ECB -CBDC、金融稳定和央行依赖 -Know your (holding) limits CBDC,financial stability and central bank reliance

OccasionalPaperSeries

BarbaraMeller,OscarSoonsKnowyour(holding)limits:CBDC,

financialstabilityandcentralbankreliance

No326

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

ECBOccasionalPaperSeriesNo3261

Contents

Abstract2

ExecutiveSummary3

1Introduction4

2Literaturereview9

3Themodel10

4Dataanddescriptivestatistics13

5Simulationresults17

5.1TheimpactontheEurosystembalancesheet18

5.2Theimpactonbanks’balancesheets20

6Alternativemodelspecifications26

6.1Anenvironmentwithlowerexcessreserves26

6.2Aninterbankmarketsegmentedacrossnationalborders28

6.3Aretailbankrunscenario29

7Conclusion32

References35

Appendix37

ADetailedmodeldescription37

BAdditionalresults42

ECBOccasionalPaperSeriesNo3262

Abstract

Howdocentralbankdigitalcurrencies(CBDC)impactthebalancesheetsofbanksandcentralbanks?Totacklethisquestionempirically,webuiltaconstraintoptimisationmodelthatallowsforindividualbankstochoosehowtorespondtooutflowsofdeposits,basedoncostconsiderationsandsubjecttotheavailabilityofreservesandcollateral,withintheindividualbanksandsystemwide,andforagivenlevelofliquidityrisktolerance.Wesimulatetheimpactofafictitiousdigitaleurointroductioninthethirdquarterof2021,usingdatafromover2,000euroareabanks.Thatimpactdependsoni)thenumberofdepositswithdrawnandthespeedatwhichthisoccurs,ii)theliquidityavailablewithinthebankingsystematthetimeofthedigitaleurointroduction,iii)theliquidityriskpreferencesofthemarketsandsupervisors,iv)thebank’sbusinessmodel,andv)thefunctioningoftheinterbankmarket.Wefindthata€3,000digitaleuroholdinglimitperperson,assuggestedbyBindseil(2020)andBindseilandPanetta(2020),wouldhavebeensuccessfulincontainingtheimpactonbankliquidityrisksandfundingstructuresandontheEurosystembalancesheet,eveninextremelypessimisticscenarios.

JELcodes:E52,E58,G21.

Keywords:digitalcurrency,financialintermediation,financialstability,liquidityrisk.

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ExecutiveSummary

CentralbanksthroughouttheworldareinvestigatingthepotentialbenefitsandrisksofintroducingCBDCsornot.Inthispaper,weproposeamodeltosimulatehowthebalancesheetsofbanksandcentralbanksmightbeimpactedbythelossofbanks’depositfundingshouldaCBDCbeintroduced.Wesimulatetheimpactofafictitiousdigitaleurointroductionin2021usingdetailedbank-leveldata.Wheninterpretingtheresults,wepayparticularattentiontooutflowscompatiblewitha€3,000holdinglimit,assuggestedbyBindseil(2020)andBindseilandPanetta(2020).

WhenaretaildepositorwithdrawsfundsfromabankinordertoholdCBDC,itsbankwillneedtotransfercentralbankreservestothecentralbank.ShouldabankholdinsufficientbanknotesandreservestomeetthedemandforCBDC,ithasdifferentoptionstoborrowreserves:shorttermorlongterm,onthesecuredorunsecuredinterbankmarketorfromthecentralbank.Abankwillchoosebetweenthoseoptionsbasedontherelativecoststheyinvolve,butalsobasedontheimpactonitsliquiditybuffersandsubjecttotheavailabilityofcollateralandmarketliquidity.Thedepositoutflows,reserveholdingsandliquiditybuffersoftheotherbanksthereforedeterminetheavailableoptionsofeachbank.Ourconstraintoptimisationmodelcapturesthesedifferentconsiderations.

