Negative Nominal Interest Rates and the Bank Lending Channel

• 成果类型: Article
• 署名作者: Eggertsson, Gauti B.; Juelsrud, Ragnar E.; Summers, Lawrence H.; Getz Wold, Ella
• 署名单位: Brown University; Norges Bank; BI Norwegian Business School; Harvard University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad085
• 发表日期: 2023
• 页码: 2201-2275
• 关键词: monetary-policy; balance-sheet

摘要

We investigate the bank lending channel of negative nominal policy rates from an empirical and theoretical perspective. For the empirical results, we rely on Swedish data, including daily bank-level lending rates. We find that retail household deposit rates are subject to a lower bound (DLB). Empirically, once the DLB is met, the pass-through to mortgage lending rates and credit volumes is substantially lower and bank equity values decline in response to further policy rate cuts. We construct a banking sector model and use our estimate of the pass-through of negative policy rates to lending rates as an identified moment to parameterize the model and assess the impact of negative policy rates in general equilibrium. Using the theoretical framework, we derive a sufficient statistic for when negative policy rates are expansionary and when they are not.