رقابت در میان بانک ها و عبور از طریق سیاست های پولی

This paper introduces monopolistically competitive financial intermediaries into the New Keynesian DSGE setting. Modelling bank market power explicitly contributes to understanding two empirical facts: (i) The short-run transmission of changes in money market rates to bank retail rates is far from complete and heterogeneous. (ii) Stiffer competition among commercial banks implies that loan rates correlate more tightly with the policy rate. In my model, the degree of monopolistic competition in the banking sector has a sizeable impact on the pass-through of changes in the policy rate. In particular, a more competitive market for bank credit amplifies the efficiency of monetary policy.

The present paper examines the impact of an explicitly modelled banking sector on the transmission of monetary policy shocks. Drawing on Goodfriend and McCallum (2007), I introduce a continuum of monopolistically competitive financial intermediaries whose products are imperfect substitutes. Just like price-setting goods producers, commercial banks can thus determine the retail interest rates on their deposits and loans. There is ample empirical evidence that the pass-through from monetary policy to bank retail rates is incomplete, at least in the short run. Both loan and deposit rates are found to adjust sluggishly to changes in market interest rates (see e. g. Cottarelli and Kourelis, 1994, Berlin and Mester, 1999 and de Bondt, 2005).1 Retail rate adjustment costs are a plausible explanation for this behaviour (Hofmann and Mizen, 2004), as the long-run pass-through is typically estimated to be higher, or almost complete.2 In spite of the consensus view that the extent of stickiness differs between countries and bank product categories, the causes are still up for debate. Starting from the seminal theoretical contribution of Klein (1971), a strand of the empirical literature has focused on the relationship between bank competition and monetary transmission. Hannan and Berger (1991) find that deposit rates adjust significantly more sluggishly in concentrated markets, especially when money market rates are rising. van Leuvensteijn et al. (2008) analyse the impact of loan market competition on bank rates in the euro area between 1994 and 2004. They find that stronger competition implies lower interest differentials between bank and market rates for most loan products. Moreover, the responsiveness of retail rates to changes in market interest rates is positively correlated with the extent of competition. This agrees with evidence from prior studies using different measures of competition or concentration, including Cottarelli and Kourelis, 1994, Borio and Fritz, 1995 and de Bondt, 2005.3 Empirically, stiffer competition from other banks or the capital market seems to speed up the adjustment of retail rates to changes in money market conditions. According to Lago-González and Salas-Fumás (2005), a mixture of bank market power and adjustment costs can account for the observed rigidity in retail rates. Introducing monopolistic competition among banks into a New Keynesian DSGE model entails an under-provision of deposits and credit contracts, relative to the perfect competition scenario, in the long run. More importantly, the model replicates the incomplete pass-through from the policy rate to deposit and loan rates. Sluggish adjustment of deposit rates amplifies changes in private households' liquidity premium and thus the fluctuations in output, consumption, and employment at business cycle frequencies. On the contrary, sticky interest rates on loans attenuate the deviations of investment and employment from their steady-states, due to a cost channel for monetary policy. Monopolistic competition in the market for firm credit represents a significant bottleneck in this model, that reduces the efficiency of monetary policy. Goodfriend and McCallum (2007) study the dynamic implications of Goodfriend (2005) in a calibrated DSGE model. In order to provide loans, the financial sector uses collateral and monitoring effort, while bank deposits are a prerequisite for facilitating transactions. The authors identify two opposing effects of corporate banking: On the one hand the well-known “financial accelerator” introduced by Bernanke et al. (1999), which results from a drop in the value of collateral under adverse economic conditions, on the other hand a “banking attenuator” arising from a fall in consumption and the consequent rise in collateral-eligible assets during a recession. Following up on Goodfriend and McCallum (2007), my model evolves from a two-sector economy with goods production and banking. Firms use labour and capital to produce a diversified output which is sold in a monopolistically competitive market. They cannot retain earnings, but accumulate productive capital through investment. Returns accrue at the end of a period, while the wage bill and investment are paid up front. Firms must therefore pre-finance their working capital by a one-period bank loan. Commercial banks provide two types of financial intermediation. They combine collateral, consisting of a borrower's productive capital stock and end-of-period profits, with monitoring effort to