ABSTRACT

We re-examine the role of monetary policy and its transmission mechanism through the credit channel while focusing on securitisation. We empirically investigate the interactions between securitisation activities and monetary policy using data from 1995 to 2015 for a panel of 10 European countries. We employ a panel VAR model, and estimate it using a GMM system. Our findings indicate that a contractionary monetary policy shock immediately increases securitisation activities and decreases the growth rate of traditional (non-securitised) loans. The evidence supports the argument that merely raising interest rate is not sufficient to control credit booms, but, on the contrary, may induce credit intermediation, which in turn can increase system risk. Any modern central bank should re-examine and redefine its role as a ‘banker’s bank’ taking into consideration the future developments in shadow banking and financial innovation in order to ensure financial stability.

摘要

我们在关注证券化的同时，重新审视货币政策的作用及其通过信贷渠道的传导机制。我们使用 1995 年至 2015 年对 10 个欧洲国家组成的小组的数据，实证研究了证券化活动与货币政策之间的相互作用。我们采用面板 VAR 模型，并使用 GMM 系统对其进行估计。我们的研究结果表明，紧缩性货币政策冲击会立即增加证券化活动并降低传统（非证券化）贷款的增长率。证据支持仅提高利率不足以控制信贷繁荣的论点，相反，可能会引发信贷中介，进而增加系统风险。