양적완화 금융학회발표자료 성태윤(연세대 경제학부)160604발표용 ·...

양적완화의성공조건

한국금융학회정책세미나

2016년 6월

성태윤

연세대학교경제학부

Contents

Quantitative Easing (QE)

Quantitative Easing (QE) in the United States

Japan’s lost decades

Forward Guidance

Korean version of Quantitative Easing

Contents



Japan’s lost decades

Forward Guidance


u Overview of Quantitative Easing (QE)

Ø Quantitative Easing (QE)

ü Unconventional monetary policy

ü Implemented in Japan from March 2001 to March 2006.

ü Implemented after Global Financial Crisis in US, UK, Japan, and EU

ü Central bank purchases a massive amount of financial assets

ü Directly inject money (liquidity) into economy

ü Intended to lower long-term interest rates which central bank cannot

directly control.


Ø Quantitative Easing (QE)

ü Unconventional monetary policy

ü Implemented in Japan from March 2001 to March 2006.

ü Implemented after Global Financial Crisis in US, UK, Japan, and EU

ü Central bank purchases a massive amount of financial assets

ü Directly inject money (liquidity) into economy

ü Intended to lower long-term interest rates which central bank cannot

directly control.


Ø Quantitative Easing (QE): Why & When?

ü Need to boost domestic economy from recession;

Fighting against Deflation

ü Unstable financial system

ü Traditional monetary policy doesn’t work due to zero interest rate bound

ü Capacity for fiscal expansion is limited


Ø Quantitative Easing (QE): Why & When?

ü Need to boost domestic economy from recession;

Fighting against Deflation

ü Unstable financial system

ü Traditional monetary policy doesn’t work due to zero interest rate bound

ü Capacity for fiscal expansion is limited


Ø Quantitative Easing (QE) in developed countries (after GFC)

ü United States, United Kingdom, European Central Bank, Japan

ü Mixed results

• United States has ended QE program with improved economic

conditions.

• EU and Japan have been implementing QE program, but didn’t

achieve economic recovery yet.

• QE increases monetary base but its impact on M2 and inflation is

limited in advanced economies (Sung and Kim, 2016).


Ø Quantitative Easing (QE) in developed countries (after GFC)

ü United States, United Kingdom, European Central Bank, Japan

ü Mixed results

• United States has ended QE program with improved economic

conditions.

• EU and Japan have been implementing QE program, but didn’t

achieve economic recovery yet.

• QE increases monetary base but its impact on M2 and inflation is

limited in advanced economies (Sung and Kim, 2016).

u Quantitative Easing (QE) in the United States

Ø Quantitative Easing (QE) in the United States

ü QE 1: 2008.12 – 2010.3

ü QE 2: 2010.11 – 2011.6

ü QE 3: 2012.9 – 2014.10

ü QE 3 target: Unemployment rate under 6%, Inflation rate above 2.5%

ü Fed had purchased a massive amount of MBS, and long-term treasury

securities during QE period.

ü Fed maintained near-zero policy rates for a while even after QE 3 ended.


Ø Quantitative Easing (QE) in the United States

ü QE 1: 2008.12 – 2010.3

ü QE 2: 2010.11 – 2011.6

ü QE 3: 2012.9 – 2014.10

ü QE 3 target: Unemployment rate under 6%, Inflation rate above 2.5%

ü Fed had purchased a massive amount of MBS, and long-term treasury

securities during QE period.

ü Fed maintained near-zero policy rates for a while even after QE 3 ended.


Ø Tapering

ü Federal Open Market Committee (FOMC) discussed how to normalize

monetary policy as economic conditions improved.

ü The discussion itself affected international financial market, especially

emerging economies with sustained capital inflows.

ü FOMC finally decided to raise federal funds rate in December 2015 based

on the improvement of some key economic indicators.


Ø Tapering

ü Federal Open Market Committee (FOMC) discussed how to normalize

monetary policy as economic conditions improved.

ü The discussion itself affected international financial market, especially

emerging economies with sustained capital inflows.

ü FOMC finally decided to raise federal funds rate in December 2015 based

on the improvement of some key economic indicators.

