Leaning Against the Wind: Bank for International Settlements versus lave renter

Leaning Against the Wind: Bank for International Settlements versus low interest rates

Baunsgaard, David Henrik Bæk

4. semester

Økonomi (cand.oecon), Kandidat

2016

2016-05-03

56

Dette speciale undersøger Bank for International Settlements’ (BIS) modstand mod lave renter og argumentet for at “læne sig mod vinden” efter finanskrisen. Undersøgelsen centrerer sig om tre spørgsmål: (1) Bør vi være bekymrede for lurende inflation? (2) Har renterne generelt været for lave? (3) Udskyder lave renter nødvendig gældsnedbringelse? Metodisk kombineres en historisk gennemgang af BIS med teori om pengepolitik og empiriske sammenligninger. Analysen af headline- versus kerneinflation viser, at BIS i 2011 lagde vægt på headline-inflation, selv om kerneinflationen lå under målet, og at udbredte metoder til at anslå outputgab, især HP-filtre, sandsynligvis undervurderede ledig kapacitet. En Taylor-inspireret regel estimeres for euroområdet, og sammenlignet med faktiske renter og kerneinflation findes der ikke tegn på en inflationsbias; snarere har nulrentegulvet efter krisen holdt de faktiske renter for høje. Gennemgangen af tre veje til gældsreduktion (øget opsparing, højere reale indkomster og højere inflation) peger på, at højere renter hæmmer alle tre, hvilket understøtter, at lave renter især afspejler høje gældsniveauer frem for at skabe dem. Afslutningsvis diskuteres mulige forklaringer på BIS’ position, herunder tætte bånd til den finansielle sektor, hvis rentemarginaler presses af lave renter, og resultaterne sættes i relation til ECB’s og Riksbankens midlertidige rentehævninger under kriseårene.

This thesis examines the Bank for International Settlements’ (BIS) opposition to low interest rates and the case for “leaning against the wind” in the aftermath of the financial crisis. It is organized around three questions: (1) Should we worry about looming inflation? (2) Have interest rates generally been too low? (3) Do low rates postpone necessary deleveraging? The approach combines a historical review of BIS with monetary policy theory and empirical comparisons. Contrasting headline and core inflation shows that in 2011 BIS emphasized headline inflation even as core inflation was below target, and that common output gap methods, especially HP filters, likely understated economic slack. A Taylor-type rule is estimated for the euro area and, when compared with actual rates and core inflation, provides no evidence of an inflationary bias; instead, the zero lower bound kept post-crisis policy rates too high. Examining three deleveraging channels (higher saving, higher real incomes, higher inflation) indicates that higher interest rates constrain all three, supporting the view that low rates mainly reflect high debt levels rather than cause them. Finally, the thesis considers possible reasons for BIS’s stance, including close links to the financial sector whose net interest margins are squeezed by low rates, and relates the findings to ECB and Riksbank rate hikes that were later reversed.

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