Toute opinion exprimée dans ce mémoire est propre à son auteur et n'engage aucunement la responsabilité de l'université Paris 1. |
A Negative Nominal Interest Rate - application and implementation |
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There is widespread agreement on negative real interest rates being a
prerequisite for economic recovery when recessions are looming
or already in the making. Nevertheless, that agreement surprisingly dissipates
into technical caveats at the zero bound. Indeed, considerations on the
necessity of negative real interest rates seem to make altogether way for the
tacit acceptance of a policy dead end as soon as the target nominal interest
rate hits the zero bound. Precisely because it does not suffer from wastage,
money plays an essential role in this context.
Idiosyncratic liquidity considerations of a lending bank can increase credit spreads independently of a borrower's credit quality. Hoarding, through its provoking a liquidity bottleneck and cutting financial institutions and non-financial corporations short of essential funding means, may be considered a root cause and amplifier of financial crises in general. Introducing negative nominal interest rates then comes as a measure which removes from money its quality of being a stable store of value. This essay will look at feasible channels to introduce carrying costs for money balances and will dress the picture of negative nominal interest rates as a policy tool. |
 Télécharger le document entier (372 kb) |
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Unfamiliar though it may appear, the subject has of late and in the light of the current crisis caught the attention of economists, policy-makers and journals. However, opinions are still quite unsettled and emotions on the subject run high. Its very discussion, nevertheless, allows its entry into the field of academic study, as demonstrated by the following articles: |
| * The case for negative interest rates now Brendan Brown - November 20, 2008 (Financial Times) |
| * It is time for the monetary authorities to jump into the liquidity trap Willem Buiter - December 2, 2008 (Financial Times) |
| * It May Be Time for the Fed to Go Negative N. Gregory Mankiw - April 18, 2009 (New York Times) |
| * Fed study puts ideal interest rate at -5% Krishna Guha - April 27, 2009 (Financial Times) |
| * Negative interest rates: when are they coming to a central bank near you? Willem Buiter - May 7, 2009 (Financial Times) |
| * The Wonderful World of Negative Nominal Interest Rates, Again Willem Buiter - May 19, 2009 (Financial Times) |
| * Negative interest rates, Sharia law and tech stocks Willem Buiter - May 20, 2009 (Financial Times) |
| * Why Not Negative Interest Rates? Alex J. Pollock - May 21, 2009 (The Journal of the American Enterprise Institute) |
Content of the dissertation: |
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A central bank's lower bound interest rate has traditionally been fixed at zero percent. When an internal FED analysis comes up with an equilibrium interest rate of minus 5%, when the Swedish Central bank, as of July 2nd 2009, cuts its deposit rate to minus 0.25%, when US repo rates have already been negative as in August 2003, why do policy makers, commentators and researchers remain so persistenly stubborn about turning negative?
During incertain times as these, one might for the sake of future economic and financial stability consider alternative measures thus far ignored or overlooked. The dissertation will have a constructive view on the application and the implications of a negative interest rate and will, most importantly, consider the feasibility and effects of short-term negative interest rates in an upward-sloping yield curve environment. |
| Click to see the references |
| Acknowledgement
Many thanks to Konstantin Bosch for his very helpful comments and the editorial support. |
(*) Le transfert de risque de crédit : mise en perspective, instruments, implications |
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An essay on the instruments and implications of credit risk transfer, written in April 2007 (in French) Extrait: Les acteurs privés, favorables à toute opportunité de profit, ne manquent pas de souligner que le marché du transfert de risque de crédit fonctionne très bien, qu'il encourage la dispersion du risque et que les situations critiques sont hautement improbables. La négation d'un potentiel déstabilisateur du transfert de risque de crédit est, de la part des voix pro-marché, quasiment complète. Notre constat est que la plus grande partie des références dont nous disposions, y compris celles des autorités financières, ont, primo, concentré leur étude presque exclusivement sur les implications micro-économiques du transfert de risque de crédit, soucieux surtout d'assurer le bon fonctionnement de ce marché, et, secondo, ont fait preuve d'un optimisme surprenant en matière de son influence sur la stabilité financière. |
(*) Immobilier France : du soft au hard landing ? |
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A report on French real estate in 2008, written with Jean-Christophe Caffet in August 2008 (in French) Extrait: Le marché immobilier français présente une forte hétérogénéité, certaines zones paraissant plus vulnérables que ne le suggèrent nos calculs en moyenne. Nous proposons ici un tour d’horizon des différentes régions ainsi qu’une cartographie des risques réalisée selon quelques critères simples observables sur le marché du neuf. Nous avons retenu la méthodologie suivante : pour chaque région, nous comparons les stocks observés actuellement à l’historique des stocks sur 20 ans ainsi qu’à la moyenne nationale (en statique et en dynamique). Nous faisons de même pour les stocks rapportés au volume régional de transactions, ainsi que pour les délais moyens d’écoulement. Enfin, nous considérons que l’évolution récente des mises en chantier et des permis de construire par région est un bon indicateur avancé de l’évolution des stocks à court terme. |
(*) Natixis Monthly Note - Central and Eastern Europe: Turkey |
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A research note on Turkey's macroeconomic fundamentals, written with Juan Carlos Rodado in September 2008 Extrait: Under the aegis of the IMF, the Turkish government is striving to gradually reduce its budget deficit which has decreased from -12.0% in 2002 to -1.6% in 2007. Thanks to buoyant growth and to government budgetary discipline of these past years, public debt has fallen from 93% to 38.8% of GDP over the same period. At the same time, external debt has dropped from 78% of GDP to 52% of GDP from 2001 to 2006. Given the government’s popularity, it should moreover maintain a relatively tight budgetary policy despite the forthcoming municipal elections. |
(*) Les Echos (August 18th, 2008): Russie - Le marché prêt à affronter le ralentissement |
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Comments on the Russian stock market in August 2008 Extrait: Si le compartiment des ressources minérales est pour le moment épargné, il n’est pas à l’abri d’une correction plus marquée des cours du pétrole et des matières premières. Le RTS risquerait alors de s’en trouver affecté. Même si un titre bancaire, Sberbank, a réussi à se hisser à la troisième place des capitalisations boursières de l’indice, « plus de la moitié des sociétés cotées sur le RTS restent des entreprises du secteur des matières pre- mières », souligne Daniel Pavlic, économiste chez Natixis. |
* Stages-finance.fr - le carnet d'adresses de la finance (2011) |
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Le projet le plus récent : mise à dispostion d'un carnet d'adresses de la finance, un véritable annuaire des sociétés et des professionnels de la finance française.
L'offre s'adresse aux étudiants et jeunes diplômés. Sujet d'introduction : Les métiers de la finance |