Money matters: global banks, safe assets and monetary autonomy
This paper depicts an often neglected channel of transmission of monetary policy, namely international safety appetite, as an important source of production and risk-taking international monetary spillovers. The model features a local economy with exogenous financial frictions that lead firms to nee...
- Autores:
-
Flórez Orrego, Sergio Andrés
- Tipo de recurso:
- Fecha de publicación:
- 2021
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/50893
- Acceso en línea:
- http://hdl.handle.net/1992/50893
- Palabra clave:
- Política monetaria
Cambio exterior
Bancos centrales
Mercado de bonos
Política económica
Economía
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-nd/4.0/
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Money matters: global banks, safe assets and monetary autonomy |
| title |
Money matters: global banks, safe assets and monetary autonomy |
| spellingShingle |
Money matters: global banks, safe assets and monetary autonomy Política monetaria Cambio exterior Bancos centrales Mercado de bonos Política económica Economía |
| title_short |
Money matters: global banks, safe assets and monetary autonomy |
| title_full |
Money matters: global banks, safe assets and monetary autonomy |
| title_fullStr |
Money matters: global banks, safe assets and monetary autonomy |
| title_full_unstemmed |
Money matters: global banks, safe assets and monetary autonomy |
| title_sort |
Money matters: global banks, safe assets and monetary autonomy |
| dc.creator.fl_str_mv |
Flórez Orrego, Sergio Andrés |
| dc.contributor.advisor.none.fl_str_mv |
Murcia Pabón, Andrés Pérez Reyna, David Alejandro |
| dc.contributor.author.none.fl_str_mv |
Flórez Orrego, Sergio Andrés |
| dc.contributor.jury.none.fl_str_mv |
Urrutia Montoya, Miguel Herreño, Juan David |
| dc.subject.armarc.none.fl_str_mv |
Política monetaria Cambio exterior Bancos centrales Mercado de bonos Política económica |
| topic |
Política monetaria Cambio exterior Bancos centrales Mercado de bonos Política económica Economía |
| dc.subject.themes.none.fl_str_mv |
Economía |
| description |
This paper depicts an often neglected channel of transmission of monetary policy, namely international safety appetite, as an important source of production and risk-taking international monetary spillovers. The model features a local economy with exogenous financial frictions that lead firms to need both local and foreign financing to pay for their factors of production. Global and local risk-averse banks supply firms with risky loans while buying safe assets to governments to hedge themselves against equity shocks. Monetary policy shocks of a hegemon currency issuer affect returns obtained by banks for the risky loans they concede, altering these agents' risk pricing and balance sheet composition. Main results outline that global monetary policy tightening reduces the returns of risky global loans, inducing global banks to reduce risky loan creation, ultimately decreasing both production and consumption volatility internationally. Two more secondary results arise. First, local monetary authorities may counteract global monetary policy spillovers, but this will entail a trade-off between boosting production and reducing consumption volatility. Second, both global and local expansive monetary policy increase the demand for global safe assets, relaxing the budget constraint of monopolistic global safe asset issuers. Understanding the international safety appetite mechanism of transmission appears to be of critical importance as it may impact the effectiveness of monetary policy in open economies as well as its optimal design. |
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2021 |
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2021-08-10T18:03:41Z |
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2021-08-10T18:03:41Z |
| dc.date.issued.none.fl_str_mv |
2021 |
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Trabajo de grado - Maestría |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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info:eu-repo/semantics/masterThesis |
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Text |
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http://purl.org/redcol/resource_type/TM |
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http://hdl.handle.net/1992/50893 |
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23529.pdf |
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instname:Universidad de los Andes |
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reponame:Repositorio Institucional Séneca |
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repourl:https://repositorio.uniandes.edu.co/ |
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http://hdl.handle.net/1992/50893 |
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eng |
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eng |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ |
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info:eu-repo/semantics/openAccess |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ http://purl.org/coar/access_right/c_abf2 |
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openAccess |
