Liquidity regulation and the implementation of monetary policy

• 成果类型: Article
• 署名作者: Bech, Morten; Keister, Todd
• 署名单位: Bank for International Settlements (BIS); Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.09.002
• 发表日期: 2017
• 页码: 64-77
• 关键词: Basel III; Liquidity coverage ratio (LCR); Central bank reserves; Corridor system; Floor system; Monetary policy implementation

摘要

We study the impact of the Basel III liquidity coverage ratio (LCR) on interbank interest rates in an otherwise-standard model of monetary policy implementation. When banks face the possibility of an LCR shortfall, the overnight interest rate tends to decrease, while a regulatory premium arises in longer-term rates. In addition, the LCR requirement can substantially alter the effect of a central banks' open market operations on equilibrium interest rates. (C) 2017 Elsevier B.V. All rights reserved.