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Article Dans Une Revue Finance Research Letters Année : 2022

A Tiering Rule to Balance the Impact of Negative Policy Rates on Banks

Jean-Guillaume Sahuc
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Mattia Girotti
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Benoît Nguyen
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Résumé

Negative interest rate policy makes excess liquidity costly to hold for banks and this may weaken the bank-based transmission of monetary policy. We design a rule-based tiering system for excess reserve remuneration that reduces the burden of negative rates on banks while ensuring that the central bank keeps control of interbank interest rates. Using euro-area data, we show that under the proposed tiering system, the aggregate cost of holding excess liquidity when the COVID-19 monetary stimulus fully unfolds would be more than 36% lower than that under the ECB’s current system.

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Dates et versions

hal-03771765 , version 1 (07-09-2022)

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  • HAL Id : hal-03771765 , version 1

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Jean-Guillaume Sahuc, Mattia Girotti, Benoît Nguyen. A Tiering Rule to Balance the Impact of Negative Policy Rates on Banks. Finance Research Letters, 2022, 47. ⟨hal-03771765⟩
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