The Reversal Interest Ratet

• 成果类型: Article
• 署名作者: Abadi, Joseph; Brunnermeier, Markus; Koby, Yann
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Princeton University; Brown University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20190150
• 发表日期: 2023
• 页码: 2084-2120
• 关键词: macroeconomic model; monetary-policy; credit; banking; channel

摘要

The reversal interest rate is the rate at which accommodative mon-etary policy reverses and becomes contractionary for lending. We theoretically demonstrate its existence in a macroeconomic model featuring imperfectly competitive banks that face financial frictions. When interest rates are cut too low, further monetary stimulus cuts into banks' profit margins, depressing their net worth and curtail-ing their credit supply. Similarly, when interest rates are low for too long, the persistent drag on bank profitability eventually outweighs banks' initial capital gains, also stifling credit supply. We quantify the importance of this mechanism within a calibrated New Keynesian model. (JEL E12, E32, E43, E44, E52, G21, L25)