| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP16191
|
| DP16191 Tiers of Joy? Reserve Tiering and Bank Behavior in a Negative-Rate Environment |
| Tan Schelling; Pascal Towbin
|
| 发表日期 | 2021-05-26
|
| 出版年 | 2021
|
| 语种 | 英语
|
| 摘要 | As negative interest rates exert pressure on bank profitability, several central banks have introduced reserve tiering systems to lessen the burden. Reserve tiering means that banks are only charged the negative policy rate above a certain threshold of reserves. Altering the threshold affects bank profits and therefore has potential effects on the macroeconomy and financial stability. However, assessing these effects is challenging, because the introduction or modification of reserve tiers has usually been accompanied by other monetary policy actions, such as rate changes or quantitative easing measures. We are able to circumvent these issues by exploiting an unexpected decision by the Swiss National Bank in September 2019 to change the threshold calculation without taking any other policy actions. This change led to a large increase in overall exemptions, but with variation across banks. Using a difference-in-differences approach, we find that banks that experience a larger increase in their exemption threshold tend to raise their SNB sight deposit holdings, funded through more interbank borrowing and more customer deposits. The interbank market is important for the funding choice: banks with low collateral holdings (a proxy for market access) use less interbank borrowing and instead grow their customer deposits; they also pass on negative rates on a smaller share of their deposits. Effects on bank lending behavior are moderate; if anything, banks that benefit from a larger increase in the exemption threshold tend to charge higher spreads and take less risk. |
| 主题 | Financial Economics
|
| 关键词 | Reserve tiering
Negative interest rates
Banking
Bank risk-taking channel
|
| URL | https://cepr.org/publications/dp16191
|
| 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/545162
|
推荐引用方式
GB/T 7714 |
Tan Schelling,Pascal Towbin. DP16191 Tiers of Joy? Reserve Tiering and Bank Behavior in a Negative-Rate Environment. 2021.
|
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