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經管學術名家論壇(第4期)

 The Collateral Channel of Monetary Policy: Evidence from China

(抵押品框架:中国货币政策框架的重构,NBER working paper, with Hanming Fang, Xian Wu)

2021-06-01 點擊數:

主講人:王永钦 教授(复旦大学)

承辦單位:應用經濟系

講座時間:2021610日上午930-1130

講座地點:2021年足球欧洲杯时间 appB區第一綜合樓103

講座內容:

以抵押品爲基礎的貨幣政策工具已被主要央行廣泛使用。然而,由于缺乏適當的反事實政策,很難從經驗上確定它其對金融市場和實體經濟的因果影響。本研究使用了雙重上市債券在兩個主要的細分市場進行交易構造了一個有效的准自然實驗,包括央行監管的銀行間市場和證券監管機構監管的交易所市場。在研究期間的一次政策轉變中,中國央行在銀行間市場納入了一類以前不合格的債券,作爲金融機構從中期貸款工具(MLF)借款的合格抵押品。這種政策轉變使我們能夠實施三重差分策略,以估計基于抵押品的非常規貨幣政策的因果影響。研究發現,在二級市場上,該政策將處理市場(銀行間市場)中新可抵押債券的利差降低了42-62個基點。二級市場對一級市場存在傳遞效應:銀行間市場新發行的經處理債券的息差減少了54個基點。此外,王教授將介紹本領域的學科前沿方向和研究方法。

Collateral-based monetary policy tools have been used extensively by major central banks. Lack of proper policy counterfactuals, however, makes it difficult to empirically identify their causal effects on the financial market and the real economy. We exploit a quasi-natural experiment in China, where dual-listed bonds are traded in two mostly segmented markets: the interbank market regulated by the Central Bank, and the exchange market regulated by the securities regulator. During a policy shift in our study period, China's Central Bank included a class of previously ineligible bonds in the interbank market to become eligible collateral for financial institutions to borrow money from its Medium-Term Lending Facility (MLF). This policy shift allows us to implement a triple-difference strategy to estimate the causal impact of the collateral-based unconventional monetary policy. We find that in the secondary market the policy reduced the spreads of the newly collateralizable bonds in the treatment market (the interbank market) by 42-62 basis points. We also find that there is a pass-through effect from the secondary market to the primary market: the spreads of the treated bonds newly issued in the interbank market were reduced by 54 basis points.

 

主講人簡介:

王永欽,複旦大學經濟學院教授,博士生導師,青年長江學者,複旦大學經濟學博士(2004),耶魯大學博士後(2008-2010),哈佛大學富布賴特高級訪問學者(2016-2017),現任複旦大學綠庭新興金融業態研究中心主任。在國際和國內經濟學權威期刊發表(其中有多篇爲卷首文章)Journal of Economics, China Economic Review (2),《經濟研究》 (11)、《管理世界》(2)、《金融研究》(5)、《世界經濟》(8) 和核心期刊等發表四十多篇;並已出版中英文著作9 部。入選新世紀優秀人才支持計劃”(2008)浦江人才”(2011) 2012-2013 年度上海社科新人。關于中國金融體系的研究獲《金融研究》年度最佳論文獎”(2014),兼任上海金融法院專家委員會委員,山東省政府發展研究中心研究員。