Liability dollarization and the bank balance sheet channel

• 成果类型: Article
• 署名作者: Choi, WG; Cook, D
• 署名单位: Hong Kong University of Science & Technology; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2003.08.009
• 发表日期: 2004
• 页码: 247-275
• 关键词: bank balance sheet channel; foreign currency debt; sticky-prices; Exchange rate depreciation

摘要

Emerging markets' financial institutions often face a mismatch in the currency denominations of their liabilities (foreign currency-denominated debt raised from foreign lenders) and their assets (domestic currency loans to domestic borrowers). We study the effect of this mismatch on monetary policy in a sticky-price, dynamic general-equilibrium small open economy model in which the country default-risk premium depends on domestic banks' balance sheets due to asymmetric information. A fixed exchange rate rule that stabilizes bank balance sheets offers greater stability than does an interest rate rule that targets inflation to offset the real effects of sticky-prices. (C) 2003 Elsevier B.V. All rights reserved.