Scarce collateral, the term premium, and quantitative easing

• 成果类型: Article
• 署名作者: Williamson, Stephen D.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.07.010
• 发表日期: 2016
• 页码: 136-165
• 关键词: Monetary policy; quantitative easing; Term premium; collateral

摘要

A model of money, credit, and banking is constructed in which the differential pledgeability of collateral and the scarcity of collateralizable wealth lead to a term premium - an upward-sloping nominal yield curve. Purchases of long-maturity government debt by the central bank are always a good idea, but for unconventional reasons. A floor system is preferred to a channel system, as a floor system permits welfare-improving asset purchases by the central bank. (C) 2015 Published by Elsevier Inc.