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Federal Reserve Assets (Billions of U.S. dollars)

MBS Treasury Securities Total

QE 1 QE 2 QE 3

Source: Federal Reserve Board of Governors

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Treasury Securities in Federal Reserve Assets(by maturity, billions of U.S. dollars)

within 15 days 16 to 90 days 91 days to 1 year

over 1 year to 5 years over 5 years to 10 years over 10 years

QE 1 QE 2 QE 3


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Money Supply in the United States(2007M1 = 100)

MB M1 M2

QE 1 QE 2 QE 3


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Market Yield on US Treasury Securities (%)

3 month 1 year 5 year 10 year

QE 1 QE 2 QE 3



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U.S. Inflation Rate (%)

QE 1 QE 2 QE 3

Source: Economic Statistics System, Bank of Korea

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Unemployment Rate, Seasonally Adjusted (%)

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Japan’s Lost Decades

u Japan’s Lost Decades

Ø From 1990s, Japanese economy has been stagnant

ü Temporary recovery from 1996 through early 1997

ü Prolonged recession from 1997

Ø Monetary policy of Bank of Japan in response to the recession

ü Lower policy rate towards zero (1999)

ü Conduct quantitative easing (QE) (2001.3 – 2006.3)


Ø From 1990s, Japanese economy has been stagnant

ü Temporary recovery from 1996 through early 1997

ü Prolonged recession from 1997

Ø Monetary policy of Bank of Japan in response to the recession

ü Lower policy rate towards zero (1999)

ü Conduct quantitative easing (QE) (2001.3 – 2006.3)


Ø Evaluation of the monetary policy of Bank of Japan

ü Zero interest rate policy from 1999 to 2000 failed to obtain market

confidence (Ugai, 2007).

ü Expansionary monetary policy had been effective, but limited due to

near-zero policy rate and deflationary pressure (Bayoumi, 2001).

ü QE had certain effect on the financial sector (for example, on long-term

yields), but its impact on real sector was quite limited (see, for example,

Schenkelberg and Watzka, 2013; Berkmen, 2012).

ü QE had positive effect on CPI, but the impact was small (Schenkelberg

and Watzka, 2013).


Ø Evaluation of the monetary policy of Bank of Japan

ü Zero interest rate policy from 1999 to 2000 failed to obtain market

confidence (Ugai, 2007).

ü Expansionary monetary policy had been effective, but limited due to

near-zero policy rate and deflationary pressure (Bayoumi, 2001).

ü QE had certain effect on the financial sector (for example, on long-term

yields), but its impact on real sector was quite limited (see, for example,

Schenkelberg and Watzka, 2013; Berkmen, 2012).

ü QE had positive effect on CPI, but the impact was small (Schenkelberg

and Watzka, 2013).


Ø Evaluation of the monetary policy of Bank of Japan (continued)

ü BOJ would have improved economic performance if it had targeted

higher inflation rate and reacted more aggressively to output (Leigh,

2010).

ü BOJ should make a credible commitment to fight deflation and escape

from liquidity trap (Krugman, 1998; Eggertsson and Woodford, 2003;

Svensson, 2003).

ü The effect of QE mainly came from expectations on interest rates, while it

was not sufficient to revive economy (Ugai, 2007).


Ø Evaluation of the monetary policy of Bank of Japan (continued)

ü BOJ would have improved economic performance if it had targeted

higher inflation rate and reacted more aggressively to output (Leigh,

2010).

ü BOJ should make a credible commitment to fight deflation and escape

from liquidity trap (Krugman, 1998; Eggertsson and Woodford, 2003;

Svensson, 2003).

ü The effect of QE mainly came from expectations on interest rates, while it

was not sufficient to revive economy (Ugai, 2007).

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Money Supply in Japan(1999M1 = 100)

QE

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MB M1 M2

MB: Average amount outstanding M1, M2: Stock at the end of the monthSource: Bank of Japan (MB), IMF International Financial Statistics (M1, M2)

0.5

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Interest Rate on Japanese Government Bond (%)

QE

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1 year 3 year 5 year 10 year

Source: Ministry of Finance Japan

200025003000350040004500500055006000

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Japan's Nominal GDP (in billions of US dollars)

Source: OECD Statistics

Japan Inflation Rate (%)

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Japan Inflation Rate (%)

QE


Forward Guidance

u Forward Guidance

Ø Similarities between Japan’s lost decades and US economy following GFC

ü Breakdown of the financial system

ü Near-zero policy rate (Traditional monetary policy is no longer effective)

ü Unconventional monetary policy (QE)

u Forward Guidance

Ø Similarities between Japan’s lost decades and US economy following GFC

ü Breakdown of the financial system

ü Near-zero policy rate (Traditional monetary policy is no longer effective)

ü Unconventional monetary policy (QE)

u Forward Guidance

Ø Differences between the practice of quantitative easing in Japan (during the

lost decades) and the United states

ü BOJ had been reluctant to communicate with private sector and failed to

change the expectations of private sector.