produce loans. Since monitoring is costly, banks demand an external finance premium (EFP) on top of the risk-free reference rate. They moreover collect deposits from private households. Due to administrative costs, deposits are an imperfect substitute for high-powered central bank money from a bank's perspective. Accordingly, they yield a return below the monetary policy rate. In line with Stracca (2007), I refer to this interest rate differential as the liquidity or inside money premium (IMP). Heterogeneity of financial contracts generates an imperfectly competitive market pattern, where both the steady states and dynamics of the above spreads are affected by the extent of bank competition as well as standard arguments in the marginal costs of deposit and loan provision. By widening the spreads between policy and retail rates beyond these costs, commercial banks realise a positive expected net profit. This paper attempts to overcome the absence or passivity of financial intermediaries in most models. By allowing banks to set interest rates optimally, subject to quadratic adjustment costs à la Rotemberg (1982), I add a micro-founded imperfection to the transmission mechanism of monetary policy. Recently, a limited number of papers have approached the question of incomplete interest rate pass-through and monopolistic competition among banks in a general equilibrium framework. Among them, the contributions of Scharler, 2008, Hülsewig et al., 2009, Gerali et al., 2008 and Gerali et al., 2010 are most closely related to my work. Scharler (2008) analyses the implications of limited pass-through from market to both loan and deposit retail interest rates for macroeconomic volatility in a calibrated sticky price model. Incomplete pass-through arises from the introduction of intermediation costs which provide an incentive for banks to smooth retail interest rates even within a perfectly competitive financial sector. Hülsewig et al. (2009) analyse the role of loan market frictions in the propagation of monetary policy shocks. They combine sticky loan interest rates à la Calvo (1983) with monopolistic competition of the same functional form used in this paper. While the authors comment on the immediate and long-run effects of monopolistic competition on the pass-through of monetary policy shocks in proposition 2.2, the corresponding sensitivity parameter is dropped in the empirical analysis where they focus on the role of incomplete interest rate pass-through for the cost channel of monetary policy transmission. Gerali et al. (2010) develop a financially rich model and estimate it on euro area data. Their banking sector also features interest rate adjustment costs and monopolistic competition in loan and deposit markets. As opposed to my model, their wholesale interest rates will be identical to the monetary policy rate in the long-run equilibrium without shocks.4 As a consequence, the entire steady-state spread between the monetary policy rate and bank retail rates necessarily arises from monopolistic competition. While this comprehensive framework allows the authors to address numerous interesting questions, especially in relation to the recent financial turmoil, the role of monopolistic competition among banks is not tracked down in their analysis. My work contributes to the above line of research by analysing precisely the quantitative importance of imperfect competition in the markets for bank products on the transmission of monetary policy shocks, given a constant degree of interest rate stickiness. For this purpose, I use a calibrated New-Keynesian DSGE model. The rest of the paper is organised as follows. Section 2 describes the model. In Section 3, I derive the intertemporally optimal behaviour of banks and the symmetric equilibrium. The calibration of parameters and steady-state results are presented in Section 4. Section 5 analyses the dynamic implications of bank competition for the responses to an expansionary monetary policy shock. Section 6 concludes.

In the present model, private agents rely on two types of financial services provided by commercial banks. Also, the deposits and loans of different banks substitute imperfectly against each other. The spreads between the risk-free refinancing rate and banks' retail rates, i. e. the inside money and external finance premium, are therefore determined by standard cost arguments of financial intermediation and by the degree of monopolistic competition in the banking sector. In the long-run steady state, when adjustment costs do not play a role, the real effects of market imperfections are small. My findings from the dynamic simulations suggest that bank market power might have a sizeable impact on the pass-through of monetary policy in the short run. Monopolistic competition among the providers of deposits acts as a financial accelerator, in this model. By contrast, the heterogeneity of bank credit attenuates the response of the loan rate to changes in market interest rates and absorbs thus part of the monetary policy shock. While the degree of competition in deposit markets has only marginal influence, the interest sensitivity of loan demand appears to be quantitatively important for the economy's behaviour over the business cycle.