| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25406 |
| 来源ID | Working Paper 25406 |
| The Reversal Interest Rate | |
| Markus K. Brunnermeier; Yann Koby | |
| 发表日期 | 2018-12-31 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | The “reversal interest rate” is the rate at which accommodative monetary policy reverses its intended effect and becomes contractionary for lending. It occurs when banks' asset revaluation from duration mismatch is more than offset by decreases in net interest income on new business, lowering banks' net worth and tightening their capital constraints. The determinants of the reversal interest rate are 1) banks' fixed-income holdings, 2) the strictness of capital constraints, 3) the degree of pass-through to deposit rates, and 4) the initial capitalization of banks. Furthermore, quantitative easing increases the reversal interest rate and should only be employed after interest rate cuts are exhausted. Over time the reversal interest rate creeps up since asset revaluation fades out as fixed-income holdings mature while net interest income stays low. We calibrate a New Keynesian model that embeds our banking frictions and show that the economics behind the reversal interest rate carry through general equilibrium. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w25406 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583080 |
| 推荐引用方式 GB/T 7714 | Markus K. Brunnermeier,Yann Koby. The Reversal Interest Rate. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25406.pdf（634KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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