| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13947 |
| DP13947 The Short Rate Disconnect in a Monetary Economy | |
| Moritz Lenel; Monika Piazzesi; Martin Schneider | |
| 发表日期 | 2019-08-22 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | In modern monetary economies, most payments are made with inside money provided by payment intermediaries. This paper studies interest rate dynamics when payment intermediaries value short bonds as collateral to back inside money. We estimate intermediary Euler equations that relate the short safe rate to other interest rates as well as intermediary leverage and portfolio risk. Towards the end of economic booms, the short rate set by the central bank disconnects from other interest rates: as collateral becomes scarce and spreads widen, payment intermediaries reduce leverage, and increase portfolio risk. We document stable business cycle relationships between spreads, leverage, and the safe portfolio share of payment intermediaries that are consistent with the model. Structural changes, especially in regulation, induce low frequency shifts, such as after the financial crisis. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp13947 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542828 |
| 推荐引用方式 GB/T 7714 | Moritz Lenel,Monika Piazzesi,Martin Schneider. DP13947 The Short Rate Disconnect in a Monetary Economy. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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