VoxEU：负利率时代的货币政策效应

VoxEU：负利率时代的货币政策效应(2020.12.01) .zhubiaoti {font-family: 黑体;font-size:18pt;line-height:23pt; text-align:center;FONT-weight:800;color:black} .fubiaoti {font-family: 黑体;font-size:14pt;line-height:20pt; text-align:center;FONT-weight:700;color:black} .zhongwen{font-size:12pt;line-height:180%} .yingwen{font-size:13pt;line-height:150%} .tiyao{font-family: 楷体_GB2312;font-size:14pt;line-height:150%} 　　提要：全球利率水平在过去40年间稳步下降，欧洲和日本的利率在近期已降至负值区间。负利率将导致银行的业绩和盈利能力下降，进而阻碍货币政策传导。研究结果显示，在负利率环境下，旨在压低长期债券收益率的货币政策对银行业绩造成的负面影响小于旨在压低短期债券收益率的货币政策。因此，在需要进一步放宽货币政策情况下，量化宽松和收益率曲线控制政策是首选政策。 　　（外脑精华·北京）世界各国的利率在过去40年中一直呈稳步下降趋势，欧洲和日本的利率在近期已降至负值区间。此外，预计欧洲和日本的利率将继续维持在负值区间，欧洲和日本的债券收益率曲线将长期趋平。在存款利率持稳于零区间情况下，持续时间如此之长的负利率对银行机构业绩将会产生影响。在负利率环境下，进一步降息可能将导致银行机构的利润下滑，尤其是如果持续降息。这制约了资本受限的银行机构的放贷能力，而且进而可能将导致货币政策宽松程度降低甚至导致宽松货币政策立场发生“逆转”。 　　负利率对银行业绩的影响 　　研究结果证实，低利率或负利率环境对银行机构的业绩具有负面影响，虽然有些人认为影响甚微。基于实际发布的银行机构业绩数据的这些研究提供了确凿证据。不过，利用已经发布的数据来进行研究，表现这些研究具有回溯性，而且由于银行机构的资本增长依靠固定利率资产，银行机构的业绩只会对降息做出滞后反应。就银行利润可持续性而言，回溯性指标实际上可能存在偏差，因为银行机构可能会通过暂时增加贷款来应对负利率。长期负利率可能最终将迫使银行机构提高贷款的利润率，这将导致银行机构的贷款总额、市场份额和利润全面下降。 　　为了解决这些问题，我们利用一项前瞻性指标－－银行股股价来研究负利率对银行机构业绩的影响。我们研究了在正利率和负利率时期，货币政策变化是否会对银行股股价产生不同影响。由于银行股股价可能会预测未来收益率曲线的变化，我们利用1999年1月至2020年1月期间欧洲央行发布的269项货币政策公告中的高频数据来确认利率和银行股股价发生的出乎意料的变化（即意外变化）。数据来源于Altavilla等人发布的《欧元区货币政策事件研究数据库》。变化值是以新闻发布前10～20分钟和新闻发布后10～20分钟的中值之差来衡量，或者可用新闻发布后15～25分钟（如果没有举行新闻发布会）的中值之差来衡量。 　　我们可以通过关注银行机构业绩的一项前瞻性指标来评估货币政策对银行股股价的影响。不过，鉴于央行推出非常规货币政策工具，对央行可用的不同工具进行区分同样显得至关重要。因而，我们研究了在正利率和负利率时期，银行股股价是否会对收益率曲线短端和长端的走势变化做出不同反应。这揭示出各种货币政策工具会产生不同的影响。具体而言，基于量化宽松和收益率曲线控制政策，可以制定只是针对长期债券的大规模长期资产购买计划，而使短期债券的利率基本维护不变。这或许可以减轻负利率环境下货币政策对银行机构业绩的负面影响，因为存款利润率相对不受长期利率变化的影响，而且银行机构通常会对冲利率风险敞口。 　　我们估计货币政策以外变化情况（以利率变动的基点为单位）会对无风险收益率曲线产生如下影响：引发曲线平行下移（整体水平相应发生变化）、使得1个月至5年期的债券收益率趋平（收益率曲线短端走势相应发生变化）和使得5～10年期债券收益率趋平（收益率曲线长端走势相应发生变化）。 　　因变量是欧洲银行股票指数对货币政策意外变化的反应（以百分比表示）和欧洲银行股票指数代表的每只银行股股价的每日变化。我们使用滚动回归估计法来洞察随着利率不断下探负值区间，货币政策对银行股股价的影响如何随着时间的推移而增强。为了估测影响的持久性，我们使用了滚动局部投影算法。这些估测分析了股市全面发展态势来确定银行机构在负利率时期面临的具体不利因素。 　　我们假设了整体股市也会对出人意料的利率变动做出反应（如对资本价值、未来贴现率、股本溢价和经济活动的影响），而且股市反应会产生宏观经济信号效应，同时对降息将使得哪些银行将面临负利率环境这一具体额外负面影响具有敏感度。在此背景下，我们还考虑了银行对存款和募集资本的相对依赖度。 　　我们的基准研究结果显示，低利率、尤其是负利率环境会导致银行股股价下跌。就整体股市而言，在负利率时期，当利率意外下调10个基点至持平于短期债券收益率时，银行股股价将下跌2%以上。我们还发现这些影响货币政策发布后将会犹存。相比之下，当利率处于负值区间时，只有收益率曲线长端的走势发生意外变化才不会对银行股股价走势产生影响。 　　因此，在负利率时期，银行与其他企业相比处于劣势。银行股股价数据表明这是存款利率降至下限区间所致，因为这对相对依赖存款资金的银行机构而言将产生更重大和更持久的影响。 　　货币政策意义 　　展望未来，长期处于负值区间的利率或许将导致银行业业绩下滑。而银行盈利能力的下降进而可能将导致银行业贷款总额下降，进而阻碍货币政策刺激的传导。对货币政策的决策可以考虑到这一因素。研究结果表明，在负利率环境下，对收益率曲线长端的货币政策工具对银行机构业绩造成的负面影响损害小于货币政策工具针对收益率曲线短端的货币政策工具的影响。就这一角度而言，在利率处于负值区间并且需要进一步放宽货币政策情况下，在货币政策决策方面，量化宽松和收益率曲线控制政策尤为值得考虑。 　　英文原文： Monetary policy effects in times of negative interest rates 　　Interest rates have declined steadily over the last decades, recently turning negative in Europe and Japan. This column finds that negative interest rates have important implications for bank stock prices. When market interest rates are negative, but deposit rates are stuck at zero, monetary policy instruments that target the longer end of the yield curve are less detrimental to bank performance compared with instruments that target the shorter end. Therefore, quantitative easing and yield curve control deserve special consideration when interest rates are negative and further monetary accommodation is required. 　　