Financial Management, Issue FALL 2018

货币政策的风险传导渠道

作者：Tobias Adrian (International Monetary Fund, Washington, DC),

Arturo Estrella (Rensselaer Polytechnic Institute, Troy, NY),

Hyun Song Shin (Bank for International Settlements, Basel, Basel-Stadt, Switzerland)

摘要：宏观经济学中最稳健的程式化事实之一就是期限利差对未来实际活动的预测能力。我们从金融中介机构的资产负债表管理和“货币政策风险承受渠道”两个方面，对期限利差的预测能力提出了一个可能的因果机制。货币紧缩导致了期限利差的扁平，降低了净息差和信贷供给。我们为风险承担渠道提供实证支持。

Risk-Taking channel of monetary policy

Tobias Adrian (International Monetary Fund, Washington, DC), Arturo Estrella (Rensselaer Polytechnic Institute, Troy, NY), Hyun Song Shin (Bank for International Settlements, Basel, Basel-Stadt, Switzerland)

ABSTRACT

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. We propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries and the “risk-taking channel of monetary policy”. Monetary tightening leads to the flattening of the term spread, reducing net interest margin and credit supply. We provide empirical support for the risk‐taking channel.

原文链接：

https://onlinelibrary.wiley.com/doi/abs/10.1111/fima.12256

翻译：董宇佳