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초록
영어
We take a macroprudential approach to analyze the optimal lending policy for the central bank, focusing on externalities that policy imposes on markets. Lending against high-quality collateral protects central banks against losses, but can adversely a ect liquidity creation in markets since high-quality collateral gets locked up with the central bank rather than circulating in markets. Lending against low-quality collateral creates counterparty risk but can improve liquidity in markets. We characterize the optimal policy incorporating these trade-o s. We show that, contrary to what is generally accepted, lending against high-quality collateral can have negative e ects, whereas it may be optimal to lend against low-quality collateral.
목차
Abstract
1 Introduction
2 Model setup
2.1 Agents and liquidity shocks
2.2 Lender of last resort
2.3 Timeline
2.4 Discussion of assumptions
3 Analysis
3.1 Bank behavior
3.2 LoLR and impact on output
3.3 Discussion of optimal policy
4 Extensions and discussion
4.1 Intermediation chain and collateral circulation
4.2 Certication
4.3 Information on collateral quality
4.4 Central bank as LoLR
4.5 Policy discussion
5 Conclusion
References
Online Appendix for A Theory of Collateral for the LoLR
1 Introduction
2 Model setup
2.1 Agents and liquidity shocks
2.2 Lender of last resort
2.3 Timeline
2.4 Discussion of assumptions
3 Analysis
3.1 Bank behavior
3.2 LoLR and impact on output
3.3 Discussion of optimal policy
4 Extensions and discussion
4.1 Intermediation chain and collateral circulation
4.2 Certication
4.3 Information on collateral quality
4.4 Central bank as LoLR
4.5 Policy discussion
5 Conclusion
References
Online Appendix for A Theory of Collateral for the LoLR
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자료제공 : 네이버학술정보