2020 Fiscal Year Final Research Report
A dynamic general equilibrium analysis of negative nominal interest rates
| Project/Area Number |
18K01679
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2018-04-01 – 2021-03-31
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| Keywords | 超低金利 / マイナス金利 / 動学一般均衡 |
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| Outline of Final Research Achievements |
This paper provides a framework to examine the dynamics of extremely low or negative nominal interest rates in a dynamic (in particular, continuous-time) capital asset pricing model under a bank capital constraint. It shows that the dynamics of nominal interest rates are subject to the bank capital constraint. Specifically, a lower level of the ratio can result in a lower (possibly, negative) level of the nominal interest rate in normal times. When the ratio hits a floor caused by the bank capital constraint, a bail-in is triggered so as to raise the ratio and to underpin the nominal interest rate. The floor brings about an effective lower bound of nominal interest rates.
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| Free Research Field |
資産価格論、リスク管理、金融経済学
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| Academic Significance and Societal Importance of the Research Achievements |
超低金利によって引き起こされるマクロ金融・経済問題が深刻化していることは広く知られている．先行研究では、主にニューケインジアンの枠組みを用いてそれらの問題が学術的に分析されてきた．ニューケインジアンモデルは学術的にも政策実務的にも長年有用で大きな成果を挙げてきているものの、典型的には名目価格硬直性の仮定に制約される．一方で、現実には名目価格硬直性以外の経済・金融摩擦によってもマクロ経済は歪められる．そこで、ニューケインジアンモデルに基づく先行研究を補完するように、名目価格硬直性以外の経済・金融摩擦に注目して低金利下のマクロ分析をしたことは意義深い.
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