Monetaire Theorie in Vogelvlucht 05-10-2012 Remco Schrijvers Monalytics 1
Monetarisme - Beschrijving โข Fisher vergelijking: ๐๐ = ๐๐ โข
๐ (ln ๐) ๐๐ก
+
๐ (ln ๐) ๐๐ก
=
๐ (ln ๐) ๐๐ก
โ ๐ + (ln ๐) ๐๐ก
Aannames:1,2 i. ii.
โข
Omloopsnelheid (V) (korte termijn) stabiel en verandering alleen op basis van institutionele verandering, dus exogeen Reรซel inkomen (Y) op lange termijn functie van productiecapaciteit (Sayโs law), dus exogeen
๐ (ln ๐) ๐๐ก
โ
๐ (ln ๐) ๐๐ก
;
๐๐ต โ ๐ โ ๐
โข โInflation is always and everywhere a monetary phenomenonโ โ Friedman, 19633 1. Laidler, David, The Transmission Mechanism with Endogenous Money, 2002 2. Fontana and Palacio-Vera, Monetary Policy Uncovered: Theory and Practice, 2004 3. Friedman, Milton. Inflation: Causes and Consequences, New York: Asia Publishing House, 1963.
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Monetarisme - Kritiek โข Problemen (o.a.): i. Instabiliteit omloopsnelheid ii. Instabiliteit money multiplier iii. Goodhartโs law iv. Voor meer, zie note 4 โข Hoofdpunt: Reserve Position Doctrine (RPD) legt causaliteit verkeerd.
โข ๐๐ โ ๐๐ ; ๐ โ ๐ โ ๐๐ต
4. U. Bindseil, The Operational Target of Monetary Policy and the Rise and Fall of Reserve Position Doctrine, 2004
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Monetarisme โ Kritiek (2) โข
Geldhoeveelheid is kredietgedreven en vraaggestuurd โ geldhoeveelheid is endogeen5 โIn the real world, banks extend credit, creating deposits in the process, and look for the reserves later.โ - Alan Holmes, vice president NY Fed, 1969
โข
Redenen (o.a.): โ
โ โ โ
โข
โLagged accountingโ voor bepaling gemiddelde reservevoorwaarden gedurende maintenance periode โ Ontkoppeling proces kredietcreatie en verkrijgen reserves6 Overdraft faciliteiten voor reserve deficiรซnties; ongelimiteerd intraday krediet7,8 Banken kunnen d.m.v. โliability managementโ hun โreservable baseโ aanpassen9 Door een rentedoelstelling wordt controle over de monetaire basis verloren
Moderne centrale banken voeren monetair beleid d.m.v beรฏnvloeding van een korte-termijn rente (interbancaire rente) โToday, there is little debate, at least among central bankers, about what a central bank decision on monetary policy means: it means to set the level of short-term market interest rates that the central bank will aim at in its day-to-day operations during the period until the next meeting of the central bankโs decision-making body.โ - U. Bindseil, ex head liquidity management ECB, 20044
