of the findings in terms of the central bank’s responsibility for asset price misalignments and financial stability.
Abstract
This paper shows that the current interest rate-oriented monetary policy framework if combined with sophisticated interbank transactions a la Adrian and Shin (2009), can foster or accelerate financial procyclicality since the central bank’s high-powered money can be used as a funding source for financial intermediaries. Interbank transactions that involve maturity transformations pave a silky way for the flow of high-powered money to end up as lending for the ultimate borrowers. This paper also provides some empirical evidence using Korean financial data. In particular, we find that the growth of non-core liabilities, as a close proxy for interbank liabilities, has substantial explanatory power for the growths of core assets, monetary base, and broad money. This paper explores the implications of the findings in terms of the central bank’s responsibility for asset price misalignments and financial stability.
참고문헌 (20)
- Financial Intermediaries, Financial Stability, and Monetary Policy, "Adrian, T.", FRB NY, ~, pp.Report, No. 346 (2008)
- Liquidity and Leverage, "Adrian, T.", FRB NY, ~, pp.Report, No.328 (2009)
- Bean, C., "Monetary Policy after the Fall", paper presented at FRB Kansas City Annual Conference (2010)
- Bindseil, U., "Monetary Policy and Implementation: Theory, Past, and Present" (2004), Oxford University Press
- Blanchard, O., "Rethinking Macroeconomic Policy", IMF Staff Position Note, ~ (2010)
- Calvo, G., "The Capital Inflows Problem: Concepts and Issues", Contemporary Economic Policy, 12(3), pp.54~66 (1994)
- Caruana, J., "Macroprudential Policy: Working towards a New Consensus,” remarks delivered at the high-level meeting on “The Emerging Framework for Financial Regulation and Monetary Policy", organized by BIS and IMF, ~ (2010)
- Dale, S., "Inflation Targeting ― Learning the Lessons from Financial Crisis", speech delivered at the Society of Business Economist’s Annual Conference (2009)
- Demirgüç-Kunt, A., "Are All the Sacred Cow Dead? Implications of the Financial Crisis for Macro- and Financial Policies", World Bank Research Observer, 25(1), pp.91~124 (2010)
- Dokko, J., "Monetary Policy and the Housing Bubble", FRB Finance and Economics DiscussionSeries, 49 (2009)
- Hein, S., "Reserve Requirements: A Modern Perspective", Economic Review, 87(4), pp.41~52 (2002)
- Kim, K., "Issues on Reform of the International Financial Architecture: Korea’s Perspective" (2010), mimeo
- Monetary Policy Framework and Financial Procyclicality: International Evidence, "Kim, K.", Macroprudential Regulation and Policy, 51~57, pp.BIS Papers, No. 60 (2011)
- Mishkin, F., "From Monetary Targeting to Inflation Targeting: Lessons from the Industrialized Countries,” paper presented at Bank of Mexico Conference on “Stabilization and Monetary Policy: The International Experience", ~ (2000)
- Shin, H. S., "Securitisation and Financial Stability", Economic Journal, 119, pp.309~332 (2009)
- Shin, H. S, "Financial Intermediation and the Post-Crisis Financial System", paper presented at the 8th BIS Annual Conference (2009)
- Shin, H. S., "Macroprudential Policy and Monetary Aggregates", paper presented at the Bank of Korea International Conference (2010)
- Pro-cyclicality of Capital Flows and Transmission Mechanism, "Song, C.", Bank of Korea Institute, ~, pp.Working Paper, No. 411 (2009)
- A Systemic Regulator for Financial Markets, "Squam Lake Working Group on Financial Regulation", ~ (2009)
- Taylor, J., "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong" (2008), mimeo