學術研究

(Macro/Finance webinar) The Reversal Interest Rate

日期 2020-12-22 (週二)
時間 09:00 AM
地點 Conference Room C103
演講者 Professor Yann Koby
演講者簡介 Professor Koby received his Ph.D. in Economics from Princeton University in 2020. He is currently an Assistant Professor at Brown University. His research fields are Finance, Macroeconomics, and Monetary Economics.
摘要 The reversal interest rate is the rate at which accommodative monetary policy reverses and becomes contractionary for lending. Its determinants are 1) banks' fixed-income holdings, 2) the strictness of capital constraints, 3) the degree of pass-through to deposit rates, and 4) the initial capitalization of banks. Quantitative easing increases the reversal interest rate and should only be employed after interest rate cuts are exhausted. Over time the reversal interest rate creeps up since asset revaluation fades out as fixed-income holdings mature while net interest income stays low. We calibrate a New Keynesian model that embeds our banking frictions.