Over the past 40 years, interest rates have steadily declined worldwide, recently turning negative in Europe and Japan. Furthermore, interest rates are expected to remain negative and yield curves to remain flat for long in Europe and Japan. Such a prolonged period of negative interest rates has implications for the performance of banks, as retail deposit rates are sticky at zero. In a negative interest rate environment, additional rate cuts may reduce bank profits, particularly if these endure. This limits the lending capacity of capital-constrained banks and can thus reduce and even ‘reverse’ accommodative monetary policy (e.g. Borio and Gambacorta 2017, Brunnermeier and Koby 2018). 　　A measure of bank performance 　　Studies confirm that a low or negative interest rate environment has adverse effects on the performance of banks (e.g. Claessens et al. 2017), though some claim the implications are limited (e.g. Altavilla et al. 2019a). These studies provide solid evidence, as they are based on actual reported bank performance data. However, using reported data implies the studies are backward-looking and only respond to a drop in the interest rate with a lag due to banks’ capital gains on fixed rate assets. In terms of the sustainability of bank profits, backward-looking indicators may in fact be biased, as banks may temporarily respond to negative interest rates by increasing their lending volumes (e.g. Demiralp et al. 2019, Tan 2019). Prolonged negative interest rates may eventually require banks to increase lending margins, which will reduce their lending volumes, market share, and profits. 　　To address these caveats, we explore the impact of negative interest rates on bank performance using a forward-looking indicator: bank stock prices (Bats et al. 2020). We investigate whether monetary policy surprises impact bank stock prices differently in times of positive and negative interest rates. As bank stock prices may anticipate changes to the yield curve in the future, unanticipated changes (i.e. surprises) in interest rates and bank stock prices are identified with high-frequency data around 269 ECB monetary policy announcements from January 1999 to January 2020. The data stem from the Euro Area Monetary Policy Event-Study Database by Altavilla et al. (2019b). The surprises are measured as the difference between the median quote ten to 20 minutes before the press release and ten to 20 minutes after the press conference, or alternatively, 15 to 25 minutes after the press release if no press conference took place. 　　Monetary policy affects bank performance in different ways 　　Assessing the impact of monetary policy on bank stock prices has the advantage of focusing on a forward-looking measure of bank performance. However, given the introduction of unconventional monetary policy instruments, it is also important to make a distinction between the different instruments a central bank can use. Thus, we investigate whether bank stock prices react differently to changes to the shorter-end versus the longer-end of the yield curve in times of positive and negative interest rates. This sheds light on the varying effects of monetary policy instruments when interest rates are negative. Specifically, large-scale purchases of long-term assets under quantitative easing (QE) and yield curve control (YCC) policies can be designed such that only the longer end of the curve is targeted, leaving shorter-term interest rates relatively unchanged. This may reduce the adverse impact of monetary policy on bank performance in a negative rate environment, because deposit margins are relatively unaffected by changes to longer-term interest rates and banks generally hedge interest rate exposure (e.g. Drechsler et al. 2018, Hoffmann et al. 2019). 　　