为什么6000亿缩表相当于一次加息?——原来联储内部人员是这样看缩表的

原件的成绩。财务陈述表苗条的下的钱币策略态势预测,美国堪萨斯州市联邦储藏将存入银行仔细思索论文,2017年5月10日

【0. 课文摘要

美联储资产不得不量将感动微观资金岩层。这么,经过财务陈述表停止的钱币策略苗条的就可以在必然程度上代表联邦基金目的利息率的多样。具体来说,在接下来的两年里,美联储的财务陈述表加法运算了6750亿雄鹿。,总的来看当量的于将联邦基金利息率上调25基点。

The Federal Reserve’s balance sheet holdings can affect broad financial conditions, including interest 估价。 In this way, monetary policy accommodation provided through the balance sheet may, to a modest extent, substitute for changes in the target federal funds 速率。 Specifically, we find a $675 billion reduction in the Fed’s balance sheet over a two-year horizon is about equivalent to a 25 basis point hike in the funds 速率。

【1. FOMC开端议论缩表成绩】

全球资金危险音长及以前,资产紧握展现完全加法运算了俗歌资产的按规格尺寸切割和分得的财产。。当联邦基金利息率受其无效上限限度局限时,这些紧握次要是补充额定的钱币宽松策略。。自那以前,联邦基金利息率再次下跌,联邦发布判决书在市场上出售某物委员(FOMC)也开端议论缩表成绩。但成绩是,缩表与加息准许会对经济学的发作异样的感动。

During and after the global financial crisis, asset purchase programs substantially increased the size and share of longer-term assets on the Federal Reserve’s balance 薄片。 These purchases were largely used to provide additional accommodation when the federal funds rate was constrained by its effective lower bound. The funds rate has since increased, and the FOMC has discussed reducing the size of its balance 薄片。 One question, however, is whether decreasing the balance sheet has the same effect on the economy as increasing the target federal funds 速率。

【2. 缩表感动r *,现实自然地利息率

想数字化财务陈述表策略和联邦基金I的替换,一种方式是应用有木架的。,容许财务陈述表策略感动自然地利息率(通常) *)。自然地利息率为钱币策略组织者补充了合格的。,像,准许现实基金利息率在昏迷中自然地利息率R *,钱币宽松,钱币策略补充中等的宽松策略以松懈资金陈述和危险。FOMC可以经过使转动财务陈述表来使转动财务陈述表,在必然程度上苗条的资金在市场上出售某物,于是感动自然地利息率R,即其可以经过缩表来代表加息。

One approach to quantifying the so-called substitutability of balance sheet policy and changes in the funds rate is to use a framework that allows balance sheet policy to affect the natural real federal funds rate, frequently referred to as r*. The natural rate provides a baseline that monetary policy makers often use to assess the stance of monetary 策略。 If the real funds rate is below r*, for example, then monetary policy is providing accommodation that tends to ease financial conditions and support economic 留长。 To the extent the FOMC can shape financial market conditions through changes in its balance sheet—and, in turn, r*—it could trade reductions in the balance sheet for increases in the target federal funds 速率。

【3. 铸模显示加息与缩表在替换性】

为了摸索这点,客家语与史米斯建构图案,其成年人的溢价将抵消美联储的财务陈述表与T。 *接触人有工作的。溢价一词指,包围者俗歌专款的添加物补苴。当美联储紧握俗歌库存公司债或机构抵押证明归功于时,财务陈述表扩张;有警告悬条标预示,这些紧握将经过使变弱俗歌利息率来使变弱俗歌利息率。。俗歌利息率的放弃通常会动机利息率放弃。。在Hakkio和史米斯的铸模中,美联储的受恩惠紧握动机了R的自然地利息率。 *抬升。这是鉴于额定宽松的财务陈述表。,使变弱联邦基金利息率必要宽松的现款资金。亦即,Hakkio和Smith铸模预测了联邦基金利息率与财务陈述表策略当中具有必然的可替换性。

To explore this, Hakkio and Smith specify a model that links the Fed’s balance sheet to r* through the term 溢价。 The term premium is the additional compensation investors require to lend money at longer 轮廓线。 When the Fed buys longer-term Treasury or agency mortgage-backed securities, the balance sheet expands; evidence indicates these purchases lower longer-term interest rates by lowering the term 溢价。 Reductions in 俗歌的 interest rates, in turn, often result in lower interest rates on mortgages and auto 归功于。 In the Hakkio and Smith model, these lower rates raise r*, as the additional accommodation from the balance sheet reduces the accommodation needed from the funds 速率。 In other words, the Hakkio and Smith model predicts some substitutability between the funds rate and the balance 薄片。

