2023-10-20-国际清算银行-CBDC与货币政策操作框架_59页_2mb

Overview

This paper examines the impact of introducing a central bank digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy. Using a calibrated New Keynesian model with heterogeneous banks, a frictionsal interbank market, and central bank standing facilities, the analysis shows that introducing a non-remunerated CBDC leads to a reduction in bank deposits and excess reserves. This effect is absorbed by the central bank’s operational framework, resulting in a shift from a "floor system" to a "corridor system" or even a "ceiling system" depending on the level of CBDC adoption.

Key Findings

1. Deposit Crunch and Narrowing Effect: An increase in CBDC demand reduces household liquidity assets, with demand for deposits falling by about 3–7% for CBDC adoption up to 20% of GDP. A "deposit crunch" ensues, but bank lending to firms remains largely unaffected, with minimal impacts on investment and GDP.

2. Operational Framework Changes:

   • Floor System: For CBDC adoption below 9% of GDP, the reduction in deposits is offset by equivalent decreases in excess reserves, maintaining the floor system where the interbank rate is anchored to the deposit facility rate (DFR).
   • Corridor System: For CBDC adoption between 9% and 11% of GDP, the shift to a corridor system occurs, with the interbank rate moving between the DFR and the marginal lending facility rate (RLF). Intermediate liquidity is absorbed by borrowing/lending in the interbank market, reducing reliance on central bank facilities.
   • Ceiling System: For CBDC adoption above 11% of GDP, the bank sector requires central bank credit to compensate for deposit losses, resulting in a ceiling system where the interbank rate is pegged to the RLF.

3. Real Economy Effects: Even though a "deposit crunch" occurs, bank lending does not significantly decline. CBDC adoption has small negative effects on output and consumption, driven by reduced household savings due to lower returns on liquidity assets. The real effects increase with CBDC adoption up to about 20%.

4. Policy Implications:

   • Floor Maintenance Policies: Central banks can use targeted lending facilities (TLOs) or asset purchases to maintain a floor system. However, these policies do not affect long-run real outcomes, only redistributing assets/bank liabilities.
   • Neutrality Condition: Remunerating CBDC at a specific "wealth-neutral" rate can preserve neutrality, ensuring no change in wealth distribution or allocation, though this depends on the operational framework.

5. Transitional Dynamics: Following an unexpected introduction of CBDC, a temporary decline in inflation and bank credit occurs. This leads to a short-term surge in cash demand and reduced deposits.

Conclusions

The introduction of CBDC significantly alters the central bank's operational framework, moving from a floor to corridor or ceiling system as adoption rises. Despite the "deposit crunch," its impact on lending and real activity is relatively limited and mirrors existing research on the ratesensitive role of reserves in monetary policy transmission. Further research could explore endogenous CBDC adoption and policymakers' interactions with market imperfections.