Inourcasestudy,wesimulatetheimpactofafictitiousdigitaleurointroductioninthethirdquarterof2021usingeuroareabankbalance-sheetdataandillustratea)howbanksmighthaverestructuredtheirbalancesheetsintheimmediateaftermath,andb)howmuchadditionalreservedemandtheEurosystemwouldhavefaced.Weanalysetheimpactunderdifferentliquidityrisktolerancescenarios.Underourbaselinescenario,bankshaveanintermediateliquidityriskappetiteandwishtokeephalfofthebank-specificvoluntaryliquiditybufferstheyheldinexcessoftheregulatoryminimum.Inthisscenarioandwithaholdinglimitof€3,000perpersoninplace,wefindthatbankfundingstructureswouldnothavechangedextraordinarilyandnoadditionalEurosystemfundingwouldhavebeenneeded.

Wealsosimulatetheimpactofadigitaleurowith2019data,atimewhenreserveswerelower.Moreover,weadjustourmodelspecificationtostudytheimpactofasegmentedratherthanperfectlyfunctioninginterbankmarketaswellastheimpactofabankrunwherethereisnotinterbankmarket.Thesimulationsinthesecaseslikewiseshowthattheimpactwouldhavebeenrelativelybenign,providedadigitaleuroholdinglimitof€3,000perpersonwouldbeinplace.

Marketandpolicyrates,collateralandreserveavailability,liquiditybuffersandbanks’willingnesstodrawthesedown,areallimportantdeterminantsinbanks’portfoliochoices.Thesefactorsinteractandchangeovertime.Also,thecentralbankwouldpre-emptivelytakeintoaccountanupcomingdigitaleurowhendecidingonitsoperationalframeworkanditssupplyofreserves.ToproperlygaugetheactualimpactofadigitaleuroacrosseuroareabanksandEUMemberStates,itisthereforenecessarytorepeatthesesimulationsusingdataandaccountingfortheprevailingoperationalframeworkatthetimeofapossibledigitaleurointroduction.

ECBOccasionalPaperSeriesNo3264

1Introduction

CentralbanksthroughouttheworldareinvestigatingthepotentialbenefitsandrisksofintroducingCBDCsornot.Asuccessful(retail)CBDCwouldleadto(retail)customersshiftingpartoftheirfundsawayfrombankdepositstocentralbanks.Anoften-citedconcerninthisregardisaconsequentincreaseinbanks’fundingrisksandadecreaseinbanklending(Eurosystem,2021).

1

Inthispaper,weexaminetheformerandstudyhowbanksmightadjusttheirbalancesheetsinresponsetoalossofretaildepositfunding(overnighthouseholddeposits),andwhatthepotentialimplicationsmightbeforbanks’liquidityrisksandthedemandforexcessreserves.Wefocusontheshort-termimpact,assumingbanklendingremainsconstant.

Whenaretaildepositorwithdrawsfundsfromabanktoexchangethemfordigitaleuros,itsbankwillneedtotransfercentralbankreservestothecentralbank.AsdetailedinAdalidetal.(2022),abankcanobtainCBDCbytransferringeitherbanknotesorcentralbankreservestoitscentralbank.Shouldabankhaveinsufficientbanknotesandreservestomeetthedepositoutflow,itcouldacquirenewreservesontheinterbankmarketorfromthecentralbank.Thebankwouldchoosehowtoadjustitsbalancesheetbasednotonlyontherelativecostsoftheseoptions,butalsoontheirimpactonitsliquiditybuffersandtheavailabilityofexcessreservesandcollateral.

Webuiltamodelthatallowsindividualbankstoadjusttheirbalance-sheetinreactiontoaretaildepositoutflowbasedoncost-efficiencyandsubjecttotheirownbutalsootherbanks’liquiditypreferences,reserveconstraintsandcollateralavailability.Inchoosinghowtorespondtodepositoutflows,banksareconstrainedbytheirholdingsofreservesandcollateralandfaceatrade-offbetweenfundingcostsandliquidityrisks,whichisnottrivial.

