探索CBDC的最优流通量（英）

DISCUSSIONPAPERSERIES DP16995 TheoptimalquantityofCBDCinabank-basedeconomy LorenzoBurlon,CarlosMontes-Galdon,ManuelA.MuñozandFrankSmets MONETARYECONOMICSANDFLUCTUATIONS ISSN0265-8003 TheoptimalquantityofCBDCinabank-basedeconomy LorenzoBurlon,CarlosMontes-Galdon,ManuelA.MuñozandFrankSmets DiscussionPaperDP16995Published02February2022 Submitted31January2022 CentreforEconomicPolicyResearch 33GreatSuttonStreet,LondonEC1V0DX,UKTel:+44(0)2071838801 www.cepr.org ThisDiscussionPaperisissuedundertheauspicesoftheCentre’sresearchprogrammes: MonetaryEconomicsandFluctuations Anyopinionsexpressedherearethoseoftheauthor(s)andnotthoseoftheCentreforEconomicPolicyResearch.ResearchdisseminatedbyCEPRmayincludeviewsonpolicy,buttheCentreitselftakesnoinstitutionalpolicypositions. TheCentreforEconomicPolicyResearchwasestablishedin1983asaneducationalcharity,topromoteindependentanalysisandpublicdiscussionofopeneconomiesandtherelationsamongthem.Itispluralistandnon-partisan,bringingeconomicresearchtobearontheanalysisofmedium-andlong-runpolicyquestions. TheseDiscussionPapersoftenrepresentpreliminaryorincompletework,circulatedtoencouragediscussionandcomment.Citationanduseofsuchapapershouldtakeaccountofitsprovisionalcharacter. Copyright:LorenzoBurlon,CarlosMontes-Galdon,ManuelA.MuñozandFrankSmets TheoptimalquantityofCBDCinabank-basedeconomy Abstract Recentstudiessuggestthattheriskofbankdisintermediationthroughdepositsubstitutioncouldunderminethepotentialbenefitsofissuingacentralbankdigitalcurrency(CBDC);atechnologicallysuperiormeansofpaymentissuedbyacentralbank.First,weprovideevidenceontheestimatedimpactofdigitaleuronewsoneuroareabankstockprices.TheexpectedimpactofCBDConbankvaluationsandlendingsupplycruciallydependsonthedesignfeaturesaimedatcalibratingtheamountofCBDCincirculation.Then,wedevelopaquantitativeDSGEmodelthatincorporatesthesetrade-offsandaselectionofmechanismsthroughwhichtheissuanceofaCBDCcouldaffectbankintermediationandtherealeconomy.ThesignandmagnitudeoftheimpactdependonthedesignofaCBDCaswellasontheresponseofthecentralbankbalancesheetanditscollateralframework.Welfare-maximizingCBDCpolicyrulesareeffectiveinmitigatingtheriskofbankdisintermediationandinducesignificantwelfaregains.Themodelsuggeststhatthewelfare-maximizingamountofCBDCincirculationforthecaseoftheeuroarealiesbetween15%and45%ofquarterlyrealGDPinequilibrium. JELClassification:E42,E58,G21 Keywords:Centralbankdigitalcurrency,bankintermediation,DSGEmodelsLorenzoBurlon-lorenzo.burlon@ecb.europa.eu EuropeanCentralBank CarlosMontes-Galdon-carlos.montes-galdon@ecb.europa.eu EuropeanCentralBank ManuelA.Muñoz-Manuel.Munoz@ecb.europa.eu EuropeanCentralBank FrankSmets-frank.smets@ecb.int EuropeanCentralBankandCEPR Acknowledgements TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflecttheviewsoftheECBortheEurosystem.WearegratefultoRamónAdalidforveryfruitfuldiscussionsontheimplicationsofissuingCBDCforthebalancesheetsofbanksandthecentralbank;aswellastoMariaDimouandGabrielaSílováforsupportwiththedatabase.WewouldalsoliketothankJorgeAbad,JordiGalí,MichaelKumhof,FabioPanettaandDominikThaler,aswellasparticipantsatseminarsandconferencesorganizedbytheECB,theBankofEnglandandtheWorkingGrouponEconometricModellingoftheEurosystem.ThepaperalsobenefitsfromnumerousdiscussionswithotherECBcolleaguesworkingonCBDC.Weareresponsibleforallremainingerrors. TheoptimalquantityofCBDCinabank-basedeconomyω LorenzoBurlon†CarlosMontes-Galdón:ManuelA.Muňoz§FrankSmets¶February2022 Abstract Recentstudiessuggestthattheriskofbankdisintermediationthroughdepositsubstitutioncouldunderminethepotentialbenefitsofissuingacentralbankdigitalcurrency(CBDC);atechnologicallysuperiormeansofpaymentissuedbyacentralbank.First,weprovideevidenceontheestimatedimpactofdigitaleuronewsoneuroareabanks'stockprices.TheexpectedimpactofCBDConbanks'valuationsandlendingsupplycruciallydependsonthedesignfeaturesaimedatcalibratingtheamountofCBDCincirculation.Then,wedevelopaquantitativeDSGEmodelthatincorporatesthesetrade-offsandaselectionofmechanismsthroughwhichtheissuanceofaCBDCcouldaffectbankintermediationandtherealeconomy.ThesignandmagnitudeoftheimpactdependonthedesignofaCBDCaswellasontheresponseofthecentralbank'sbalancesheetanditscollateralframework.Welfare-maximizingCBDCpolicyrulesareeffectiveinmitigatingtheriskofbankdisintermediationandinducesignificantwelfaregains.Themodelsuggeststhatthewelfare-maximizingamountofCBDCincirculationforthecaseoftheeuroarealiesbetween15%and45%ofquarterlyrealGDPinequilibrium. Keywords:centralbankdigitalcurrency,bankintermediation,DSGEmodels. JELclassification:E42,E58,G21. ×TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflecttheviewsoftheECBortheEurosystem.WearegratefultoRamónAdalidforveryfruitfuldiscussionsontheimplicationsofissuingCBDCforthebalancesheetsofbanksandthecentralbank;aswellastoMariaDimouandGabrielaSílováforsupportwiththedatabase.WewouldalsoliketothankJorgeAbad,JordiGalí,MichaelKumhof,FabioPanettaandDominikThaler,aswellasparticipantsatseminarsandconferenceso