Unconventional monetary policy: A tale of heterogeneity

非常规货币政策:异质性的故事

2019/05/21 00:00
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对照中文英文原文
2012年2月实施的欧洲央行非常规货币政策方案改变了抵押品要求。本专栏使用公司贷款数据检查法国信贷市场的影响。流动性注入后信贷确实增加,完全由供应驱动。一群银行也面临着战略风险,这是一种无意的暗示

The ECB's unconventional monetary policy package implemented in February 2012 changed collateral requirements. This column examines the effects in the French credit market, using data on corporate loans. Credit indeed increased after the liquidity injection, exclusively driven by supply. There was also strategic risk-taking by a group of banks, an unintentional implication of the policy.

2012年2月实施的欧洲央行非常规货币政策方案改变了抵押品要求。本专栏使用公司贷款数据检查法国信贷市场的影响。流动性注入后信贷确实增加,完全由供应驱动。一群银行也面临战略风险,这是该政策的无意暗示。

After the Global Crisis of 2008, the main central banks adopted non-standard monetary measures to provide economic and financial stimulus to their economies. Daetz et al. (2018), De Marco (2019), and Andrade et al. (2016) analyse the effects for the ECB, while Krishnamurthy and Vissing-Jorgensen (2011), Chakraborty et al. (forthcoming), Maggio et al. (2016), among others, do the same for the US.

在2008年全球危机之后,主要央行采取了非标准货币措施,为其经济提供经济和金融刺激。 Daetz等人。 (2018年),De Marco(2019年),Andrade等人。 (2016)分析了对欧洲央行的影响,而Krishnamurthy和Vissing-Jorgensen(2011年),Chakraborty等人。 (即将出版),Maggio等。 (2016),除其他外,对美国也这样做。

The assumption is that changes in credit are driven by supply, implying that liquidity and a capital injection in the banking sector can counter a credit shortage. But the interaction with low demand may reduce and even distort the effect of any injection of liquidity. Therefore, it is important to understand the transmission channels of these measures.

假设信贷的变化是由供给驱动的,这意味着银行业的流动性和资本注入可以抵消信贷短缺。但是,低需求的相互作用可能会减少甚至扭曲任何注入流动性的影响。因此,了解这些措施的传输渠道非常重要。

Separating supply channels from demand channels requires individual information at the bank and the firm level (Mian 2012). The Banque de France recently opened its credit registry containing every corporate loan provided by every bank in France. Using this, we were able to use a change in collateral requirements in February 2012 as a natural experiment to examine causal effects (Delatte et al. 2019). We find that credit increased after the liquidity injection and this was exclusively driven by supply. We also found strategic risk-taking by a group of banks, which was an unintentional implication of the policy.

将供应渠道与需求渠道分开需要银行和企业层面的个人信息(Mian 2012)。法兰西银行最近开设了信用登记处,其中包含法国每家银行提供的每笔公司贷款。使用这个,我们能够在2012年2月使用抵押要求的变化作为检查因果效应的自然实验(Delatte等,2019)。我们发现流动性注入后信贷增加,这完全由供应驱动。我们还发现了一些银行的战略风险承担,这是该政策的无意暗示。

A natural experiment

一个自然的实验

As part of a broader set of unconventional monetary policy measures, the ECB announced on 8 December 2011 that it would allow national central banks to accept additional credit claims (ACC) as collateral from borrowing banks, starting in February 2012. Loans to firms with credit rating of 4 would be eligible as collateral, whereas previously eligibility cut off at 4+. A rating of 4 on the Banque de France’s scale is approximately equivalent to a Fitch rating of BB-. The firm's debt would be considered speculative, with a one-year default probability of between 0.4% and 1%.

作为更广泛的非常规货币政策措施的一部分,欧洲央行于2011年12月8日宣布,将允许国家中央银行从2012年2月开始接受额外的信贷索赔(ACC)作为借款银行的抵押品。贷款给有信贷的公司评级为4将有资格作为抵押品,而之前的资格在4+时被截止。法兰西银行的评级为4,大约相当于惠誉评级为BB-。该公司的债务将被视为投机性债券,一年违约概率介于0.4%至1%之间。

This overnight re-classification of loans on bank balance sheets by the ECB created an ideal setting to discover whether there was a causal effect. We examine the effects of the ACC on the bank-firm level credit volume through two channels:

欧洲央行对银行资产负债表上的贷款进行隔夜重新分类,为发现是否存在因果效应创造了理想的环境。我们通过两个渠道研究ACC对银行 - 企业层面信贷量的影响:

  • A supply channel: The ACC policy implied that loans to 4-rated firms, previously sitting idle on the asset side of the banks’ balance sheets, were suddenly more valuable due to their ability to act as collateral. This created a positive externality for all firms – provided that a bank chooses to use the new collateral to access liquidity from the ECB.
  • 供应渠道:ACC政策暗示,以前闲置在银行资产负债表资产方面的4级公司的贷款由于能够作为抵押品而突然变得更有价值。这为所有公司创造了正外部性 - 前提是银行选择使用新的抵押品来获取欧洲央行的流动性。
  • A demand channel: After the ACC policy, a subset of firms – the 4-rated firms – have a marginally lower external finance premium, because bank loans to the assets of these firms can be used for refinancing purposes. 
  • 需求渠道:在ACC政策之后,一部分公司 - 评级为4的公司 - 外部融资溢价略低,因为这些公司资产的银行贷款可用于再融资目的。