ü Fed actively communicated with public, gave detailed information on

economic outlook and its future monetary policy.

ü Japan suffered from deflation and prolonged recession, while United

States achieved certain level of inflation and economic recovery.

u Forward Guidance

Ø Differences between the practice of quantitative easing in Japan (during the

lost decades) and the United states

ü BOJ had been reluctant to communicate with private sector and failed to

change the expectations of private sector.

ü Fed actively communicated with public, gave detailed information on

economic outlook and its future monetary policy.

ü Japan suffered from deflation and prolonged recession, while United

States achieved certain level of inflation and economic recovery.

u Forward Guidance

Ø Forward guidance (Krugman, 1998; Eggertsson and Woodford; 2003,

Svensson, 2003; Woodford, 2012)

ü Forming expectations about future monetary policy is important.

ü Expectations affect economic decisions such as consumption and

investment through long-term interest rate even when the short-term

interest rate (such as policy rate) hits zero.

ü Simply lowering policy rates and increasing monetary base won’t alter

economic decisions unless people believe that the policy rate will be kept

low in the future (and long-run interest rates will fall).

ü Establishing confidence in private sector is important.

u Forward Guidance


Svensson, 2003; Woodford, 2012)

ü Forming expectations about future monetary policy is important.

ü Expectations affect economic decisions such as consumption and

investment through long-term interest rate even when the short-term

interest rate (such as policy rate) hits zero.

ü Simply lowering policy rates and increasing monetary base won’t alter

economic decisions unless people believe that the policy rate will be kept

low in the future (and long-run interest rates will fall).

ü Establishing confidence in private sector is important.

u Forward Guidance


Svensson, 2003; Woodford, 2012) (continued)

ü Central banks optimal policy is, by nature, time-inconsistent. That is,

central banks find it desirable to renege on its policy later when the

economy is improving. Hence, making a credible commitment is

essential.

ü Eggertsson and Woodford (2003) proposes “history-dependent policy” to

enhance credibility.

u Forward Guidance


Svensson, 2003; Woodford, 2012) (continued)

ü Central banks optimal policy is, by nature, time-inconsistent. That is,

central banks find it desirable to renege on its policy later when the

economy is improving. Hence, making a credible commitment is

essential.

ü Eggertsson and Woodford (2003) proposes “history-dependent policy” to

enhance credibility.

u Forward Guidance

Ø Three types of forward guidance (Filardo and Hofmann, 2014)

• Qualitative (ex. QE 1)

• Calendar-based (ex. QE 2)

• Threshold-based (ex. QE 3)

u Forward Guidance

Ø Three types of forward guidance (Filardo and Hofmann, 2014)

• Qualitative (ex. QE 1)

• Calendar-based (ex. QE 2)

• Threshold-based (ex. QE 3)

u Korean version of Quantitative Easing

Ø Korean version of quantitative easing: outline

ü Proposed by the ruling party prior to the general election as a measure

to boost national economy which has suffered from recession following

the global financial crisis; Capital injection (or Funding Providing to

government-sponsored financial institutions)

ü Includes purchase of bonds issued by Korea Development Bank (KDB)

and mortgage-backed securities (MBS


Ø Korean version of quantitative easing: outline

ü Proposed by the ruling party prior to the general election as a measure

to boost national economy which has suffered from recession following

the global financial crisis; Capital injection (or Funding Providing to

government-sponsored financial institutions)

ü Includes purchase of bonds issued by Korea Development Bank (KDB)

and mortgage-backed securities (MBS


Ø Issue 1: QE really needed? (Sung, 2016)

ü Policy rate is 1.5% at the moment, hence there’s still room for traditional

monetary policy measure to boost economy.

ü More traditional policy tools including interest rate policies and

restructuring industries could be still the better solution.

ü Later, QE could be effective in resolving household debt problem as well

as corporate debt problem in Korea, both of which are considered as

huge challenges for Korean economy.


Ø Issue 1: QE really needed? (Sung, 2016)

ü Policy rate is 1.5% at the moment, hence there’s still room for traditional

monetary policy measure to boost economy.

ü More traditional policy tools including interest rate policies and

restructuring industries could be still the better solution.

ü Later, QE could be effective in resolving household debt problem as well

as corporate debt problem in Korea, both of which are considered as

huge challenges for Korean economy.