2

Also,banks’optionswhentappingtheinterbankdependnotonlyontheirownpreferencesbutalsoonthedepositoutflows,reserveholdingsandliquiditybuffersoftheotherbanks.Allowingbankstoendogenouslyselecttheirpreferredbalance-sheetadjustmentsposesthereforeacomplexoptimisationproblem.

Ourmaincontributionistodevelopadetailedsimulationmodelofthechangestoeachandallbanks’liabilitypositions,reserveholdingsandregulatoryliquidityratios.Incontrasttotheexistingliterature,ourmodelanddatamakeitpossibletoassesstheimpactonandoffthetwokeyliquidityrequirements,

1Inthispaper,wearenotdiscussingthebenefitsofintroducingadigitaleuro.Forthis,werefertoPanetta(2021),whoamongotherbenefitspointsoutthemonetaryanchorroleofadigitaleuro:“[C]onvertibilityintocentralbankmoneyisthereforenecessaryforconfidenceinprivatemoney,bothasameansofpaymentandasastoreofvalue”.

2Forinstance,short-termunsecuredborrowinghasahigherrun-offratethanovernighthouseholddeposits.Consequently,itwouldincreasetheLCRdenominator(expectedoutflow)andwouldnotcountasstablefundingfortheNSFR.Whilemedium-termsecuredborrowingdoesnotnegativelyimpactexpectedoutflows,itneedstobebackedbycollateral,whichreducestheLCRnumerator(unencumberedHQLAs)andincreasestheNSFRdenominator(requiredstablefunding).Furthermore,forbothtypesofinterbankmarketfunding,thereservesofthebankthatprovidesliquidityontheinterbankmarketdecrease,whichlowersitsLCRnumeratorandalsoincreasesitsNSFRdenominator.

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namelytheLiquidityCoverageRatio(LCR)andtheNetStableFundingRatio(NSFR),applyingtherequisiteinformationonassethaircutsandliabilityrun-offrates.Theseregulatoryratiosconstrainbanks’fundingoptionsandarethereforeimportantdeterminantsfortheirbalancesheetcomposition,influencingbanks’choicetoreverttotheinterbankmarketorthecentralbank.Themodelalsoincorporateseachbanks’reserveholdingsandavailableunencumberedcentralbankeligiblecollateralandcontinuouslyupdatesthisinformationduringthesimulation.Fortheinterbankmarket,securedandunsecuredfundingoptionswithdifferentmaturitiesandhaircutsandtheirimpactonliquidityratiosforbanksonbothsidesofthetransactionsarealsoincludedinthemodel.Forcentralbankfunding,varioustypesofcentralbankfundingareconsidered,includingshort-termandlong-termfundingsecuredbyhighqualityliquidassets(HQLAs),eligiblenon-HQLAs,orcurrentlynon-eligiblecollateral.Theexistingempiricalliterature,sofar,disregardseithertheNSFRorliquidityregulationaltogether,ignoresthe(limitationsofthe)interbankmarketaswellascollateraland/orreserveavailability,andconsidersasubsetofadjustmentoptionsinisolation.

Weapplyourmodeltoillustratetheimpactofafictitiousdigitaleurointroductionin2021onthebalancesheetsofeuroareabanksandtheEurosystem.Ourbaselinesimulationusesbalance-sheetassetsandliabilitiesdataforthethirdquarterof2021–themostrecentdataavailableatthetimeofouranalysis–formorethan2,000euroareabanks,therebyencompassingmorethan95%oftheeuroareabankingsectorassets.Intermsofliquidityrisktolerance,ourbaselinescenario(ScenarioB)assumesthatbankswouldbewillingtodrawdownhalfofthevoluntaryliquiditybufferstheyholdinexcessoftheregulatoryminimum,whichisequaltotheirmedianobservedannualchanges.Wealsoassumethatbankswouldbewillingtoprovideliquidityontheinterbankmarket,providedthisdoesnotincreasetheirliquidityriskbeyondtheirpreferredlevels.Regardingtherelativefundingcosts,wemakethereasonableassumptionthatshort-termliquiditywouldbecheaperthanlong-termliquidity,securedfundinglesscostlythanunsecuredfundingandmarketfundinglessexpensivethancentralbankfundingofasimilarmaturityprovidedthattheoverallamountofexcessliquidityinthesystemissufficient.

