| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14268 |
| DP14268 The Signalling Channel of Negative Interest Rates | |
| Oliver de Groot; Alexander Haas | |
| 发表日期 | 2020-01-03 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Negative interest rates are a new (and controversial) monetary policy tool. This paper studies a novel signalling channel and asks whether negative rates can be 1) an effective and 2) an optimal policy tool. 1) We build a financial-friction new-Keynesian model in which monetary policy can set a negative reserve rate, but deposit rates are constrained by zero. All else equal, a negative rate contracts bank net worth and increases credit spreads (the costly "interest margin" channel). However, it also signals lower future deposit rates, even with current deposit rates constrained, boosting aggregate demand and net worth. Quantitatively, we find the signalling channel dominates, but the effectiveness of negative rates depends crucially on three factors: i) degree of policy inertia, ii) level of reserves, iii) zero lower bound duration. 2) In a simplied model we prove two necessary conditions for the optimality of negative rates: i) time-consistent policy setting, ii) preference for policy smoothing. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | monetary policy Taylor rule Forward guidance Liquidity trap |
| URL | https://cepr.org/publications/dp14268 |
| 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/543158 |
| 推荐引用方式 GB/T 7714 | Oliver de Groot,Alexander Haas. DP14268 The Signalling Channel of Negative Interest Rates. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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