4. U. Bindseil, The Operational Target of Monetary Policy and the Rise and Fall of Reserve Position Doctrine, 2004 5. Deze positie is weinig controversieel en wordt ondersteund door leden van vele verschillende scholen. Zie voor meer โLavoie, Money, Credit and Financeโ. 6. Bijvoorbeeld, in de Eurozone is dit twee maanden; http://www.centralbank.ie/mpolbo/mpo/Documents/Minimum%20Reserves.pdf 7. Een negatieve reservebalans aan het einde van de dag leidt bijvoorbeeld in de Eurozone automatisch tot een aanvraag voor de Marginal Lending Facility; http://www.banque-france.fr/fileadmin/user_upload/banque_de_france/Politique_Monetaire/Instruments_et_statistiques/acces_to_per_f.pdf 4 8. ECB, TARGET2 Annual Report 2011, p.31 9. Een voorbeeld hiervan zijn โretail sweep accountsโ
Reserve Accounting Bank A Assets Reserve Account
Bank B
Liabilities -100
Deposit customer A
Assets -100
Reserve Account
Liabilities +100
Deposit customer B
+100
Central Bank Assets
Liabilities Reserve Account Bank A
-100
Reserve Account Bank B
+100
โข Bekende (RTGS) betalingssystemen zijn: TARGET2 (Eurozone), Fedwire (V.S.), CHAPS (V.K.) โข CBโs stellen intraday ongelimiteerde, renteloze kredieten ter beschikking, indien voldoende onderpand6 โข Overnight reserve-deficiรซntie wordt op interbancaire markt geleend of bij centrale bank (via overdraft faciliteiten, als MLF en Discount Window) 6. ECB, TARGET2 Annual Report 2011, p.31
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Reserve Accounting โข Reservebalansen worden door banken voor slechts 2 redenen gehouden: om transacties mee te verrekenen en om te voldoen aan minimum reservevoorwaarden (waar die van toepassing zijn)10 โข Totale hoeveelheid reservebalansen in systeem functie van centrale bank balans11 ๐
๐๐ ๐๐๐ฃ๐๐ = ๐๐๐ก ๐น๐๐๐๐๐๐ ๐ด๐ ๐ ๐๐ก๐ + ๐๐๐ผ โ ๐ด๐ข๐ก๐๐๐๐๐๐ข๐ ๐ฟ๐๐๐ข๐๐๐๐ก๐ฆ ๐น๐๐๐ก๐๐๐
10. S. Fullwiler, Modern Central Bank Operations, 2008 11. ECB, Liquidity Management of the ECB, Monthly Bulletin, May 2002
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Reserve Accounting โข
Model interbancaire markt:12 Vraag > Aanbod: I.B. rente stijgt tot โLending Rateโ Aanbod > Vraag: I.B. rente daalt tot โDeposit Rateโ
โข Vraag naar reservebalansen wordt altijd geaccommodeerd door CB als zij rentedoelstelling heeft: โThe ECB attempts to provide liquidity through its open market operations in a way that, after taking into account the effects of autonomous liquidity factors, counter-parties can fulfil their reserve requirements as an average over the reserve maintenance period. If the ECB provides more (less) liquidity than this benchmark, counterparties will use on aggregate the deposit (marginal lending) facilityโโ โ Bindseil en Seitz13
โข
Monetair beleid richt zich op de prijs van, niet de hoeveelheid, reserves!
12. Lavoie, Changes in Central Bank Procedures during the Subprime Crisis and Their Repercussions on Monetary Theory, 2010 13. Bindseil en Seitz, The Supply and Demand for Eurosystem Deposits in the first 18 months, 2001
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Reserve Accounting โข Interessant punt: โ Wat als centrale banken bewust overvloedige reserves in het systeem brengen?
