チャールズ・グッドハート(Charles Goodhart)を称えるLSE5/21セミナーで、BOE総裁のアンドリュー・ベイリー(Andrew Bailey)が表題の講演(原題は「The importance of central bank reserves」)を行い、今後のあるべき準備預金の水準について論じている(H/T Mostly Economics)。

Some continue to emphasise the case for a return to a small balance sheet. The case for ‘renormalisation’ puts great weight on the benefit of putting liquidity management squarely in the hands of private institutions and markets. And it points to the risk that banking system behaviours may change in undesirable ways over time the longer the central bank balance sheet remains large, for example if the level of runnable deposits in the banking system were to increase. Indeed, Raghuram Rajan made similar points when the Financial Markets Group hosted him for this event last year. At the BIS, Claudio Borio has made the case particularly forcefully, setting out the principle that the central bank balance sheet should start out as small as possible, flexing up only in times of stress.
Others see benefits of the central bank supplying reserves relatively freely, sometimes referring to a ‘new normal’. Jeremy Stein, for example, has argued that a larger central bank balance sheet can improve financial stability by ‘crowding out’ excessive risk taking in the private sector. Such thinking is not new per se – Milton Friedman’s essays on “The Optimal Quantity of Money” come to mind. What is relatively new, perhaps, is for such thinking to be adopted on a broad basis amongst the central bank community. It is part of a debate with many nuances. As the Federal Reserve’s Annette Vissing-Jørgensen has pointed out, how reserves are supplied will matter for the cost and benefits of larger central bank balance sheets.
What I think is emerging as a mainstream view amongst central bankers is that we need to thread this middle path. Before the financial crisis, monetary policy was implemented with a much lower level of reserves than we have today. That worked well enough for monetary policy. But as we discovered to our cost, the level of liquid assets in the system, including central bank reserves, was too low for financial stability purposes, and this contributed to the scale of the financial crisis.
And much has changed in the world since the financial crisis. The demand for reserves is much larger than it was. Both the deposit base and regulatory requirements have grown, increasing demand for liquidity. The recent fate of Silicon Valley Bank has demonstrated that the size and speed of potential outflows has increased over time, not least because of technological developments with bank runs accelerated by social media and online platforms. There are limits to the capacity of private markets and contingent facilities to convert banks’ assets into reserves to meet their payment obligations, and these limits need to be reflected in the standing stock of reserves.
Equally, at some point the costs of an increase in reserve supply are likely to outweigh the benefits. Generally speaking, as reserves levels grow, the incentives for the banking sector to manage its own liquidity falls. And to the extent that reserve supply crowds out healthy market intermediation in normal market conditions, a large part of the financial system’s ability to manage its liquidity will be affected. Mindful of these costs, we do not seek a larger balance sheet than is strictly necessary.
I will not speak for Charles in this debate. But as he has pointed out in his work, the decision should be based on a clear set of principles. At its highest levels, we are looking to set up an operating framework that: a. delivers on our core monetary policy and financial stability mandates, and subject to that; b. minimises risk to our balance sheet; c. minimises market distortions, and; d. is transparent and accountable.
But where does this leave us in terms of the actual level of reserves? It is time to introduce you to a Bank of England neologism: the Preferred Minimum Range of Reserves (PMRR), coined by our former Executive Director for Markets, Andrew Hauser, now Deputy Governor at the Reserve Bank of Australia.
Illustrated in Chart 6, the PMRR is an estimated range for the minimum level of reserves that satisfies commercial banks’ aggregate demand, both to settle their everyday transactions and to hold cash as a precaution against potential outflows in times of stress. In a nutshell, this is the level consistent with treading a middle path. When reserves supply exceeds the PMRR, reserves are ‘ample’. In this case, banks’ demand behaviour is determined by the rate of return relative to other liquid assets so that money market rates are effectively determined by Bank Rate through arbitrage (some falling only slightly below owing to the cost of trading). If reserves supply were to fall below the PMRR, however, reserves would become ‘scarce’. In this case, banks would be likely to respond by seeking to borrow reserves in money markets, bidding up the price in the process and thereby causing short-term interest rates to rise relative to Bank Rate. Our incentive as a central bank is to ensure that we have liquidity provision facilities to prevent this from happening and maintain effective control of short-term money market rates.
Quantifying the PMRR is easier said than done. It cannot be objectively observed, it is likely to evolve over time, and it will be affected by our decisions. It will depend on banks’ business models and choices over the mix of their liquid assets as well as any future developments in liquidity regulation. It will also be affected by our choices in how we supply reserves. This includes not least the price terms of our facilities, but also the assets we choose to hold to back them, and other non-price terms like tenor and eligible collateral. In making these decisions, we need to align the private interests in terms of the reserve demand of individual banks with the public good of maintaining a sufficient aggregate stock of reserves for financial stability purposes – as I will come back to in a moment.
A starting point is simply to ask the banks what they think the reserves level in aggregate should be – as we do in biannual surveys. We do have to recognise the uncertainty around any answer we get, and check against our own assessment of the liquidity risk banks face. But the answers clearly point to a significantly larger balance sheet than we had before the financial crisis, with the latest assessments falling in the range of £345bn-£490bn.
The current level of reserves of around £760bn is still comfortably above this range. But the continuing processes of unwinding the stock of QE assets and the TFSME mean that the level of reserves is falling.
Microsoft Edge翻訳を適宜修正)
私はこの討論でチャールズを代弁するつもりはありません。しかし、彼が著作で指摘しているように、決定は明確な原則に基づいて行われるべきです。その最も高いレベルにおいては、我々は、次のような運用枠組みを構築します:a. 我々の中核的な金融政策および金融安定の義務を果たし、それに従う。b. バランスシートに対するリスクを最小化する。c. 市場の歪みを最小限にとどめる。d. 透明性と説明責任がある。
しかし、その原則からすると、実際の準備預金の水準についてはどうなるのでしょうか? ここで、イングランド銀行の造語である「望ましい最小準備預金の範囲(PMRR)」を紹介したいと思います。これは、元市場担当エグゼクティブディレクターで、現在はオーストラリア準備銀行の副総裁であるアンドリュー・ハウザー氏の造語です*6


