新货币主义新凯恩斯模型中的CBDC和商业周期-69页

CBDC and Business Cycle Dynamics in a New Monetarist New Keynesian Model

Summary

This working paper analyzes the effects of introducing an interest-bearing Central Bank Digital Currency (CBDC) on business cycle dynamics and monetary policy transmission, integrating it into a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions and a decentralized market (New Monetarist approach).

Model Setup

• Centralized Market (CM): A New Keynesian model with financial frictions (e.g., leverage constraints, sticky prices) based on Gertler and Karadi (2011).
• Decentralized Market (DM): Modeled after Lagos and Wright (2005) to capture the means-of-exchange function, where CBDC and deposits are perfect substitutes and essential for transactions. Agents choose roles (buyers, sellers, inactive) affecting market outcomes.
• Monetary Policy: Two rules:
  • Conventional Taylor rule for bond rates.
  • CBDC interest rate rule to influence liquidity premium (spread between CBDC/deposits and government bonds).

Key Findings

1. Monetary Transmission:

   • CBDC does not significantly alter responses to conventional monetary policy shocks but smooths transmission via the liquidity premium.
   • The central bank can use CBDC to stabilize liquidity premium, improving bank funding conditions and dampening fluctuations in consumption and investment.

2. Business Cycle Dynamics:

   • For shocks (e.g., TFP, financial, liquidity premium), CBDC mitigates fluctuations by stabilizing liquidity and improving bank funding.
   • Output and inflation responses are smoother with CBDC, though amplitudes depend on the CBDC rule's reaction parameter.

3. Liquidity Premium:

   • Shocks affecting money supply are dampened, while shocks affecting money demand may amplify responses.
   • CBDC usage depends on the central bank's reaction to liquidity premium changes.

4. Microfoundations and Model Comparison:

   • Explicit modeling of the means-of-exchange function captures dynamics missed by the "money in utility function" (MIU) approach, which shows less variance in liquidity premium and hence weaker stabilization effects.

5. Balance Sheet Effects:

   • CBDC impacts derive from both liability (issuance) and asset (capital securities) sides of the central bank's balance sheet.

Conclusion

CBDC introduces a second transmission channel for monetary policy via the liquidity premium, stabilizing business cycles without impairing conventional monetary transmission. Effectiveness depends on the central bank's CBDC supply rules and modeling of financial frictions. Further research could explore interbank lending and CBDC-neutral asset purchases.

Methodology

• Model: Combines New Monetarist and New Keynesian elements as per Aruoba and Schorfheide (2011).
• Calibration: Based on eurozone data (e.g., TFP, payment habits, CBDC shares).
• Shocks: Examines monetary, business cycle, financial, and liquidity premium shocks.