纽约联储-不确定性条件下中央银行储备的最优供给（英）-2023.11-33页_837kb

The paper "The Optimal Supply of Central Bank Reserves under Uncertainty" by Afonso et al. (2023) provides a theoretical framework for analyzing the optimal supply of central bank reserves when demand is uncertain and nonlinear. Key findings include:

• Optimal Reserve Supply: Uncertainty about reserve demand increases the optimal supply of reserves, and under high uncertainty, it is optimal to supply abundant reserves, placing the central bank on the flat part of the demand curve. This is due to the truncation effects of shocks in uncertain environments.

• Model Characteristics: Demand for reserves is modeled as a piecewise-linear function with three regions: ample (price elastic), abundant (price inelastic), and potentially a scarce region. Uncertainty arises from shocks affecting the demand curve's shape and position.

• Mean Spread Effects: The optimal mean spread under uncertainty may be higher or lower than without uncertainty, depending on reserve levels and the degree of uncertainty. Certainty equivalence does not hold, and optimal supply depends on the joint distribution of shocks.

• Empirical Relevance: The model aligns with observations of reduced interest rate spread variability with higher reserves, as seen post-2008 monetary policy shifts. Extensions to a three-region demand curve further increase optimal reserves under uncertainty.

• Policy Implications: Central banks should account for demand uncertainty when setting reserve targets, leading to higher reserves to minimize risks and stabilize rates. The framework offers a tractable approach for empirical implementation and policy analysis.