Banks, Liquidity Management, and Monetary Policy

• 成果类型: Article
• 署名作者: Bianchi, Javier; Bigio, Saki
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA16599
• 发表日期: 2022
• 页码: 391-454
• 关键词: RESERVE MANAGEMENT; money; credit; MARKET; CONTRACTS; PRIVATE; demand; MODEL; runs

摘要

We develop a tractable model of banks' liquidity management with an over-the-counter interbank market to study the credit channel of monetary policy. Deposits circulate randomly across banks and must be settled with reserves. We show how monetary policy affects the banking system by altering the trade-off between profiting from lending and incurring greater liquidity risk. We present two applications of the theory, one involving the connection between the implementation of monetary policy and the pass-through to lending rates, and another considering a quantitative decomposition behind the collapse in bank lending during the 2008 financial crisis. Our analysis underscores the importance of liquidity frictions and the functioning of interbank markets for the conduct of monetary policy.