12日に紹介したロゴフの論考では、マイナス金利の効果を示す実証結果としてECBの研究者らが書いた論文にリンクしていたが、その著者の一人Lorenzo Burlonが、ECB Economic Bulletinの2020年3号に表題のレポートを書いている(H/T Mostly Economics)。原題は「Negative rates and the transmission of monetary policy」で、共著者はMiguel Boucinha。

As structural and cyclical factors have brought nominal interest rates closer to zero, the need to ease financing conditions further has prompted the adoption of a negative interest rate policy (NIRP). The introduction of negative policy rates has been part of a comprehensive policy strategy adopted by the ECB since mid-2014 in order to stave off the unprecedented disinflationary forces that arose in the aftermath of the global and sovereign debt crises. The ECB has cut its deposit facility rate (DFR) into negative territory five times since 2014. The latest lowering of the DFR in September 2019 and the associated market expectations of a longer period of negative rates have reignited the question of how negative rates are transmitted to the economy, especially through banks, and whether they may have counter-productive effects by impinging on banks’ intermediation capacity.
Negative rates are transmitted via different channels. Negative rates soften the expectation of markets that current and future short-term rates cannot be negative. By lowering the perceived lower bound of central bank rates, negative rates allow the monetary accommodation to propagate through the entire yield curve. Moreover, investor demand for longer-dated assets increases more than when rates are positive, exerting further downward pressure on the term premium, i.e. the compensation that investors demand for the uncertainty regarding the future path of interest rates. Finally, commercial banks are incentivised to expand lending so as to avoid the negative rate applied to their excess holdings of reserves with the central bank (excess liquidity) in a situation in which the cost of liabilities is partially constrained.
The transmission of NIRP via banks could in principle be hindered by potential large-scale shifts into cash and downward pressure on bank profitability. The transmission of monetary policy could be diluted if investors hoard cash rather than rebalancing their portfolios towards longer-term or riskier assets. So far there are no signs of large-scale liquidity “leakages” of this type, mainly owing to the costs of forgoing the services provided by central bank reserves or commercial bank deposits as a means of conducting payments and storing value. This is partly due to the limited transmission of negative deposit rates to retail deposits, especially of households, which can, however, dent bank profitability and ultimately hamper their ability to provide lending to the real economy. Potential factors that may hinder the transmission of monetary policy in the event of any further extension of the policy or deeper cuts into negative rate territory must therefore be monitored closely.
Overall, negative interest rates have supported economic activity and ultimately contributed to price stability. As a result of NIRP, lending volumes have expanded and the creditworthiness of borrowers has improved, thereby mitigating the impact of lower interest margins on overall bank profitability. While NIRP, and more generally the low level of interest rates, may contribute to the build-up of debt and spur over-pricing of financial assets or exuberance in housing markets, when such phenomena are identified they are generally best addressed by targeted macroprudential policies. Meanwhile, the first-order and tangible effect of NIRP on financial stability has been that it has enhanced it by improving the sustainability of outstanding debt.