【4. 但r 作出评估安宁铸模

已经,对r 作出评估是依赖于铸模的,对附加费的份量也完全的。。差别经济学的图案,在必然程度上,R 作出评估也差别的。。像,图1显示了客家语和史米斯的作出评估。,而且频繁援用的劳过独身生活和德隆-威廉姆斯R *作出评估值。(正文1) 依然后者容许嵌上并发症感动R *,但它心不在焉直言的地包括任一附加费。。最近几年中,财务陈述表策略使变弱了成年人的日溢价。,客家语与史米斯 测方式比劳过独身生活和德隆-威廉姆斯测方式宽。。

However, r* estimates are model dependent, as are measures of the term 溢价。 To the extent economic models differ, so will measures of r*. As an example, Chart 1 shows estimates from Hakkio and Smith alongside a commonly cited measure of r* from Laubach and 德隆-威廉姆斯。 (注1) latter measure allows a broad array of factors to affect r* but does not explicitly incorporate the term 溢价。 As a result, the Hakkio and Smith measure of r* rises by more than the Laubach and Williams measure in recent years, largely due to balance sheet policies that reduced the term 溢价。

【5. 缩表经过抬升原稿截止时间溢价感动长端利息率;长端利息率上行时,依然合格的利息率心不在焉被调换,钱币策略在使排成一行或一系列。

可以预测,加法运算财务陈述表转过身来了扩张的相当感动。。缩表抬升了原稿截止时间溢价,到这程度养育俗歌利息率。加冈等。作出评估,财务陈述表的财务陈述表加法运算了1%。,对眼前来说即约缩表1900亿雄鹿,基点上进的溢价。去,缩表经过助长原稿截止时间溢价,客家语和史米斯方式将使变弱自然地利息率R *的作出评估。具体来说,溢价原稿截止时间加法运算1个基点,自然地利息率R 第一基点将被加法运算。目镜上,下R 使报到较高原稿截止时间的保险业,这也使报到了合格的利息率心不在焉使转动的实体。,钱币策略并非完全的宽松。

Presumably, reducing the balance sheet reverses some of the effects of expanding the balance 薄片。 Therefore, balance sheet reductions should raise the term premium and thereby raise long-term 估价。 Gagnon and others estimate that a decrease in the Fed’s balance sheet of 1 percent of gross domestic product, which would currently be about $190 billion, raises the term premium by about basis 点。 Thus, by raising the term premium, reductions in the balance sheet would be expected to lower the Hakkio and Smith measure of r*. In terms of the magnitude, Hakkio and Smith estimate a 1 basis point increase in the term premium decreases r* by about 1 to 1.5 basis 点。 Intuitively, a lower r* reflects a higher term premium, as it captures that monetary policy is less accommodative even when the funds rate is 持续性。

【6. 准许两年内缩表6750亿雄鹿,举升期为25基点。,然后使变弱自然地利息率R * 25基点,相当于利息率的养育。

由于美联储在思索使变弱BAL的可能性性。,作出评估r *可以数字化缩表将会引来等同钱币细节的紧缩。然而半信半疑,图2显示了未婚妻几年可能性的财务陈述表。。(正文2) 在这种健康状况下,2019年度财务陈述表加法运算6750亿雄鹿。鉴于缩表,溢价可能性占领。图3显示了由美联储不得不的俗歌资产(主要成分Gagnon以及静止人的作出评估)引来的原稿截止时间溢价的变更,它显示了当资产加法运算时附加费将方式破除。。不只是健康状况预示,结果却在财务陈述表的苗条的下,到2019岁暮年终,原稿截止时间溢价可能性会下跌约25基点。(正文3) 主要成分客家语和史米斯铸模,原稿截止时间溢价占领引来自然地利息率R 放弃审视总的来看俱。,即约为25基点。去财务陈述表加法运算了6750亿雄鹿。,总的来看相当于将联邦基金利息率上调25基点。 (正文4)

