LIQUIDITY, TERM SPREADS AND MONETARY POLICY

• 成果类型: Article
• 署名作者: Aksoy, Yunus; Basso, Henrique S.
• 署名单位: University of London; Banco de Espana
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12087
• 发表日期: 2014
• 页码: 1234-1278
• 关键词: nominal rigidities; economic-activity; yield spread; debt; RISK; prices; confidence; banking; premium; puzzle

摘要

We propose a model with segmented markets that delivers endogenous variations in term spreads driven by banks' portfolio decisions while facing maturity risk. Future profitability influences the term premium that banks require to carry this risk. When expected profitability is relatively high (low) spreads are low (high). Spread fluctuations feed back into the macroeconomy through investment decisions. Econometric evidence corroborates this link between expected financial profitability and yield spreads. Finally, we analyse unconventional monetary policy by allowing banks to sell assets to the central bank. These interventions exploit a new channel of policy transmission through banks' portfolio choice affecting the yield curve.