3

Wesimulatebanks’responsestoawithdrawalofovernightretaildeposits,focusingonthemostextremeoutflowscompatiblewithadigitaleuroholdinglimitof€3,000perperson.Inourempiricalassessment,wesimulatebanks’responsestoovernightretaildepositoutflows,giventhatthesedepositsarearguablytheclosestsubstituteforadigitaleuro.Bindseil(2020)andBindseilandPanetta(2020)suggestthatthemaximumdepositoutflowcouldberestrictedbyimposinga€3,000digitaleuroholdinglimitperperson.Intheeuroarea,thatlimitwouldmeanamaximumdepositoutflowof€1.0trillionifeachandeveryeuroarearesidentwereto

3Regardingthepricingofthedifferentfundingoptions,wedeviatedfromtheratesobservedin2021.Atthetimeofthesimulation,usingTLTROswouldhavebeenthedominantstrategyforallbankswithaccesstothatoptiongiventheirattractivepricingandthatsuchoperationshavenonegativeimpactonliquidityratiosifcollateralisedagainsteligiblenon-high-qualityliquidassets(HQLAs).TLTROswould,infact,haveimprovedbankprofitabilitysincetheyearninterest,whileretaildepositswerenotgenerallyrenumerated.However,weexcludedtheoptionofTLTROsonthegroundthattheyareunlikelytoprevail.

ECBOccasionalPaperSeriesNo3266

adoptthedigitaleuroandwouldcontinuouslyprefundthedigitaleurouptothemaximumholdinglimitsolelythroughtheirbankdeposits.Clearly,itisunlikelythatallresidentswouldfullyutilisetheirlimitof€3,000,whichcouldbemorethantheirmonthlyincome,onacontinuousbasisandsolelybydepositsubstitution.Accordingly,outflowsof€1.0trillionareassumedtobethe“mostextreme”,whilelargeroutflowsaredeemedtobe“unrealistic”.

4

Basedon2021data,wefindthatevenwiththemostextremeretaildepositoutflows,thedigitaleurowouldhavehadlittleimpactontheEurosystembalancesheetbeyondaswapofcounterpartiesfrombankstohouseholds.

Withlowdepositoutflows,theEurosystemwouldnothaveneededtoprovideadditionalreservestobanks,assumingbankswerewillingtousehalfoftheirvoluntaryliquiditybuffers.BankswouldhavepreferredcheaperinterbankfundingratherthanrecoursetotheEurosystem.Theinterbankmarketredistributesexcessreservesfrombankswithhighreserveholdingsandhighliquiditybufferstobanksinneedofreserves.ThequestionthatarisesisatwhatoutflowtheEurosystemwouldneedtosupplyadditionalreservestoavoidstressontheinterbankmarket,whichhappenswhenallbanksreachtheirliquidityrisktolerancelimit,meaningthattheywouldbereluctanttoprovidefurtherliquidityontheinterbankmarket.

5

Underourbaselineliquidityrisktolerancescenario(ScenarioB),thebankingsystemcouldhaveaccommodatedanoutflowof20%ofretaildepositsbymerelydrawingdownexistingexcessreservesandnotrequiringadditionalreservesfromthecentralbank.The20%ofretaildepositsequateto€1.4trillion,whichexceedsthemostextremeoutflowof€1.0trillion.ItisonlyinthehighlyunlikelyeventofhigheroutflowsthatbanksneedtoobtainadditionalreservesfromtheEurosystemagainsteligiblecollateral.Naturally,ifoutflowswereextremelyhigh,somebankswouldrunoutofcurrentlyeligiblecollateral.UnderScenarioB,wefindthatitisonlywhenoutflowswouldhaveexceededaround30%ofretaildeposits,equatingto€2.1trillion(morethandoublethemostextremeoutflow),thatone-tenthofthecentralbankfundingrequiredcouldnothavebeensecuredagainstcurrentlyeligiblecollateral.

