عبور از طریق نرخ بهره در اروپا و آمریکا: سیاست های پولی پس از بحران مالی

We examine the interest rate transmission mechanism for the Eurozone and the USA and discuss this issue in the light of the recent financial market tensions. For an efficient monetary policy, any change in the central bank policy rate is meant to be transmitted to retail interest rates, ultimately influencing consumer and business lending rates and therefore aggregate domestic demand and output. The disaggregated GETS methodology is employed, which allows us to reveal the relative importance of the central bank and money market rates as policy vehicle variables in the two banking systems. Our empirical results for the two banking systems are rather mixed as far as it concerns the pass-through transmission and completeness. We also refer to the lessons learned prior to and after the collapse of the monetary and financial system on both sides of the Atlantic. We believe that this study has interesting policy insights and provides certain policy suggestions, which might be useful for the regulatory authorities in their attempt to monitor and reinforce monetary policy effectiveness.

Standard economic theory includes monetary policy as one of the two main tools that governments can use to influence output, investment, prices and employment in any economy. Monetary policy can affect key macroeconomic variables through the functioning of three distinct channels, namely the interest rate channel, the bank lending channel and the broad credit channel.1Angeloni, Mojon, Kashyap, and Terlizzese (2002) find that the interest rate channel is the most important for monetary policy transmission in the Euro area. The adjustment of retail bank interest rates (deposit and lending rates) in response to changes in wholesale rates (central bank and interbank money market rates)2 is a fundamental element of the interest rate transmission mechanism. For an efficient monetary policy, any change in the central bank policy rate is meant to be transmitted to retail interest rates, ultimately influencing consumer and business lending rates and therefore aggregate domestic demand and output. In effect, if the interest rate transmission is not efficient, then the required policy reaction by the monetary authorities will have to be stronger in order to achieve the same end result. The efficiency of the interest rate transmission channel has become particularly important in the context of the recent financial crisis which was erupted in August 2007 and intensified in the second half of 2008. Moreover, as money and other credit markets has been getting further intertwined over the past two decades, disruptions to the money and funding markets can have adverse macroeconomic consequences (Čihák, Harjes, and Stavrev, 2009). For all these reasons, the regular monitoring and assessment of the interest rate pass-through (PT hereafter) is critical for policymaking. The main aim of this paper is to provide empirical evidence on the interest rate pass-through process in the Euro area and USA (the locomotives of the world economy) and to discuss this issue in the light of the recent financial market tensions. We address the question of how the monetary transmission process works in these two economies and whether their responses to interest rate dynamics are symmetric or asymmetric. We also show how rapidly and extensively changes in policy rates and market interest rates are passed on to retail bank interest rates. To the best of our knowledge it is the first attempt to make a comparative study of the efficiency of the monetary policy between the Eurozone and the USA regarding the symmetric or asymmetric responses of retail rates to wholesale rates changes. In an attempt to unveil the existence and importance of a pass-through behaviour, the disaggregated general-to-specific model (hereafter GETS) is employed. This model, which has not been used before in the relevant literature, allows us to estimate and make inferences not only about the short and long run interest rate elasticities but, as well as, for the upward/downward stickiness of the interest rate transmission mechanism. Any upward or downward change in the central bank policy rate is meant to be transmitted to retail interest rates for the monetary authorities to be able to affect consumer and business lending rates and therefore aggregate domestic demand and output. Moreover, it is important for both central bankers and Treasury Secretaries to have a precise understanding of the upward and downward degree of the interest rate pass-through in order to be able to design the appropriate monetary policy along the different phases of the business cycle. The empirical results for the two banking systems are rather mixed as far as it concerns the wholesale rates PT transmission and completeness. In the Eurozone it is mainly the money market rate that is transmitted more effectively to the retail rates (and in particular the lending rates). Also, the interest rate PT is complete in the long run, only when the wholesale rate is the money market rate and the retail rate is the deposit rate. For the US case, it is the central bank rate rather than the money market rate that works more effectively as a policy vehicle variable. Also the interest rate PT is nearly complete in the long run only between the central bank rate and the deposit rate. Regarding the effect of an upward or downward change (symmetry hypothesis) in the policy-controlled variables to the retail rates, our results for the Eurozone indicate that banks tend to pass to depositors only the decreases of the original money market rate change and to borrowers more of its increases rather than its decreases. In contrast, in the US case banks tend to pass to depositors only the decreases of the original central bank rate change, while they pass to borrowers more of its decreases rather than its increases. The paper is structured as follows. Section 2 offers a discussion of the importance of the interest rate policy transmission mechanism, particularly in the light of the recent financial crisis. In Section 3, a brief review of the literature on interest rate PT is presented. In Section 4, the econometric approach regarding the interest rate PT model is analysed and the empirical results are given in Section 5. Section 6 provides our final remarks and draws policy conclusions.

