Earticle

초록

영어

We take a macroprudential approach to analyze the optimal lending policy for the central bank, focusing on externalities that policy imposes on markets. Lending against high-quality collateral protects central banks against losses, but can adversely aect liquidity creation in markets since high-quality collateral gets locked up with the central bank rather than circulating in markets. Lending against low-quality collateral creates counterparty risk but can improve liquidity in markets. We characterize the optimal policy incorporating these trade-os. We show that, contrary to what is generally accepted, lending against high-quality collateral can have negative eects, whereas it may be optimal to lend against low-quality collateral.

목차

Abstract
1 Introduction
2 Model setup
2.1 Agents and liquidity shocks
2.2 Lender of last resort
2.3 Timeline
2.4 Discussion of assumptions
3 Analysis
3.1 Bank behavior
3.2 LoLR and impact on output
3.3 Discussion of optimal policy
4 Extensions and discussion
4.1 Intermediation chain and collateral circulation
4.2 Certication
4.3 Information on collateral quality
4.4 Central bank as LoLR
4.5 Policy discussion
5 Conclusion
References
Online Appendix for A Theory of Collateral for the LoLR

키워드

저자

• Dong Beom Choi [ Seoul National University ]
• Joao A. C. Santos [ Federal Reserve Bank of New York & Nova School of Business and Economics 33 Liberty St New York, NY 10045 ]
• Tanju Yorulmazer [ University of Amsterdam Plantage Muidergracht 12 Amsterdam, 1018 TV ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330