Evenwiththemostextremeoutflows,theshiftinbanks’fundingstructuresawayfromretailandtowardswholesaleandcentralbankfundingwouldnothavebeenunusual.Usingdataforthethirdquarterof2021andassumingthatbanksmaintainhalfoftheirvoluntaryliquiditybuffers,wefindthatevenwiththemostextremeoutflows,onlyafewbankswouldhaveexperiencedanextremeincreaseintheirrelianceoncentralbankorwholesalefunding.Itisonlywhenoutflowsexceeded28%ofretaildeposits,equatingtoatotalof€1.9trillion,thatamoresignificantproportionofthebankingsector(over10%intermsoftotalassets)wouldhaveexperiencedanextremeincreaseinitswholesalefundingreliancewhencomparedtohistoricalquarterlychanges.Weusehistoricaldatatoarguethataslowphase-inofthedigitaleuro,thatlastslongerthanaquarter,wouldrenderthe

4Forcomparison,eurobanknotesincirculationcurrentlyamounttoabout€1.6trillion.

5TheEurosystemprovidesadditionalliquiditywhenexcessliquidityreachesthefloorrequiredexcessliquidity(FREL)leveltoensureasmoothtransmissionofmonetarypolicy.Inourmodel,thispointisreachedwhenbanksarenolongerwillingtoprovidemorefundingbecauseitwouldresultintheirliquiditylevelsbeinglowerthantheywouldprefer.

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increasesincentralbankfundingrelianceandwholesalefundingdependenceevenmoremoderatecomparedtohistoricalannualchanges.

Theimpactofadigitaleurowitha€3,000holdinglimitalsoremainsmoderatewhenrunningsimulationsusingdataforthethirdquarterof2019,aneconomicenvironmentwithlessexcessliquidity,orwhenassumingasegmentedinterbankmarketorapotentialbankrunscenario.Clearly,iftheinputorassumptionsforourmodelweretochange,theoutcomeofthesimulatedimpactofaCBDCintroductionwouldalsochange.Toillustratethis,wefirstapplythemodeltoeuroareabalance-sheetdataforthethirdquarterof2019,whenreserveswerelessampleandtherewasthereforelessexcessliquidity.Thissimulationshowsabenignimpactonbanksthatissimilartothatinourbaselinescenario.Therearetworeasonsforthispotentiallysurprisingfinding.First,banksheldlowerreservesbuthadmoreeligiblecollateralin2019ascomparedwiththethirdquarterof2021.Theycouldthereforeusethiscollateraltoobtainreserveswhenneeded.Second,bankshadfewerretaildepositsin2019ascomparedwiththethirdquarterof2021.Wethensimulatethemodelrelaxingtheassumptionofafrictionlessinterbankmarket.Wefindthatwhenbanksonlyborrowandlendonanationalinterbankmarket,italmostmakesnodifferencetotheconclusionsdrawnfromthemorebenignbaselinescenario.Finally,weshowthatourmodelcouldbeusedtocalibratedigitaleuroholdinglimitsthatwouldcontainadigitaleuro’simpactonbanks’liquidityrisksduringasystem-widestressperiod.Wefindthatadigitaleuro’simpactonbanks’liquidityrisksinabankrunscenariowouldhavebeencontainedintheeventofa€3,000holdinglimit.AllourresultsaresummarisedinTable2.A,Table2.BandChart14attheendofthispaper.