*1:cf. Central Bank Balance Sheet Expansion and Financial Stability: why less can be moreCentral Bank Balance Sheet Expansion and Financial Stability: Why Less Can Be More | Financial Markets Group。金融市場グループ(Financial Markets Group Research Centre (FMG))は今回のベイリー講演の主催者でもある。同グループは1987年にLSEにてチャールズ・グッドハートとマービン・キング(Mervyn King)が設立したとの

*2:原注:Getting up from the floor | BIS。/cf. フロアから身を起こす - himaginary’s diary

*3:原注:The Federal Reserve's Balance Sheet as a Financial-Stability Tool | Harvard University。/cf. FRBはバランスシートを大きいままにしておくべきか? - himaginary’s diary

*4:原注:To mention but a few contributions: Ample reserves and the Friedman rule | Dallas Fed; Back to normal? | ECB; Central bank liquidity | ECB; "Quantitative Tightening around the Globe" | Federal Reserve Board; Going back to normal | Bank of Canada./4番目のリンクについては世界の量的引き締め:我々は何を学んだのか? - himaginary’s diaryも参照。

*5:原注:Balance sheet policy above the ELB | ECB

*6:原注:Waiting for the exit: QT and the Bank of England’s long-term balance sheet - speech by Andrew Hauser | Bank of England

*7:原注:‘Less is more’ or ‘Less is a bore’? Re-calibrating the role of central bank reserves - speech by Andrew Hauser | Bank of England

*8:cf. Term Funding Scheme with additional incentives for SMEs (TFSME) – Market Notice | Bank of England