【Macro Seminar】The Deposits Channel of Monetary Policy: A Quantitative Assessment
2025/11/27
研討會日期 : 2025-11-27
時間 : 14:30
主講人 : Professor Xiang Fang (方 翔)
地點 : Conference Room B110
主持人 : Professor Chun-Che Chi
演講者簡介 : Professor Xiang Fang received his Ph.D. in Economics from the University of Pennsylvania in 2019. He is currently an Assistant Professor at the University of Hong Kong. His research interests are International Finance, Asset Pricing, and Macro-Finance.
演講摘要 : We embed a banking sector with deposit market power into a macroeconomic model to quantify the deposit channel of monetary policy transmission through banks. Upon rate hikes, banks raise deposit rates less than one-for-one and deposits flow out of the banking system, leading to a contraction in lending and real economic activities. The calibrated model shows that the deposit channel amplifies the real effect of monetary policy by 100%. The model can replicate the salient features of banks' responses to monetary policy shocks, in terms of deposit spreads, net interest margin, deposit volume, asset, net worth, and franchise value. This channel is distinct from the balance sheet channel that highlights the role of bank net worth and balance sheet constraint. Balance sheet channels in conventional models imply counterfactually large drops of bank net worth in response to rate hikes. In addition, our model implies that the realization of interest rate change has a larger effect than anticipated future rate changes, shedding new light on the forward guidance puzzle.
