کانال های وام دهی بانک نامتقارن و سیاست های پولی بانک مرکزی اروپا

The launch of the euro has prompted interest in the differences between financial systems and their consequences for monetary policy transmission. This paper analyses the case of a monetary union composed of countries with heterogeneous bank lending channels. In order to insulate the economies from the asymmetric effects produced by differences in national banking systems, a money supply process based on the interest rate on bonds and its spread with respect to the lending rate is proposed. Using a two-country rational expectations model, this study highlights the properties of the optimal monetary instrument.

European monetary integration has prompted interest in the study of differences between financial systems among EU countries and their consequences for monetary transmission mechanisms (Dornbusch et al., 1998). In the spirit of Bernanke and Blinder (1988), heterogeneity in the structure of financial intermediation and in the degree and composition of firms’ and households’ debt could imply differences in the effectiveness of the ‘credit channel’ (or, now, the ‘bank lending channel’) of monetary policy in the euro area (Borio, 1996, Kashyap and Stein, 1997 and Guiso et al., 1999). Empirical studies seem to confirm the importance of these asymmetries. For example, the credit channel has been found to be present in Italy (Buttiglione and Ferri, 1994, Angeloni et al., 1995, Bagliano and Favero, 1995, Fanelli and Paruolo, 1999 and Chiades and Gambacorta, 2000), but not in France (Bellando and Pollin, 1996), Germany (Barran et al., 1995) or the Netherlands (Garretsen and Swank, 1998). The analysis could also be extended to other UE countries, such as the United Kingdom, where there is evidence of a significant credit channel (Dale and Haldane, 1993a, Dale and Haldane, 1993b and Dale and Haldane, 1995). Apart from their different conclusions, these econometric studies point out the substantial information content of the spread between bank and bond market rates in explaining loan market disturbances and their impact on real output (see also Kashyap et al., 1993). The aim of this paper is to analyse the optimal monetary policy for a monetary union composed of countries with structural differences in credit channels. In order to better insulate the economies from the asymmetric effects produced by heterogeneity in national financial systems, the classical money supply process proposed by Poole (1970) is modified to consider the spread between the interest rate on loans and that on bonds as an additional feedback variable. In fact, while the interest rate on bonds embodies information mainly on money market equilibrium, the spread also indicates the state of the credit and goods markets. The analysis is carried out with reference to the economic policy scenario for the EMU where the Governing Council sets its objective for the Union as a whole. Nevertheless, heterogeneity in the financial structures has great influence on the choice of monetary policy, because it affects the geographical distribution of the effects. The main finding of this study is that if the countries that make up the Union have asymmetric bank lending channels, an active monetary policy that responds to information from financial indicators produces very great benefits; in this case, the optimal monetary policy is influenced not only by the magnitude of the variance of the shock but also by its point of origin, since its propagation within the union depends upon the characteristics of the country that has been hit by the disturbance. The remainder of the paper is organised as follows. Section 2 presents the analytical framework, based on a two-country rational expectations model. Section 3 analyses the characteristics of a money supply process that uses as feedback variables both the interest rate on bonds as in Poole (1970) and its spread vis-à-vis the bank lending rate. After discussing the objective function of the area-wide monetary authority (Section 4), Section 5 investigates the properties of the optimal monetary instrument. Section 6 summarises the main conclusions.

6. Conclusions This paper has analysed the optimal monetary policy in a monetary union composed of countries with heterogeneous credit channels. In order to insulate better the economies from the asymmetric effects produced by differences in national financial systems, the classic money supply process proposed by Poole (1970) has been modified to consider the spread between the interest rates on loans and bonds as an additional feedback variable. Using a two-country rational expectations model, this study has highlighted the properties of the optimal monetary instrument. The main conclusions can be summarised as follows. In the case of perfect substitutability in the goods market, not only money and output demand shocks, but also credit market disturbances influence prices and income in an additive form and the monetary union, therefore, tends to reduce the effects of such shocks only if they are negatively correlated. Asymmetric effects between the two countries are determined only in the case of shocks to the ‘law of one price’ and to aggregate supply. Only when these two kinds of disturbance are negligible does the stabilisation objective of each country coincide with that of the monetary area as a whole. In the presence of stochastic disturbances that cannot be observed, the optimal monetary policy has to consider all information from movements in the financial indicators: the common interest rate on bonds embodies information mainly about money market disequilibria, the spread between the interest rate on loans and bonds ensure additional information about shocks on the credit market and output demand. Using the spread as a feedback variable in the money supply process determines, on the one hand, the reduction of asymmetric effects due to national credit market differences and, on the other, a better insulation of the economies from both money and output demand disturbances. This result indicates the superiority of spread vs. interest rate pegging. Indeed, in contrast to Poole's model, control of the interest rate can insulate the economies from money demand shock only in the extreme case of ineffective credit channels. The economic intuition underlying this result is that, in the Bernanke–Blinder framework, if monetary policy reacts to support variations in the public's liquidity preference by changing the money supply, this also determines an effect on the supply of loans, which moves the CC. Therefore, only when these movements are negligible does Poole's result hold. In the face of credit market disturbances, money targeting is generally preferable, except in the case of a shock in country 1 associated with high asymmetry between national credit channels, which requires spread pegging to contain the effects on prices and output variability. When random disturbances affect the supply side of the economies, the optimal monetary policy becomes highly sensitive to the effectiveness of credit channels and their degree of asymmetry. Moreover, the selected rule with respect to inflation tends to have opposite consequences on output variance. The main message from this paper is that in the case of a monetary union among countries with different financial structures, monetary policy should respond by ‘leaning against the wind’ with more intensity than if the countries were identical. Each kind of shock changes the optimal rule in a specific direction with an intensity that is a function of the parameters of the model. Moreover, if the difference between national credit channels reaches a critical threshold value, with credit market and supply disturbances, the law of motion of the optimal rule switches, depending upon the country in which the shock has originated. Further research could be directed towards three additional issues. First, the general analytical framework of the model could be used to analyse the consequences for the monetary transmission process of structural and institutional differences in other markets (for example, the labour market). Second, the results of the optimal monetary rule proposed here could be improved using other economic indicators as feedback variables, in line with the ‘second’ pillar of ECB monetary policy. Third, an analysis of the monetary instrument problem should also take into account national fiscal policies. In this case, indeed, the optimal policy rule also depends on fiscal policy co-ordination at the area level and should include as feedback variable also an indicator of their degree of asymmetry.