Rente kan worden gehandhaafd door doelrente gelijk te maken aan rente op excess reserves (IOER)
โข Rente op overvloedige reserves zodoende nagenoeg perfect substituut voor kortlopende staatsobligaties โBut in order to induce banks to accept a large expansion of such balances [โฆ] the central bank has to make bank reserves sufficiently attractive relative to other assets. In effect, this renders them almost perfect substitutes with other short- term sovereign paper. This means paying an equivalent interest rate. [โฆ] Bank reserves become simply another claim issued by the public sector.โ โ Borio en Disyatat14 14. Borio and Disyatat, Unconventional Monetary Policies: An Appraisal, BIS Working Papers, 2009
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Transacties Overheid โข โข
Transacties van de overheid hebben een reserve-impact (rekening overheid onderdeel van de centrale bank balans) Een begrotingstekort leidt, ceteris paribus, tot toename reservebalansen
โข
Mogelijkheden voor C.B. om doelrente te behalen: โ Overheid absorbeert overvloedige reserves door uitgifte staatsobligaties โ C.B. absorbeert overvloedige reserves (C.B. bills, term deposits, OMO etc.) โ Overvloedige reserves blijven bestaan, maar C.B. betaalt rente op deze reserves gelijk aan de doelrente
โข
Ofwel: de overheid of centrale bank moet een rentedragend instrument verschaffen aan de private sector om de doelrente te behalen
โข
Vanuit monetair perspectief zijn deze twee methoden in hoge mate equivalent! โThere are fiscal implications to this finding. If central banks can control both the rate of interest and the amount of reserves, instead of one or the other as we were long led to believe, it becomes clear that the deficits of federal governments can be nearly indifferently financed either by issuing government securities or by forcing banks to hold reserves at a deposit rate that is close to the interest yield on Treasury bills.โ โ Lavoie12
12. Lavoie, Changes in Central Bank Procedures during the Subprime Crisis and Their Repercussions on Monetary Theory, 2010
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Dusโฆ โโฆ discussions of balance sheet policies often presume a close link between the expansion of reserves and credit creation. The implicit premise is that excess bank reserves induce banks to make loans. Either bank lending is constrained by insufficient access to reserves or more reserves can somehow boost banks' willingness to lend. An extreme version of this view is the notion of a stable money multiplier. In fact, bank lending is determined by banks' willingness to grant loans, based on perceived risk-return trade-offs, and by the demand for those loans. An expansion of reserves over and above the level demanded for precautionary purposes, and/or to satisfy any reserve requirement, need not give banks more resources to expand lending. Financing the change in the asset side of the central bank balance sheet through reserves rather than some other short-term instrument like central bank or Treasury bills only alters the composition of the liquid assets of the banking system. As noted, the two are very close substitutes. As a result, the impact of variations in this composition on bank behaviour may not be substantial. This can be seen another way. Recall that in order to finance balance sheet policy through an expansion of reserves the central bank has to eliminate the opportunity cost of holding them. In other words, it must either pay interest on reserves at the positive overnight rate that it wishes to target, or the overnight rate must fall to the deposit facility floor (or zero). In effect, the central bank has to make bank reserves sufficiently attractive compared with other liquid assets. This makes them almost perfect substitutes, in particular for other short-term government paper. Reserves become just another type of liquid asset among many. And because they earn the market return, reserves represent resources that are no more idle than holdings of Treasury bills. โฆTypically, the main constraint on credit creation, if the demand for credit is there, is bank capital relative to regulatory minimum or market requirements.โ - J. Caruana, General Manager BIS, 200915 15. J. Caruana, Unconventional Monetary Policies in Times of Crisis, SUERF Annual Lecture, 16 nov 2009
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Note on Target2 Santander Assets Reserve Balance at BdE
Commerzbank
Liabilities -100
Deposit customer A
Assets -100
Reserve Balance at BuBa
Liability +100
Deposit customer B
+100
ECB Assets Intra-ESCB Claim
Liabilities +100
Intra-ESCB Liability
+100
Banco dโEspaรฑa Assets
BuBa
Liabilities
Assets
Reserve Balance Santander
-100
Intra-ESCB Liability
+100
Intra-ESCB Claim
Liabilities +100
Reserve Balance Commerzb ank
+100
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Note on TARGET2 โข TARGET2 asset and liabilities are remunerated at MRO-rate1 โข Commerzbank unwillingless to loan interbank (eventually to Santander) leads to TARGET2 imbalance โข Initially, systemwide monetary base is not changed, the distribution of the monetary base (MB) is โข However, Santander can refinance a possible reserve deficiency at BdE (if sufficient eligible collateral), which increases MB (provided Commerzbank does not reduce its (possible) liquidity deficit with BuBa) โข The existence of TARGET2 imbalances is thus a mirror image of disfunctional interbank market โข Putting a cap on TARGET2 balances would be the end of a common currency: a euro held in Spain can have a different value than a euro held in Germany 1. ECB, Annual Report, 2011, p.183
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