零下限下的央行独立性和风险承担

Centralbankindependence andrisk-taking at thezerolowerbound Bernhard Bartels,Barry Eichengreen,Julian Schumacher,Beatrice Weder di Mauro Disclaimer:Thispaper should not be reported asrepresenting the views of the European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract Unprecedented balance sheet expansion in recent years has resulted in heightenedfinancial risk for central banks, reflected initially in higher profits and subsequently insignificant losses. Combining data on central bank balance sheets with market data onasset prices, we provide evidence on the evolution and determinants of financial risk-takingby 18 advanced economy central banks. Based on the estimated Value at Risk (VaR), wedocument that average central bank balance sheet risk increased to about 3 percent ofGDP. Central banks took more risk in periods of low policy rates, less expansionary fiscalpolicies, and more favorable growth prospects. Less independent central banks were morerisk averse than their more independent peers, contrary to the fiscal dominance view. Keywords: Monetary policy, Central bank profitability, Central bank independence, Monetary-fiscal interactionsJEL Codes: E52, E58, E63, G32 Non-technical summary Following the financial crisis, central banks across the world have increasingly employed “balancesheet policies” such as quantitative easing programmes or large-scale lending operations. Suchbalance sheet expansions – whether prompted by efforts to stimulate the economy at theeffective lower bound on interest rates or by large foreign exchange interventions – have raisedconcerns about possible financial losses of central banks themselves, and their implications formonetary policy independence. This paper analyses the dynamics and drivers of risk-taking by central banks in advancedeconomies. Focusing on 18 advanced-economy central banks from the mid-1990s to the mid-2010s, the paper investigates two questions. First, it asks how overall financial risk-taking oncentral bank balance sheets evolved over time in view of the greater deployment of the balancesheet as a monetary policy tool. Second, it explores how macroeconomic and institutionalconditions affect the degree of financial risk taken by central banks. To answer these questions, this paper employs a parametric Value at Risk (VaR) frameworkto quantify potential financial losses under adverse market conditions. Since central banks holda mix of marketable assets (such as domestic government bonds, foreign exchange reserves, andgold) and non-marketable instruments (notably secured lending to commercial banks), their riskexposure stems from multiple channels, including movements in interest rates, sovereign creditrisk, currency fluctuations, and the default risk of counterparty banks. The paper combinesannual data from central bank financial statements with daily market price information, allowinga time-varying VaR estimate for each institution. The paper shows that, on average, central banks have substantially increased their riskexposure over the course of three decades. The average VaR more than tripled from below1% of GDP in the late 1990s and early 2000s to over 3% by 2015. This growth can partlybe attributed to larger asset holdings, but also to riskier asset compositions, most visibleduring post-crisis quantitative easing operations and foreign exchange interventions. Withrespect to the drivers of these developments, the paper finds that risk-taking rises when interestrates are at or near the effective lower bound, suggesting that central banks deploy moreaggressive balance-sheet measures when conventional policy tools have limited scope. Thereis also evidence that more independent central banks assume higher levels of risk, plausiblybecause they are in better position to focus solely on policy objectives rather than on profit andloss considerations which affect the dividends paid to governments. Finally, in countries wherefiscal policy tightens, central banks tend to increase risk-taking on their own balance sheets,although this finding applies mainly to central banks with greater institutional independence. In conclusion, the paper shows that both macroeconomic and institutional factors matterfor understanding the financial vulnerabilities that central banks accept in the pursuit of theirmonetary policy objectives and, by extension, the monetary-fiscal interactions arising from using the central bank’s balance sheet as a policy tool. Additional research could track howthese dynamics evolved during the post-pandemic inflation surge. 1Introduction In recent years, central banks have begun contracting their balance sheets after unprecedentedlylarge expansions in the first decades of the 21st century. The post-Global Financial Crisisexpansion of balance sheets had multiple drivers.In some cases it was the result of asset-purchase programs designed to provide monetary accommoda