This study focuses on how the interest rate PT works in the Eurozone and the USA. It is the first attempt to make a comparative study for the Eurozone and the US in an effort to unveil the existence and importance of an interest rate PT behaviour. The disaggregated GETS methodology is employed, which allows us to reveal the relative importance of the central bank and money market rates as policy vehicle variables in the two banking systems. Our empirical results for the two banking systems are rather mixed as far as it concerns the wholesale rates PT transmission and completeness. We believe though that these results can be useful for the European and US regulatory authorities in their attempt to monitor the competitiveness of their banking systems and reinforce monetary policy effectiveness. The interest rate transmission channel has become particularly important in the context of the recent financial crisis that led to a disturbance in the functioning of the money markets both in the US and the Eurozone. As a result, the efficiency of the monetary policy transmission in the two regions has been disrupted and this was mirrored in a widening of the spreads between the central bank policy rates and the money market rates as well as between the former and the retail rates. Active policies from the central bank authorities and regulators’ end, were rendered essential for the monetary transmission mechanism to be restored. There are a number of lessons to be learned prior to and after the collapse of the monetary and financial system on both sides of the Atlantic. Necessary policy measures to be taken in similar financial crisis in the future, should involve: active liquidity management from the central bank authorities, financial institution and market regulation, central bank cooperation and information dissemination and fiscal policy (Chailloux, Gray, & McCaughrin, 2008). Specifically, central banks should have a properly designed strategy, accurately executed, for channelling liquidity in the financial system and thus restoring the smooth monetary transmission. Such strategy could possibly include indirect measures, for example money market support by exchanging treasury bills for other types of securities used as collateral. Having said that, the “lender of last resort” role of the central bank should not be exaggerated during periods of liquidity stress. Emergency liquidity facilities should be used with caution by the market participants to ensure that banks do not become overly dependent on central bank support and avoid the associated “moral hazard” problem. Secondly, various quantitative regulations should be put forward by the supervisory authorities and central banks, to ensure prudent lending practices. More specifically, rules can be imposed regarding the size of the loan-to-value ratios and the use of periodic and frequent property valuation used as collateral (Panagopoulos and Vlamis, 2009). The un-controlled ‘structured finance’ industry (credit default swaps, collateralised debt obligations, collateralised loan obligations, asset-backed securities, collateralised debt obligations) as well as the hedge fund and the private equity industries, should be regulated and brought under strict supervision of securities and exchange commissions. It has been suggested by OECD (2008) that re-regulation of international financial markets is necessary to include coverage of both financial products and institutions and to identify and prevent excessive risk-taking behaviour from the market participants’ end. EU authorities responded to the new challenges by creating (i) the European Systemic Risk Council, (ii) supervisory colleges, and (iii) taking the initiative to create a single European rule book applicable to all financial institutions. As far as it concerns the response of the G20, they decided to rename and upgrade the former Financial Stability Forum into the newly established Financial Stability Board, which will provide early warning of macroeconomic and financial risks as well as the necessary actions needed to address them. Third, during a period of financial distress it becomes even more important to establish information sharing between central banks in order to enhance collaboration and frequent communication between them (IMF, 2008). Also, central banks should provide more information to economic agents in order to maintain the smooth functioning of the markets. Last but not least, when markets face liquidity crises, fiscal authorities need to work closely with central bank, without jeopardising its independence, to design the optimal fiscal-monetary policy mix to achieve price and output stability.