As the Fed contemplates possible reductions in its balance sheet, estimates of r* can quantify how much accommodation these reductions would 移除。 Though uncertain, Chart 2 illustrates one possible scenario for the balance sheet over the coming years.(note2) In this scenario, the balance sheet declines by $675 billion through 2019. As it declines, the term premium is likely to 占领。 Chart 3 illustrates movements in the term premium due to the Fed’s longer-term asset holdings 鉴于 on the estimates of Gagnon and 静止), then shows projections of how the term premium will rise as holdings 没落。 This exercise suggests that due to balance sheet adjustments alone, the term premium could rise by about 25 basis points through the end of 2019.(note3)  According to the Hakkio and Smith model, this rise in the term premium would reduce r* by a similar magnitude—that is, by about 25 basis 点。 These changes are roughly equivalent to raising the funds rate by 25 basis 点。(note4)

 

【7. 已经,R的溢价项 这种感动否定轻易作出评估。

已经,按期保险业 作出评估的感动是完全半信半疑的。。HKKIO铸模和史米斯铸模95%的可靠区间预示,按期保险业 *的感动可能性高达75个基点(想象按期保险业 *有较强的感动)或低至0(想象按期保险业 对它几乎心不在焉感动。。 (正文5)

However, estimates of the term premium’s effects on r* are highly 半信半疑的。 The 95 percent confidence bands around the estimate from Hakkio and Smith suggest the effect on r* could be as high as 75 basis points (准许) the term premium exerts a stronger influence on r*) or as low as 0 (准许) the term premium has little or no effect on r*).(note5)

【8. 因联储深思熟虑的加息节奏和上文所述的缩表路程,直到2019,钱币策略的位依然比较地宽松。

不计财务陈述表的变更,FOMC构件也预测了基金利息率多样的总结。图4显示了因SEP预测的现实联邦基金利息率,与因图2缩表路程下的自然地利息率R *,未婚妻会发作什么多样?。在绝对的预测音长,现实合格的利息率将占领近2个百分点。,r *将微降约25基点。主要成分这么作出评估,钱币策略松动,在财务陈述表逐渐苗条的的健康状况下,这可能性在未婚妻几年依然是完全的。。到2019年,钱币策略估计将不会是中性的。。只是,客家语与史米斯 作出评估值远高于劳过独身生活和德隆-威廉姆斯的作出评估值。。当现实联邦基金利息率为中性时,这不仅安宁美联储财务陈述表B的变得越来越大。,这也安宁根本利息率的根本测。。

In addition to changes in the balance sheet, FOMC participants project changes to the funds rate in their Summary of Economic Projections (SEP) Chart 4 shows how SEP-implied adjustments to the real federal funds rate would evolve relative to r* under the balance sheet adjustment scenario in Chart 2. The chart shows r* declining modestly by about 25 basis points over the forecast horizon, as the real funds rate rises by almost 2 percentage 点。 Under this estimate of r*, monetary policy is currently accommodative and is likely to remain so for the next few years under a scenario of gradual balance sheet 苗条的。 Monetary policy isn’t expected to become neutral until 2019. However, the Hakkio and Smith estimate of r* is considerably higher than the Laubach and Williams 作出评估。 When the actual federal funds rate reaches neutral depends not only on the size of the Fed’s balance sheet and the path of the funds rate but also on the underlying measure of the natural 速率。

(感激实习医师先生李子卓对本文的奉献)

参考文献 

1.Bonis, Brian, Jane Ihrig, and Min 盖细节学会。 2017. “The Effect of the Federal Reserve’s Securities Holdings on Longer-term Interest 估价。 Board of Governors of the Federal Reserve System, FEDS Notes, April 20. 

2.Gagnon, Joseph, Matthew Raskin, Julie Remache, and Brian 洗劫。 2011. “The Financial Market Effects of the Federal Reserve’s Large-Scale Asset 紧握。 International Journal of Central Banking, vol. 7, no. 1, pp. 3–43. 

3.Hakkio, Craig S., and A. Lee 锻工。 2016. “Bond Premiums and the Natural Rate of 兴味。 Federal Reserve Bank of Kansas City, Economic Review, vol.102, no. 1, pp. 5–39. 

4.Laubach, Thomas, and John C. 德隆-威廉姆斯。 2003. “Measuring the Natural Rate of 兴味。 The Review of Economics and Statistics, vol. 85, no. 4, pp. 1063–1070. 

5.Markets Group of the Federal Reserve Bank of New York。 2017. “Domestic Open Market Operations During 2016,” 四月。



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