Low Real Interest Rates, Collateral Misrepresentation, and Monetary Policy

• 成果类型: Article
• 署名作者: Williamson, Stephen D.
• 署名单位: Western University (University of Western Ontario)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20150035
• 发表日期: 2018
• 页码: 202-233
• 关键词: liquidity; FRAMEWORK

摘要

A model is constructed in which households and banks have incentives to fake the quality of collateral. These incentive problems matter when collateral is scarce in the aggregate-when real interest rates are low. Conventional monetary easing can exacerbate these problems, in that the misrepresentation of collateral becomes more profitable, thus increasing haircuts and interest rate differentials. Central bank purchases of private mortgages may not be feasible, due to the misrepresentation of asset quality. If feasible, central bank asset purchase programs work by circumventing suboptimal fiscal policy, not by mitigating incentive problems in asset markets.