Ø Issue 2: QE Insufficient to fight deflation and achieve economic recovery

(Sung, 2016)

ü Credit rationing rather than QE:

• Advocates argue that the Bank of Korea (BOK) should direct money

into companies in financial distress through KDB.

• But, if BOK purchases bonds issued by KDB and MBS, then it will

lead to downward pressure on the interest rates.

• Then, BOK should absorb liquidity later to maintain policy rate at

1.5%. (Recall that federal funds rate was near zero, when Fed

purchased a large amount of long-term securities and MBS.)



(Sung, 2016)

ü Credit rationing rather than QE:

• Advocates argue that the Bank of Korea (BOK) should direct money

into companies in financial distress through KDB.

• But, if BOK purchases bonds issued by KDB and MBS, then it will

lead to downward pressure on the interest rates.

• Then, BOK should absorb liquidity later to maintain policy rate at

1.5%. (Recall that federal funds rate was near zero, when Fed

purchased a large amount of long-term securities and MBS.)



(Sung, 2016) (continued)

ü As a result, BOK cannot change private sector’s expectations about future

monetary policy as Fed did (since it’s not accompanied by a credible

commitment), and hence cannot fight deflation and achieve economic

recovery.



(Sung, 2016) (continued)

ü As a result, BOK cannot change private sector’s expectations about future

monetary policy as Fed did (since it’s not accompanied by a credible

commitment), and hence cannot fight deflation and achieve economic

recovery.


Ø Policy suggestion (Sung , 2016)

1. Further lower policy rate.

2. Inject liquidity into the economy, not a specific sector or companies.

3. Stimulate consumption and investment by lowering long-term interest

rates.

4. Use forward guidance to fight deflation and achieve economic recovery.


Ø Policy suggestion (Sung , 2016)

1. Further lower policy rate.

2. Inject liquidity into the economy, not a specific sector or companies.

3. Stimulate consumption and investment by lowering long-term interest

rates.

4. Use forward guidance to fight deflation and achieve economic recovery.

References

성태윤 (2013). “리플레이션을위한중앙은행의역할.” 경제·인문사회연구회(편), 『양적완화충격과한국경제의선택: 미 · 일양적완화정책추이를중심으로』 (pp. 237-269), 경제·인문사회연구회.

성태윤 (2016). “한국판양적완화, 경기회복목적이라면… 금융기관넘어경제전반에돈풀어야”, 『조선일보』, 2016.4.30.

Bayoumi, T. (2001). "The morning after: explaining the slowdown in Japanese growth in the 1990s." Journal of international Economics 53(2): 241-259.

Berkmen, P. (2012). "Bank of Japan’s Quantitative and Credit Easing: Are They Now More Effective?" IMF Working Paper WP/12/2, International Monetary Fund.

Bernanke, B., V. Reinhart and B. Sack (2004). "Monetary policy alternatives at the zero bound: An empirical assessment." Brookings papers on economic activity 2004(2): 1-100.

D’Amico, S. and T. B. King (2013). "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply." Journal of Financial Economics 108(2): 425-448.

Eggertsson, G. B. and M. Woodford (2003). “Optimal monetary policy in a liquidity trap.” NBER Working Paper 9968, National Bureau of Economic Research.

Filardo, A. J. and B. Hofmann (2014). "Forward guidance at the zero lower bound." BIS Quarterly Review March.

Gagnon, J., M. Raskin, J. Remache and B. P. Sack (2010). "Large-scale asset purchases by the Federal Reserve: did they work?" FRB of New York Staff Report 441.

Ghosh, A. R., J. D. Ostry and M. Chamon (2016). "Two targets, two instruments: Monetary and exchange rate policies in emerging market economies." Journal of International Money and Finance 60: 172-196.

Hamilton, J. D. and J. C. Wu (2012). "The effectiveness of alternative monetary policy tools in a zero lower bound environment." Journal of Money, Credit and Banking 44(s1): 3-46.

References

성태윤 (2013). “리플레이션을위한중앙은행의역할.” 경제·인문사회연구회(편), 『양적완화충격과한국경제의선택: 미 · 일양적완화정책추이를중심으로』 (pp. 237-269), 경제·인문사회연구회.

성태윤 (2016). “한국판양적완화, 경기회복목적이라면… 금융기관넘어경제전반에돈풀어야”, 『조선일보』, 2016.4.30.

