Non-traditional Monetary Policy and the Future of the Financial Industries

執筆者 Willem THORBECKE (上席研究員)
発行日/NO. 2020年3月  20-E-025
研究プロジェクト East Asian Production Networks, Trade, Exchange Rates, and Global Imbalances


本稿は、世界金融危機後の拡張的な金融政策が米国の銀行セクターにどのように影響を与えたかを検討する。世界金融危機に対応し、米国の連邦準備(the Federal Reserve)は最初にフェデラルファンド金利のオーバーナイト物を2007年8月の5.25%から2008年12月のゼロへと引き下げた。そして、景気刺激のため、住宅金融機関の債券や不動産担保証券、より長期の国債を購入する量的緩和に踏み出した。こうした政策は、経済全体の回復を支える一方、銀行セクターに悪影響を与えた可能性がある。銀行は安全かつ短期の預金を受け入れ、それをリスクのある、より長期の貸出に転換する。より長期の資産から得られる金利と銀行が短期の預金に支払う金利の差分(純利息マージン)から銀行は利益をあげる。低水準の短期金利と圧縮された長短金利スプレッドは銀行の収益力を損なわせるだろう。Bernanke and Gertler (1995)は、銀行の収益力の低下が貸出を伸ばす能力を妨げうることを示した。

Bernanke (1993)は、銀行が貯蓄を有望な借り手に供給する特別な役割を果たしていることから、上述した事態は問題であると指摘した。金融市場は情報の不完全さに悩まされるものである。貯蓄者は後に資金を得られる約束があるから現時点で資金を提供している。返金を受けられるかどうかは、借り手の属性、投資の質、借り手が提供しうる担保、その他の要因に左右される。貸し手は、単に金利だけでなく、これらの事項を検討する必要がある。情報の非対称性は、質の評価がしにくい中小企業やその他の借り手に対する貯蓄者からの資金の流れを阻害しうる。銀行は以下の3つの比較優位を有することから、不完全情報の問題を乗り越えうる。第一に、貸出の担当者が特定の産業に関する専門性を習得することによる「特化の経済性」。第二に、少額の貯蓄者よりも銀行は貸出の評価をより安価に行うことができる「規模の経済性」。第三に、より安価で貸出サービスを他のサービスと一緒に提供できる「範囲の経済性」である。



This paper investigates how expansionary monetary policy after the Global Financial Crisis (GFC) has affected the U.S. banking sector. In response to the GFC the Federal Reserve first lowered the overnight federal funds rate from 5.25% in August 2007 to zero in December 2008. It then turned to quantitative easing, purchasing housing agency debt, mortgage-backed securities, and longer-term Treasury bonds to stimulate the economy. While these policies helped the overall economy to recover, they may have harmed the banking sector. Banks accept safe short-term deposits and transform these into risky longer-term loans. They make a profit on the difference between the interest rate they earn on longer-term assets and the rate they pay of short-term deposits (the net interest margin). Low short-term interest rates and compressed spreads between long- and short-term interest rates may impair bank profitability. Bernanke and Gertler (1995) have shown that reduced bank profitability can hinder their ability to extend loans.

Bernanke (1993) noted that this is problematic because banks play a special role in channeling savings to promising borrowers. Financial markets are plagued by information imperfections. Savers release funds today for the promise of obtaining funds later. Whether they get repaid depends on the character of the borrower, the quality of the investment, the collateral that the borrower can provide, and other factors. The lender needs to consider these items and not just interest rates. Asymmetric information can thus hinder the flow of funds from savers to small businesses and other borrowers whose quality is hard to evaluate. Banks can bridge imperfect information problems because they have a comparative advantage because of: 1) economies of specialization, as lending officers gain expertise in a particular industry; 2) economies of scale, as it is cheaper for bank to evaluate a loan than for small savers to; and 3) economies of scope, as it is cheaper to provide lending services together with other services.

This paper investigates how lower short-term rates and falls in the spread between long-and short-term rates affect bank profitability. To do this it investigates how these variables affect bank stock prices. Stock prices provide valuable information since they are the expected present value of future cash flows. The results indicate that falls in short rates and in the spread have caused large drops in bank stock returns after the GFC. Banks are also facing competitive pressures from Fin Tech firms and big technology firms. Their performance after the GFC has lagged other parts of the U.S. economy. They are thus vulnerable to negative shocks that could arise during a downturn or a crisis. The Fed should take account of the impact of their policies on the banking sector, since an interruption on the flow of credit through the financial system could prevent funds from going to the most promising firms. This misallocation of resources could then hinder long-term economic growth.