CBDC与货币政策操作框架（英）

BISWorkingPapers No1126 CBDCandtheoperationalframeworkofmonetarypolicy byJorgeAbad,GaloNuñoandCarlosThomas MonetaryandEconomicDepartment September2023 JELclassification:E42,E44,E52,G21. Keywords:centralbankdigitalcurrency,interbankmarket,searchandmatchingfrictions,reserves. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) CBDCandtheoperationalframeworkofmonetarypolicy∗ JorgeAbad†GaloNuño†,‡CarlosThomas† †BancodeEspaña‡BankofInternationalSettlements Firstversion:February2021Thisversion:September2023 Abstract Weanalyzetheimpactofintroducingacentralbank-issueddigitalcurrency(CBDC)ontheoperationalframeworkofmonetarypolicyandthemacroeconomyasawhole.Tothisend,wedevelopaNewKeynesianmodelwithheterogeneousbanks,africtionalinterbankmarket,acentralbankwithdepositandlendingfacil-ities,andhouseholdpreferencesfordifferentliquidassets.Themodeliscalibratedtoreplicatethemainmonetaryandfinancialaggregatesintheeuroarea.Ouranal-ysispredictsthatCBDCadoptionimpliesaroughlyequivalentreductioninbanks’depositfunding.However,this‘depositcrunch’hasarathersmalleffectonbanklendingtotherealeconomy,andhenceonaggregateinvestmentandGDP.ThisresultreflectstheparallelimpactofCBDConthecentralbank’soperationalframe-work.ForrelativelymoderateCBDCadoptionlevels,thereductionindepositsisabsorbedbyanalmostone-to-onefallinreservesatthecentralbank,implyingatransitionfroma’floor’system–withamplereserves–toa‘corridor’one.ForlargerCBCDadoption,thelossofbankdepositsiscompensatedbyincreasedrecoursetocentralbankcredit,asthecorridorsystemgiveswaytoa‘ceiling’onewithscarcereserves. Keywords:centralbankdigitalcurrency,interbankmarket,searchandmatchingfrictions,reserves. JELcodes:E42,E44,E52,G21. ∗Correspondingauthor:JorgeAbad(jorgeabad@bde.es).TheviewsexpressedinthismanuscriptarethoseoftheauthorsanddonotnecessarilyrepresenttheviewsoftheBIS,theBancodeEspaña,ortheEurosystem.WewouldliketothankBenHemingway,JoëlMarbet,ManuelMuñoz,DirkNiepelt,FrankSmets,JavierSuarez,andAntonvanBoxtel,aswellastheparticipantsatnumerousconferencesandseminars.Allremainingerrorsareours. 1Introduction Thepotentialintroductionofacentralbankdigitalcurrency(CBDC)hasgainedincreas-ingattentioninrecentyearsamongpolicymakersandacademics.InMarch2022,USPresidentBiden’sExecutiveOrderonEnsuringResponsibleDevelopmentofDigitalAs-setsplaced“thehighesturgencyonresearchanddevelopmenteffortsintothepotentialdesignanddeploymentoptionsofaUnitedStatesCBDC”.Similarly,theEuropeanCen-tralBankisanalyzingtheimplicationsofthepotentiallaunchofa“digitaleuro”,thatis,aeuro-areaCBDC. WhiletheacademicliteraturehasthoroughlyanalyzedthepotentialimplicationsofCBDCforfinancialstabilityandmonetarypolicytransmission,muchlessattentionhasbeendevotedtoitsimpactonmonetarypolicyimplementationandhowthisislikelytoshapethemacroeconomiceffectsofCBDC.1Nowadays,mostcentralbanksinadvancedeconomiesoperatea“floorsystem”inwhichbanks’demandforliquidityissatiatedwithanamplesupplyofcentralbankreserves(“excessreserves”),andinterbankmarketratesareeffectivelycontrolledbytheinterestrateonovernightdepositsatthecentralbank.2TheintroductionofaCBDChasthepotentialtoaffecttheoperationalframeworkofmonetarypolicyandtheconditionsininterbankmarketsifitbringsaboutasufficientlylargedecreaseinexcessreservesduetothereductioninbankdeposits.This,inturn,mayhaveimportantmacroeconomicimplications,bothinthelongrunandinthetransitionalCBDCadoptionphase. ThispaperanalyzestheimplicationsoftheintroductionofCBDCfortheoperationalframeworkofmonetarypolicyandforthemacroeconomyasawhole.Tothisend,wein-troduceCBDCinatractableNewKeynesianmodelwithheterogeneousbanks,africtionalinterbankmarket,andcentralbankstanding(depositandlending)facilities.Ourmodelfeaturesbanksthatdifferintheinvestmentopportunitiestheyface,whichmotivatesthe 1SeeInfanteetal.(2022)forabroadrevisionoftheliteratureonthemacroeconomicimplicationsof CBDC. 2Forinstance,theinterestrateonreservebalances(IORB)inthecaseoftheUSFederalReserve,orthedepositfacilityrate(DFR)inthecaseoftheEuropeanCentralBank. existenceofaninterbankmarket.Bankswithgoodinvestmentopportunitiesborrowintheinterbankmarketsoastofinancetheirlendingtofirms,whichusethesefundstoinvestinproductivecapital,whilethosewithbadinvestmentopportunitieslendinthesamemarket.Theinterbankmarketischaracterizedbysearchandmatchingfrictions.Everyperiod,lendingandborrowingbankssearchforeachotherand,uponmatching,tradeinterbankloans,withthecentralbank’sdepositandlendingfacilitiesastheoutsideoptions.Asaresult,theequilibriuminterbankratefallsinsidetheinterestratecorridorformedbythedepositandlendingfaci