خرید بدهی های دولت نامتعارف به عنوان یک مکمل با سیاست های پولی متداول

In response to the Great Financial Crisis, the Federal Reserve, the Bank of England and many other central banks have adopted unconventional monetary policy instruments. We investigate if one of these, purchases of long-term government debt, could be a valuable addition to conventional short-term interest rate policy even if the main policy rate is not constrained by the zero lower bound. To do so, we add a stylised financial sector and central bank asset purchases to an otherwise standard New Keynesian DSGE model. Asset quantities matter for interest rates through a preferred habitat channel. If conventional and unconventional monetary policy instruments are coordinated appropriately then the central bank is better able to stabilise both output and inflation.

The Great Financial Crisis has seen the emergence of monetary policy instruments that are often described as “unconventional”. The events of 2007–2008 forced monetary policy authorities to adopt new tools, even though they had little previous experience with them and there was considerable uncertainty about their likely impact. The general belief was that unconventional policy was an emergency response that would be phased out once the crisis was over. However, if it is designed carefully it may help a central bank reach its objectives even in non-crisis times. This paper investigates whether the unconventional policy of central banks purchasing long-term government debt could be useful even after the Great Financial Crisis has passed. We obtain our results in a New Keynesian DSGE model with a stylised financial sector and a Taylor-type policy rule for central bank asset purchases. Asset quantities matter because of the behaviour of banks and the incompleteness of financial markets. Households can only transfer income between periods with the help of banks, who invest the deposits they receive into government bonds. Banks allocate deposits into government bonds of different maturities according to a perception that savers are heterogeneous with respect to their preferred investment horizons. Central bank purchases of long-term government bonds reduce the supply of long-term debt available to the private sector, which increases the marginal willingness of banks to pay for it. This reduces yields on long-term debt, discourages saving, and hence increases output and inflation. When the policy parameters are chosen optimally, a combination of conventional and unconventional policies leads to significantly lower losses compared to when the central bank uses only conventional policies. Central bank purchases of government bonds in our model have an effect through a “preferred habitat” channel of the type identified by Modigliano and Sutch (1966), and later developed by Vayanos and Vila (2009). The idea is that investors see government bonds of different maturities as imperfect substitutes and so are willing to pay a premium on bonds of their preferred maturity. The quantities of assets available then matter for prices and returns; if the central bank purchases government debt of a particular maturity then the supply of that asset to the private sector is reduced, its price rises and its return falls. The preferred habitat channel operates in our model as banks hold government debt of different maturities in response to a perception that savers have heterogeneous investment horizons. The closest models to ours are Andrés et al. (2004) and Chen et al. (2012), although they consider different mechanisms and have less emphasis on implications for optimal policy coordination. The main focus of the current unconventional monetary policy literature is on credit easing, i.e. central bank purchases of private financial assets.1 An important exception is Eggertsson and Woodford (2003), who examine central bank purchases of government debt. They argue that unconventional monetary policy works by acting as a signal for the future path of short-term interest rates, so will be especially useful when the main policy rate is constrained by the zero lower bound. In their model, though, the risk-premium component of long-term interest rates is unaffected by any reallocation of assets between the central bank and the private sector. This is because risks are ultimately born by the private sector, even if government debt is purchased by the central bank. If the central bank makes losses on government debt then government revenue falls and taxes on the private sector have to rise to satisfy the government budget constraint.2 This view is not supported by the empirical evidence in Bernanke et al. (2004), D׳Amico et al. (2012), D׳Amico and King (2013), Gagnon et al. (2011), Krishnamurthy and Vissing-Jorgensen (2011) and Neely (2010). Instead, these studies find strong evidence that central bank purchases of government debt have small but significant effects via the term premium component of long-term interest rates. The evidence supporting a preferred habitat mechanism comes from the “scarcity channel” in D׳Amico et al. (2012) and the “safety channel” in Krishnamurthy and Vissing-Jorgensen (2011).

Our results call for central banks to consider purchasing long-term government bonds, even when the economy is not in financial crisis. Unconventional asset purchases of this type are a valuable addition to the tool kit of a central bank trying to stabilise inflation and output, whatever the state of the economy and not just when the short-term nominal interest rate is constrained by the zero lower bound. In order to reap the full benefit, though, it is important to coordinate unconventional and conventional monetary policy. In our model, this means that the short-term interest rate should respond to inflation while the central bank׳s purchases of long-term debt should respond to output. Unconventional monetary policy plays an even more important role if the central bank is additionally concerned about interest rate volatility. The ‘Maturity Extension Program and Reinvestment Policy” announced by the Federal Reserve in September 2011 is an example of the type of unconventional monetary policy measure we advocate.15 Under this programme, the Federal Reserve lengthens the average maturity of its government bond portfolio by selling short-term treasuries and re-investing the proceeds in long-term treasuries. Our results suggest that such operations may become increasingly important even when financial crisis has passed. The benefit of unconventional monetary policy in our model is indicative of more general gains available from the coordination of monetary policy and the debt management of fiscal authorities. In our model, central bank purchases of long-term government bonds are equivalent to a reduced issuance of these bonds by the fiscal authority. Whilst our results abstract from active debt management by the treasury, Borio and Disyatat (2010) argue that fiscal authorities may be tempted to reduce debt financing costs by increasing the maturity of new debt at a time when long-term interest rates are relatively low. This is problematic, because it implies that any attempt by the central bank to use unconventional asset purchases to stimulate the economy may be unwound by the treasury issuing more long-term government debt.