In the French credit registry, administered by the Banque de France, we can also observe the amount of 4-rated loans on banks' lending portfolios before the ACC policy implementation, and so identify banks that benefited from a sudden and exogenous increase in their capacity to borrow money from the central bank. These are our treated banks. We compare them to control banks – i.e. the banks that were less active in issuing the targeted loans before the policy.1

在由法兰西银行管理的法国信用登记处,我们还可以在ACC政策实施之前观察银行贷款组合中的4级贷款金额,从而确定从其能力的突然和外生增长中受益的银行从中央银行借钱。这些是我们经过处理的银行我们将它们与控制银行进行比较 - 即在政策之前不太积极地发行目标贷款的银行

The company database compiled by Banque de France also captures firm balance-sheet information and credit-rating information. So, we are able to identify firms with a rating equal to 4 and better (i.e. the firms that benefited from a lower borrowing costs after the relaxing of collateral requirement). We study these effects over a three-year period between January 2011 and December 2013.

Banque de France编制的公司数据库还记录了公司的资产负债表信息和信用评级信息。因此,我们能够识别评级等于4且更好的公司(即在放宽抵押要求后从较低的借贷成本中受益的公司)。我们研究了2011年1月至2013年12月的三年期间的这些影响。

Bank and firm response

银行和公司的回应

We find the expected positive effect of the ACC policy on lending volume by the banks that hold larger-than-average amounts of newly eligible collateral in their portfolio. The ACC policy intervention worked as a capital injection for these banks and stimulated their credit supply.

我们发现ACC政策对其投资组合中新合格抵押品数量超过平均水平的银行的贷款量有预期的积极影响。行政协调会的政策干预可以为这些银行注资,并刺激其信贷供应。

Surprisingly, this effect does not work for all banks holding a large amount of 4-rated loans. On the contrary, banks with the highest concentration of newly eligible collateral contracted credit. These are small, risk-averse banks whose priority after the recession was to strengthen their balance sheets. Given additional liquidity in the form of newly eligible collateral, they would hoard the additional credit if they prioritised liquidity, but that does not explain a fall in credit.

令人惊讶的是,这种影响并不适用于持有大量4级贷款的所有银行。相反,新合格抵押品集中度最高的银行承包信贷。这些规模较小,规避风险的银行在经济衰退后的首要任务是加强其资产负债表。鉴于新合格抵押品形式的额外流动性,如果他们优先考虑流动性,他们将囤积额外信贷,但这并不能解释信贷下降。

Zooming in, we find that they contracted lending to firms rated 4 and worse (i.e. the riskiest firms). Instead of expanding their balance sheet, they used the policy as a positive income effect to reduce the level of risk of their portfolio; they could maintain its value and reduce the amount of higher risk loans.

放大,我们发现它们向4级及更差的公司(即风险最高的公司)签订了贷款合同。他们没有扩大资产负债表,而是将该政策作为正收入效应来降低其投资组合的风险水平;他们可以维持其价值并减少高风险贷款的数量。

This had not been observed before. The supply channel did not work homogeneously – banks reacted differently, depending on their concentration of newly eligible collateral and their need for liquidity.

之前没有观察到这一点。供应渠道不能均匀运作 - 银行的反应不同,取决于新合格抵押品的集中度和流动性需求。

But, this might be the case if demand for credit was low. To be sure, we zoom in the effect of the ACC policy on credit to the firms eligible for collateral (firms with a credit rating of 4 or better). These firms benefited from a lower risk premium after the ACC. If they had demanded more credit after the reduction in their borrowing cost, then we would observe that they borrow more from all banks. However, we find that in response to the ACC policy, treated banks increase credit supply to them but that same group of firms gets less credit from the control banks. This suggests that the observed credit increase is driven by supply-side factors only.

但是,如果对信贷的需求很低,情况可能会如此。可以肯定的是,我们将ACC政策对信贷的影响放大到有资格获得抵押品的公司(信用评级为4或更高的公司)。这些公司受益于ACC之后较低的风险溢价。如果他们在借款成本减少后要求更多信贷,那么我们会发现他们从所有银行借入更多信贷。然而,我们发现,根据ACC政策,经过处理的银行增加了对它们的信贷供应,但同一组公司从控制银行获得的信贷较少。这表明观察到的信贷增长仅受供应方因素的驱动。

Figure 1 plots the credit volume (in log) along the different bank and firm dimensions. It indicates shifts in the credit market after the ACC: control banks increased their lending to high-risk firms, while treated banks reduced their exposure to them.

