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经管学术名家论坛(第4期) The Collateral Channel of Monetary Policy: Evidence from China (货币政策的抵押渠道:来自中国的证据)

2021-06-01

主讲人:王永钦 教授(复旦大学)

承办单位:应用经济系

讲座时间:2021610日上午930-1130

讲座地点:be365官网亚洲唯一官网B区第一综合楼103

讲座内容:

以抵押品为基础的货币政策工具已被主要央行广泛使用。然而,由于缺乏适当的反事实政策,很难从经验上确定它其对金融市场和实体经济的因果影响。本研究使用了双重上市债券在两个主要的细分市场进行交易构造了一个有效的准自然实验,包括央行监管的银行间市场和证券监管机构监管的交易所市场。在研究期间的一次政策转变中,中国央行在银行间市场纳入了一类以前不合格的债券,作为金融机构从中期贷款工具(MLF)借款的合格抵押品。这种政策转变使我们能够实施三重差分策略,以估计基于抵押品的非常规货币政策的因果影响。研究发现,在二级市场上,该政策将处理市场(银行间市场)中新可抵押债券的利差降低了42-62个基点。二级市场对一级市场存在传递效应:银行间市场新发行的经处理债券的息差减少了54个基点。

NBER working paper, with Hanming Fang, Xian Wu

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.

 

主讲人简介:

王永钦,复旦大学经济学院教授,博士生导师,青年长江学者,复旦大学经济学博士(2004),耶鲁大学博士后(2008-2010),哈佛大学富布赖特高级访问学者(2016-2017),现任复旦大学绿庭新兴金融业态研究中心主任。在国际和国内经济学权威期刊发表(其中有多篇为卷首文章)Journal of Economics, China Economic Review (2),《经济研究》 (11)、《管理世界》(2)、《金融研究》(5)、《世界经济》(8) 和核心期刊等发表四十多篇;并已出版中英文著作9 部。入选新世纪优秀人才支持计划”(2008)浦江人才”(2011) 2012-2013 年度上海社科新人。关于中国金融体系的研究获《金融研究》年度最佳论文奖”(2014),兼任上海金融法院专家委员会委员,山东省政府发展研究中心研究员。