Silva Thiago Christiano, Guerra Solange Maria, da Silva Michel Alexandre, Tabak Benjamin Miranda
Banco Central do Brasil, Brasília, Distrito Federal, Brazil.
Universidade Católica de Brasília, Brasília, Distrito Federal, Brazil.
J Econ Behav Organ. 2020 Nov;179:279-298. doi: 10.1016/j.jebo.2020.09.013. Epub 2020 Sep 23.
We open the black box of the monetary policy transmission mechanism with a granular model that considers the balance-sheet composition and network relationships of each economic agent. Though there are several well-documented channels through which monetary policy operates, we focus on the overlooked trading book channel, which arises because of adjustments in the accounting value of trading book exposures on banks' balance sheets that have to be marked to market when interest rates change. Variations in banks' net worth due these adjustments are used as input to a network model that incorporates the financial and corporate sectors. The framework permits us to determine the effects of interest rate changes on every bank and firm in the economy and any second-round (contagion) effects in the short run. We apply the model to a comprehensive database of Brazilian banks and firms from 2015 to 2020. We find that interest rate shocks affect more strongly financial stability in periods of monetary policy tightening. We also find notable asymmetric effects of positive and negative interest rate shocks in the Brazilian economy, with positive interest rate shocks affecting more financial stability. Finally, our results also suggest a non-linear relationship between interest rate changes and financial stability, reinforcing the need to mitigate monetary policy shocks through interest rate smoothing and adequate communication and transparency to society.
我们使用一个考虑每个经济主体资产负债表构成和网络关系的粒度模型，打开货币政策传导机制的黑匣子。尽管货币政策运行有几个有充分记录的渠道，但我们关注的是被忽视的交易账簿渠道，它的产生是由于银行资产负债表上交易账簿敞口的会计价值调整，当利率变化时这些敞口必须按市值计价。由于这些调整导致的银行净值变化被用作一个纳入金融和企业部门的网络模型的输入。该框架使我们能够确定利率变化对经济中每家银行和企业的影响以及短期内的任何第二轮（传染）影响。我们将该模型应用于2015年至2020年巴西银行和企业的综合数据库。我们发现，在货币政策收紧时期，利率冲击对金融稳定的影响更强。我们还发现巴西经济中正向和负向利率冲击存在显著的不对称效应，正向利率冲击对金融稳定的影响更大。最后，我们的结果还表明利率变化与金融稳定之间存在非线性关系，这强化了通过利率平滑以及与社会进行充分沟通和保持透明度来减轻货币政策冲击的必要性。