图1绘制了不同银行和公司规模的信贷额度(以日志表示)。它表明在ACC之后信贷市场的变化:控制银行增加了对高风险公司的贷款,而对待银行减少了对它们的敞口。

One possible explanation is a voluntary risk-shifting strategy by control banks in search for higher interest rate returns via risk premium. Such behaviour could be motivated by increasing profit-shares to compete with banks that benefited from the ACC policy.

一种可能的解释是控制银行通过风险溢价寻求更高的利率回报的自愿风险转移策略。这种行为可以通过增加利润份额来激励,以便与受益于ACC政策的银行竞争。

Figure 1 Evolution of credit across treated and control banks, low- and high-risk firms

图1处理和控制银行,低风险和高风险公司的信贷演变

Source: Delatte et al. (2019).

资料来源:Delatte等。 (2019)。

Last, we examine the effect of ACC on small and medium enterprises, as expanding credit supply to this category of firms was one of the core motivations to accept lower-rated securities as collateral. But we find that treated banks reduced credit supply to small firms and expanded it to large firms.

最后,我们研究了ACC对中小企业的影响,因为扩大对这类企业的信贷供应是接受评级较低的证券作为抵押品的核心动机之一。但我们发现经过处理的银行减少了对小公司的信贷供应,并将其扩大到大公司。

None of these results overturns the conclusion that overall credit expanded as a result of loose unconventional monetary policy. But there is a fundamental heterogeneity in response across banks – not all banks increased credit, and not all risky firms had improved access to credit.

这些结果都没有推翻总体信贷因松散的非常规货币政策而扩大的结论。但各银行的回应存在根本的异质性 - 并非所有银行都增加了信贷,并非所有风险公司都改善了信贷渠道。

There might even exist a distribution of bank portfolios in which the policy could lower aggregate credit supply. In this case, the heterogeneity would have first-order importance.

甚至可能存在银行投资组合的分布,其中政策可以降低总信贷供应。在这种情况下,异质性将具有一阶重要性。

References

参考

Andrade, P, J H Breckenfelder, F De Fiore, P Karadi, P and O Tristani (2016), "The ECB's asset purchase programme: an early assessment", European Central Bank working paper 1956.

Andrade,P,JH Breckenfelder,F De Fiore,P Karadi,P和O Tristani(2016),“欧洲央行的资产购买计划:早期评估”,欧洲央行1956年的工作文件。

Chakraborty, I, I Goldstein, and A MacKinlay (forthcoming), “Monetary stimulus and bank lending”, Journal of Financial Economics.

Chakraborty,I,I Goldstein和A MacKinlay(即将出版),“货币刺激和银行贷款”,“金融经济学期刊”。

Daetz, S L, M G Subrahmanyam, D Y Tang, and S Q Wang (2016), "Did ECB Liquidity Injections Help the Real Economy?", New York University.

Daetz,SL,MG Subrahmanyam,DY Tang和SQ Wang(2016),“欧洲央行流动性注入是否有助于实体经济?”,纽约大学。

Delatte, A L, J Imbs, and P Garg (2019), "The transmission channels of unconventional monetary policy: Evidence from a change in collateral requirements in France", CEPR Discussion Paper 13693.

Delatte,AL,J Imbs和P Garg(2019),“非常规货币政策的传导渠道:来自法国抵押品要求变化的证据”,CEPR讨论文件13693。

De Marco, F (2019), “Bank lending and the European sovereign debt crisis”, Journal of Financial and Quantitative Analysis 54(1): 155–182.

De Marco,F(2019),“银行贷款和欧洲主权债务危机”,金融与定量分析杂志54(1):155-182。

Krishnamurthy, A and A Vissing-Jorgensen (2011), “The effects of quantitative easing on long-term interest rate”, Brookings Papers on Economic Activity 2011, number 2.

Krishnamurthy,A和A Vissing-Jorgensen(2011),“量化宽松对长期利率的影响”,布鲁金斯2011年经济活动论文,第2期。

Di Maggio, M, A Kermani, and C Palmer (2016), “How quantitative easing works: Evidence on the refinancing channel”, NBER Working Paper 22638.

Di Maggio,M,A Kermani和C Palmer(2016),“量化宽松如何运作:再融资渠道的证据”,NBER工作论文22638。

Mian, A (2012), "The case for a credit registry", In Markus Brunnermeier and Arvind Krishnamurthy (eds.), Risk Topography: Systemic Risk and Macro Modeling, University of Chicago Press: 163-172.

Mian,A(2012),“信用登记的案例”,Markus Brunnermeier和Arvind Krishnamurthy(编辑),风险地形:系统风险和宏观模型,芝加哥大学出版社:163-172。

Endnotes

尾注

[1] One pitfall of identification would be that banks might respond to the ACC policy by altering their lending portfolio. So we used the composition before the ACC policy, because the policy was not anticipated by banks. We did not observe a persistent trend in extending ACC targeted loans before the implementation, though the picture changes after it is implemented.

[1]识别的一个缺陷是银行可能会通过改变其贷款组合来响应ACC政策。所以我们在ACC政策之前使用了这个组合,因为银行没有预料到这个政策。我们没有观察到在实施之前延长ACC目标贷款的持续趋势,尽管在实施后情况发生了变化。

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