Bayoumi, T. (2001). "The morning after: explaining the slowdown in Japanese growth in the 1990s." Journal of international Economics 53(2): 241-259.

Berkmen, P. (2012). "Bank of Japan’s Quantitative and Credit Easing: Are They Now More Effective?" IMF Working Paper WP/12/2, International Monetary Fund.

Bernanke, B., V. Reinhart and B. Sack (2004). "Monetary policy alternatives at the zero bound: An empirical assessment." Brookings papers on economic activity 2004(2): 1-100.

D’Amico, S. and T. B. King (2013). "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply." Journal of Financial Economics 108(2): 425-448.

Eggertsson, G. B. and M. Woodford (2003). “Optimal monetary policy in a liquidity trap.” NBER Working Paper 9968, National Bureau of Economic Research.

Filardo, A. J. and B. Hofmann (2014). "Forward guidance at the zero lower bound." BIS Quarterly Review March.

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Hancock, D. and W. Passmore (2011). "Did the Federal Reserve's MBS purchase program lower mortgage rates?" Journal of Monetary Economics 58(5): 498-514.

IMF (2013). “Unconventional Monetary Policies - Recent Experience and Prospects.”

Krugman, P. R. (1998). "It's baaack: Japan's slump and the return of the liquidity trap." Brookings Papers on Economic Activity 1998(2): 137-205.

Leigh, D. (2010). "Monetary policy and the lost decade: Lessons from Japan." Journal of Money, Credit and Banking 42(5): 833-857.

Schenkelberg, H. and S. Watzka (2013). "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan." Journal of International Money and Finance 33: 327-357.

Sung, T. and J.-H. Kim (2016). "Unconventional Monetary Policy, Global Liquidity Circulation, and Inflation Divergence around the World." The Developing Economies 54(1): 6-26.

Svensson, L. E. (2003). "Escaping from a Liquidity Trap and Deflation: The Foolproof Way and Others." Journal of Economic Perspectives 17(4): 145-166.

Ugai, H. (2007). "Effects of the quantitative easing policy: A survey of empirical analyses." Monetary and Economic Studies 25(1): 1-48.

Wright, J. H. (2012). "What does Monetary Policy do to Long-term Interest Rates at the Zero Lower Bound?." The Economic Journal 122(564): F447-F466.

Woodford, M. (2012). “Methods of policy accommodation at the interest-rate lower bound.” The Changing Policy Landscape: 2012 Jackson Hole Symposium, Federal Reserve Bank of Kansas City.

Hancock, D. and W. Passmore (2011). "Did the Federal Reserve's MBS purchase program lower mortgage rates?" Journal of Monetary Economics 58(5): 498-514.

IMF (2013). “Unconventional Monetary Policies - Recent Experience and Prospects.”

Krugman, P. R. (1998). "It's baaack: Japan's slump and the return of the liquidity trap." Brookings Papers on Economic Activity 1998(2): 137-205.

Leigh, D. (2010). "Monetary policy and the lost decade: Lessons from Japan." Journal of Money, Credit and Banking 42(5): 833-857.

Schenkelberg, H. and S. Watzka (2013). "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan." Journal of International Money and Finance 33: 327-357.

Sung, T. and J.-H. Kim (2016). "Unconventional Monetary Policy, Global Liquidity Circulation, and Inflation Divergence around the World." The Developing Economies 54(1): 6-26.

Svensson, L. E. (2003). "Escaping from a Liquidity Trap and Deflation: The Foolproof Way and Others." Journal of Economic Perspectives 17(4): 145-166.

Ugai, H. (2007). "Effects of the quantitative easing policy: A survey of empirical analyses." Monetary and Economic Studies 25(1): 1-48.

Wright, J. H. (2012). "What does Monetary Policy do to Long-term Interest Rates at the Zero Lower Bound?." The Economic Journal 122(564): F447-F466.

Woodford, M. (2012). “Methods of policy accommodation at the interest-rate lower bound.” The Changing Policy Landscape: 2012 Jackson Hole Symposium, Federal Reserve Bank of Kansas City.

Data

한국은행경제통계시스템 (Economic Statistics System, Bank of Korea) http://ecos.bok.or.kr/

Bank of Japan https://www.boj.or.jp/en/

Federal Reserve Board of Governors http://www.federalreserve.gov/

IMF, International Financial Statistics (online) http://data.imf.org/

Ministry of Finance Japan http://www.mof.go.jp/english/

OECD Statistics http://stats.oecd.org/

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