IMF-作为最后贷款人的中央银行:对监管和储备持有的影响(英)-2023.1-61页

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Central Banks as Dollar
Lenders of Last Resort:
Implications for Regulation and Reserve
Holdings
Mitali Das, Gita Gopinath, Taehoon Kim, and Jeremy C. Stein
WP/23/8
IMF Working Papers describe research in
progress by the author(s) and are published to
elicit comments and to encourage debate.
The views expressed in IMF Working Papers are
those of the author(s) and do not necessarily
represent the views of the IMF, its Executive Board,
or IMF management.
2023
JAN
*We are grateful to Helene Hall for outstanding research assistance. Thanks also to Goetz von Peter and Swapan-Kumar Pradhan
of the BIS for helping us with the BIS data, to numerous IMF country teams for obtaining and/or sharing country-level data with
us, and to Wenxin Du and IMF staff for their many helpful comments.
© 2023 International Monetary Fund WP/23/8
IMF Working Paper
Office of the Management Director
Central Banks as Dollar Lenders of Last Resort: Implications for Regulation and Reserve Holdings
Prepared by Mitali Das, Gita Gopinath, Taehoon Kim, and Jeremy C. Stein*
Authorized for distribution by Gerry Rice
January 2023
IMF Working Papers describe research in progress by the author(s) and are published to elicit
comments and to encourage debate. The views expressed in IMF Working Papers are those of the
author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
ABSTRACT: This paper explores how non-U.S. central banks behave when firms in their economies engage in
currency mismatch, borrowing more heavily in dollars than justified by their operating exposures. We begin by
documenting that, in a panel of 53 countries, central bank holdings of dollar reserves are significantly correlated
with the dollar-denominated bank borrowing of their non-financial corporate sectors, controlling for a number of
known covariates of reserve accumulation. We then build a model in which the central bank can deal with
private-sector mismatch, and the associated risk of a domestic financial crisis, in two ways: (i) by imposing ex
ante financial regulations such as bank capital requirements; or (ii) by building a stockpile of dollar reserves
that allow it to serve as an ex post dollar lender of last resort. The model highlights a novel externality:
individual central banks may tend to over-accumulate dollar reserves, relative to what a global planner would
choose. This is because individual central banks do not internalize that their hoarding of reserves exacerbates
a global scarcity of dollar-denominated safe assets, which lowers dollar interest rates and encourages firms to
increase the currency mismatch of their liabilities. Relative to the decentralized outcome, a global planner may
prefer stricter financial regulation (e.g., higher bank capital requirements) and reduced holdings of dollar
reserves.
JEL Classification Numbers:
E42, F4, G15
Keywords:
Foreign reserves; central banks; currency mismatch; lender of last
resort; financial regulation
Author’s E-Mail Address:
mdas@imf.org, ggopinath@imf.org, tkim@imf.org,
jeremy_stein@harvard.edu
WORKING PAPERS
Central Banks as Dollar Lenders of
Last Resort:
Implications for Regulation and Reserve Holdings
Prepared by Mitali Das, Gita Gopinath, Taehoon Kim, and Jeremy C. Stein1
1 We are grateful to Helene Hall for outstanding research assistance. Thanks also to Goetz von Peter and Swapan-Kumar Pradhan
of the BIS for helping us with the BIS data, to numerous IMF country teams for obtaining and/or sharing country-level data with
us, and to Wenxin Du and IMF staff for their many helpful comments.
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IMF-作为最后贷款人的中央银行:对监管和储备持有的影响(英)-2023.1-61页.pdf

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