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51 hojas |
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application/pdf |
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Universidad de los Andes |
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Maestría en Economía |
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Facultad de Economía |
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Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Murcia Pabón, Andrés5e23899e-2386-48f0-97b1-0fba6292eaa1500Pérez Reyna, David Alejandrovirtual::7008-1Flórez Orrego, Sergio Andrésaa929c15-8780-4802-9a3e-af29899176f9500Urrutia Montoya, MiguelHerreño, Juan David2021-08-10T18:03:41Z2021-08-10T18:03:41Z2021http://hdl.handle.net/1992/5089323529.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/This paper depicts an often neglected channel of transmission of monetary policy, namely international safety appetite, as an important source of production and risk-taking international monetary spillovers. The model features a local economy with exogenous financial frictions that lead firms to need both local and foreign financing to pay for their factors of production. Global and local risk-averse banks supply firms with risky loans while buying safe assets to governments to hedge themselves against equity shocks. Monetary policy shocks of a hegemon currency issuer affect returns obtained by banks for the risky loans they concede, altering these agents' risk pricing and balance sheet composition. Main results outline that global monetary policy tightening reduces the returns of risky global loans, inducing global banks to reduce risky loan creation, ultimately decreasing both production and consumption volatility internationally. Two more secondary results arise. First, local monetary authorities may counteract global monetary policy spillovers, but this will entail a trade-off between boosting production and reducing consumption volatility. Second, both global and local expansive monetary policy increase the demand for global safe assets, relaxing the budget constraint of monopolistic global safe asset issuers. Understanding the international safety appetite mechanism of transmission appears to be of critical importance as it may impact the effectiveness of monetary policy in open economies as well as its optimal design.Este trabajo presenta un nuevo canal de transmisión de política monetaria -el canal de apetito por la seguridad- como una fuente importante de spillovers de política monetaria a nivel internacional. El modelo presenta una economía local con fricciones financieras que llevan a las firmas a necesitar financiamiento para pagar por sus factores de producción. Bancos globales y locales aversos al riesgo ofrecen créditos riesgosos a las firmas, asegurando sus inversiones mediante la compra de deuda gubernamental segura. Los choques de política monetaria de países emisores de monedas globales afectan los retornos de los créditos riesgosos, causando una recomposición de activos en el balance general de los bancos comerciales globales. Los resultados principales sugieren que las contracciones monetarias reducen los retornos de los préstamos globales, causando una reducción en la creación de crédito, en la producción y en la volatilidad del consumo a nivel internacional. Los resultados secundarios sugieren, en primer lugar, que la existencia de spillovers internacionales de política monetaria pueden llevar a las autoridades monetarias locales a enfrentar un trade-off entre aumentar la producción y reducir la volatilidad del consumo local. En segundo lugar, la política monetaria puede tener repercusiones sobre la demanda de activos seguros globales, relajando la restricción presupuestal de emisores monopolísticos de activos seguros. Entender el mecanismo de transmisión de apetito por la seguridad parece ser de fundamental importancia pues puede impactar la efectividad de la política monetaria en economías abiertas, así como su diseño óptimo.Magíster en EconomíaMaestría51 hojasapplication/pdfengUniversidad de los AndesMaestría en EconomíaFacultad de EconomíaMoney matters: global banks, safe assets and monetary autonomyTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMPolítica monetariaCambio exteriorBancos centralesMercado de bonosPolítica económicaEconomía201313901Publicationhttps://scholar.google.es/citations?user=obmF0pYAAAAJvirtual::7008-10000-0001-6151-6631virtual::7008-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000052012virtual::7008-181dc7308-eddf-42f0-b3d1-b965b84c704evirtual::7008-181dc7308-eddf-42f0-b3d1-b965b84c704evirtual::7008-1ORIGINAL23529.pdfapplication/pdf949251https://repositorio.uniandes.edu.co/bitstreams/6b8582bf-a41d-4fda-866e-22c099dc5a9e/download889e82e92c91cc4a3fe3af86f6715fb2MD51TEXT23529.pdf.txt23529.pdf.txtExtracted texttext/plain100100https://repositorio.uniandes.edu.co/bitstreams/9c9d5b75-c521-4b41-872e-9f7425acd6c7/download9ebe9117a0d42cbbe63ee2826e3aab91MD54THUMBNAIL23529.pdf.jpg23529.pdf.jpgIM Thumbnailimage/jpeg18490https://repositorio.uniandes.edu.co/bitstreams/e1044aa6-6fa6-43fa-9c05-4fe112eee4e7/download53809b4cbd0c0f8dba39e8b8e4211382MD551992/50893oai:repositorio.uniandes.edu.co:1992/508932024-03-13 13:19:34.829http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co |