We estimate the effects of the following monetary surprises (in basis points) to the risk-free yield curve: 　　1. A parallel downward shift (level surprise); 2. A flattening of the one-month to five-year slope (shorter-end slope surprise); 3. A flattening of the five-year to ten-year slope (longer-end slope surprise); The dependent variables are monetary surprises (in percentage points) to the European bank stock index (SX7E) and daily changes in the stock prices of the individual banks represented by the SX7E. 　　We employ rolling regression estimations to provide insight into how the impact of monetary policy on bank stock prices accrues over time as interest rates turn more negative. To gauge the persistence of the effects, rolling local projections are used. The estimations control for broad stock market movements to identify the specific disadvantage banks face in times of negative interest rates. The broad stock market is assumed to also react to unexpected interest rate changes (e.g. affecting capital value, future discount rates and/or equity premiums, and economic activity) and their resulting macroeconomic signalling effects, while being insensitive to the specific additional negative effect of interest rate declines, which banks specifically face in times of negative interest rates. In this context, we also account for banks’ relative dependence on deposit and capital funding. 　　Our baseline results show that a low and especially negative interest rate environment hurts bank stock prices. Controlling for the broad stock market, a negative ten basis points surprise to either the level or just the shorter-end slope of the yield curve reduces bank stock prices by more than two percentage points once the interest rate environment is negative (Figure 1, Panels A and B). We also find that these effects persist in the days after the monetary policy announcement. By contrast, a surprise to only the longer-end slope of the yield curve does not impact bank stock prices when interest rates are negative (Figure 1, Panel C). Banks thus face a disadvantage in comparison with other companies in times of negative interest rates. The data on bank stock prices indicate this is the result of the lower bound on deposit rates, because the effects are significantly larger and more persistent for banks that are relatively dependent on deposit funding. 　　What are the monetary policy implications? 　　Looking forward, a prolonged period of negative interest rates may be expected to hurt bank performance. In turn, lower bank profitability may reduce lending by banks and hamper the transmission of monetary policy stimulus. The design of monetary policy can take this into account. The findings suggest that in a negative interest rate environment, monetary policy instruments that target the longer end of the yield curve are less detrimental to bank performance than those that target the shorter end of the curve. From this perspective, QE and YCC deserve special consideration when interest rates are negative and further monetary accommodation is called for. 来源：VoxEU.org，作者：Joost Bats，Massimo Giuliodori，Aerdt Houben \t