作为金融稳定工具的准备金要求（英）

BISWorkingPapers No1182 Reserverequirementsasafinancialstabilityinstrument byCarlosCantú,RocioGondoandBereniceMartinez MonetaryandEconomicDepartment April2024 JELclassification:E44,E58,F41,G01,G28. Keywords:reserverequirements,macroprudentialpolicy,financialstressepisodes,early-warningsystem,financialcycle. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2024.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) ReserveRequirementsasaFinancialStabilityInstrument CarlosCantu´∗RocioGondo†BereniceMartinez‡March26,2024 Abstract Wequantifythetrade-offsofusingreserverequirements(RR)asafinancialstabilitytool.AtighteninginRRreducestheamplitudeofthecreditcycle.Thislowersthefrequencyandstrengthoffinancialstressepisodesbutatacostoflowergrowthincreditandeconomicactivity.Wefindthatthegainsfromalowerprobabilityandmagnitudeoffinancialstressepisodesaregreaterthanthecostsfromtheinitialreductionineconomicactivity.Inaddition,wefindthatRRhaveastrongereffectonemergingmarketeconomiesthaninadvancedeconomies,bothintermsofcostsandbenefits.Finally,wefindthatuniformRRhaveastrongereffectthanRRthatdifferentiatebymaturityorcurrency. JELclassification-E44,E58,F41,G01,G28 Keywords:reserverequirements,macroprudentialpolicy,financialstressepisodes,early-warningsystem,financialcycle ∗BankforInternationalSettlements.carlos.cantu@bis.org †CentralReserveBankofPeru.rocio.gondo@bcrp.gob.pe ‡BankforInternationalSettlements.berenice.martinez@bis.org Theviewsexpressedinthisarticlearethoseoftheauthorsanddonotnecessarilyreflectthose oftheBankforInternationalSettlementsortheCentralReserveBankofPeru.Forcomments,wethankJonFrost,RamonMoreno,HyunSongShinandFabrizioZampolli.WealsothankparticipantsatBISandBCRPinternalseminars,CBRTAnnualResearchConferenceon“ChangingGlobalEconomicLandscapeandPolicyImplicationsforEmergingEconomies”,XXIVCEMLAMeetingoftheCentralBankResearchersNetwork,BCC6thAnnualConferenceon”Copingwithspilloversfrompolicynormalizationinadvancedeconomies”,FirstConferenceonFinancialStabilityandSustainabilityofUniversidaddelPac´ıficoandIBEFA-WEAI2020conference. 1Introduction Sincetheintroductionofinflationtargetingregimes,centralbanksinemergingmar-keteconomies(EMEs)haveincreasinglyusedreserverequirements(RR)tominimisefinancialrisks(BIS(2019)).Theobjectiveofthispaperistoevaluatetheeffective-nessofthesepolicies.First,wedissectthetransmissionchannelsthroughwhichRRaffectfinancialmarkets.Then,weestimatethetrade-offsofusingRRforasampleofadvancedeconomies(AEs)andEMEs.AfteratighteninginRR,wecalculatethecostsasthedropineconomicactivity,measuredbyindustrialproductiongrowth.Then,wequantifythebenefitsasthelowerfrequencyandmagnitudeoffinancialstressepisodes.1Ourresultsarethefollowing.First,thenetbenefitsofusingRRarepositive:theeconomicbenefitofalowerprobabilityoffinancialstressisgreaterthantheinitialdropineconomicactivity.Second,RRhaveastrongereffectinEMEsthaninAEs,bothintermsofcostsandbenefits.Finally,uniformRRhaveastrongereffectthanRRbymaturityorbycurrency. WebasetheempiricalstrategyonasimplemodelwhereatighteninginRRisequivalenttoataxonfinancialintermediation(GlockerandTowbin(2012a)).Foreachunitofdeposits,bankscannotusethatshareinreservestooffernewloansorbuyotherinterest-bearingsecurities.Then,higherRRincreasebanks’marginalcostoffundingthroughdeposits.Bankspassthiscosttodepositorsthroughlowerdepositratesandtoborrowersthroughhigherloanrates.Howmuchofthetaxlendersandborrowerspaydependsonthelevelofcompetitionbetweenbanks,theavailabilityofalternativesourcesoffundingandthedegreeofcompetitionofthebankingsystemwithotherfinancialintermediaries(ReinhartandReinhart(1999)). TheRRindexconsiderslegalchangesinRR(Federico,VeghandVuletin(2014)).InthiswayweensurethattheRRshocksareindependentofbanks’reserveholdings.ForcountriesthatdifferentiateRRbythematurityorcurrencyofthedeposits,weconstructaweightedaverage.Theweightsequaltheshareofthetypeofdepositsintotalreserves.Theweightsarefixedtopreventchangesintheindexdrivenbyendogenouschangesinthecompositionofdeposits. WefollowthemethodologyofBehnetal(2016)tomeasurethetrade-offsofusingRR.2WeobtainthecostsbyestimatingthedropinindustrialproductiongrowthafteratighteninginRRusingapanelVARmodel.AtighteninginRR 1Weuseavectorautoregressive(VAR)panelmodeltoestimatethedropinindustrialproductiongrowthandanearlywarningsystemmodeltoobtaintheprobabilityoffinancialstress(DrehmannandJuselius(2014),LaevenandValencia(2013)). 2TheycalculatethecostsandbenefitsofcapitalbasedmacroprudentialpoliciesintheEuroArea. widensthespreadbetweentheloananddepositrate,whichreducesbankcredit.Lessandmoreexpensivefundingreducesfirms’output(EdwardsandV