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1、INTERNATIONALMONETARYFUNDResearchDepartmentMonetaryPolicyandBankRiskTakingPreparedbyGianniDeNicolò,GiovanniDell’Ariccia,LucLaeven,andFabianValencia*July2010DISCLAIMER:Theviewsexpressedhereinarethoseoftheauthor(s)andshouldnotbeattributedtotheIMF,itsExecutiveBoard,or
2、itsmanagement.JELClassificationNumbers:E52,G21Keywords:monetarypolicy,banking,leverage,riskAuthors’E-mailAddresses:gdenicolò@imf.org;gdellariccia@imf.org;llaeven@imf.org;fvalencia@imf.org*WethankTobiasAdrian,LarryBall,OlivierBlanchard,StijnClaessens,XavierFreixas,K
3、arlHabermeier,AnilKashyap,ErlendNier,RaghuramRajan,LevRatnovski,DavidRomer,andMarkStoneforinsightfuldiscussionsandcomments.Electroniccopyavailableat:http://ssrn.com/abstract=16545821I.INTRODUCTIONPartoftheblameforthecurrentglobalfinancialcrisishasfallen,justlyornot
4、,onmonetarypolicy.Thestorygoesmoreorlesslikethis:persistentlylowrealinterestratesfueledaboominassetpricesandsecuritizedcreditandledfinancialinstitutionstotakeonincreasingriskandleverage.Hadcentralbankspreemptedthisbuildupofriskbyraisinginterestratesearlierandmoreag
5、gressively,theconsequencesoftheburstwouldhavebeenmuchlesssevere.1Thisclaimhasbecomeincreasinglypopularinbothacademiaandthebusinesspress,partlybecausethecrisisoccurredinthewakeofaprolongedperiodofexceptionallylowinterestratesandlaxliquidityconditions.However,littlee
6、mpiricalevidencehasbeenpresentedtobackitup.Andtheoryhashadsurprisinglylittletoofferonthesubject.Fewmacroeconomicmodelshaveexplicitlyconsideredtheimpactofpolicyratesonbankrisktaking.Andmodelsofbankrisktakinghaveyettoincorporatetheeffectsofmonetarypolicy.Yetthequesti
7、onofhowmonetarypolicyaffectsbankrisktaking(definedaschoicesthatincreasethevolatilityofbankprofits)iskeytothecurrentdebateoverwhatrolefinancialstabilityconsiderationsshouldplayinmonetarypolicydecisionsandhowbesttointegratethemacroprudentialandmonetarypolicyframework
8、s.Isthereapolicytrade-offbetweenpricestabilityandfinancialstability,orcanasinglepolicyinstrumentachievebothatthesametime?Putdifferently,aremoneta