Ourmodelcouldbeusedtoguidepolicy-makersdecision-makingonthedesignandtimingofafuturedigitaleurointroduction.Whileasuccessfuldigitaleurorequiresuptakebyeuroarearesidents,itshouldnotbeusedtoomuchtoavoidfinancialstabilityrisks(Ahnertetal.,2022).Adigitaleuroholdinglimitmightpreventexcessiveuseofadigitaleuro.Obviously,thesimulationresultsgiveninthispapercannotbeusedtopredicttheresponseofbanksifandwhenadigitaleuroisintroduced,giventhateconomicsituations,marketratesandbankbalancesheetsaresubjecttochange,andthiswouldbeparticularlytrueifanintroductionweretobeanticipated.Similarly,alsothecentralbankwouldpre-emptivelytakeintoaccountanupcomingdigitaleurowhendecidingonitsoperationalframeworkanditssupplyofreserves.Therefore,policymakerswillneedtore-runourmodelclosetothetimeofadigitaleurointroductiontogaugetheimpactonthebalancesheetsoftheEurosystemandbankswithinthechangedenvironment.SuchsimulationcoulddistinguishbetweentheimpactonbusinessmodelsandMemberStatesandbeusefulforthecalibrationofdigitaleuroholdinglimits,ifpolicymakerswishtoimposethose.

6

6Whendecidingwhetherornottoimposeaholdinglimitandifsoatwhichlevel,financialstabilityandcentralbankfootprintconsiderationswillofcoursebeonlyonepartoftheequation.Otherconsiderationsincludetheusabilityofadigitaleuro(e.g.households’averageexpectedtransactionsizeandincome)andthedigitaleuro’smonetaryanchorrole,amongothers.

ECBOccasionalPaperSeriesNo3268

Theremainderofthepaperisstructuredasfollows.Chapter

2

presentsaliteraturereview.Chapter

3

presentsthemodelandChapter

4

thedataanddescriptivestatistics.Chapter

5

studiestheimpactontheEurosystemandbanks’balancesheetsofapotentialdigitaleurointroductionassimulatedbyourmodel.Chapter

6

considersvariationstothedatainputandmodelspecifications,includingalowerinitiallevelofexcessreserves,animperfectinterbankmarketandabankrun

scenario.Chapter

7

setsouttheconclusionsandpolicyrelevance.

ECBOccasionalPaperSeriesNo3269

2Literaturereview

AgrowingliteratureusestheoreticalmodelstostudyhowbanksmightbeimpactedbyCBDCs.Servingasabenchmark,BrunnermeierandNiepelt(2019)presentan“equivalence”result:undercertainconditions,bankswould,intheory,beunaffectedbyadepositoutflowtoCBDCsifthecentralbankweretoredirectliquiditybackintothebankingsystemunderfavourableconditions.Ourmodelcouldreplicatetheequivalenceresultbyassuminganenvironmentinwhichcentralbankfundingisthecheapestadjustmentoptionanddoesnotrequirecollateral.However,wefocusontherealisticsituationwhentheequivalenceresultdoesnotholdduetoliquidityregulation,collateralrequirementsandintheabsenceofunconventionalmonetarypolicyinstruments.SomeoftheseaspectsarealsostudiedbyNiepelt(2020),Assenmacheretal.(2021),Burlonetal.(2022),Williamson(2022),andMuñozandSoons(2023).Ourmodeldiffersfromthesestudiesasithasafocusonliquidityriskandconsidersthebankleveloptimizationproblemratherthantherequiredmacroeconomicadjustment.

OnlyfewpapershaveattemptedtoquantifythepotentialimpactofaCBDConindividualbanks.SincenodevelopedcountryhasintroducedaCBDC,thereisnodataavailabletomeasureitsimpactonbanks.Asmallnumberofpapersresort,however,toscenarioanalyses.Castrénetal.(2022)useanetworkapproachtoconsiderhowsector-levelbalancesheetsmightchangeunderdifferentCBDCscenarios.BIS(2021)considersastylisedmodelinwhichthebankingsystemholdsitsliquidityratioconstantafterdepositoutflowsbyacquiringHQLAsusinglong-termwholesalefunding;however,itmakesnoallowanceforthefactthattheavailabilityofreservesinthebankingsystemmightbeaconstraint.Gorelovaetal.(2022)considerstheimpactonliquidityratiosofseverallargeCanadianbanksifretailfundingweretobereplacedbyfundingwithahigherrun-offrate,againabstractingfromthefactthattheoverallreservesinthesystemarenotinfinite.Weaddtothesestudiesduetoourgranularbank-leveldataanddetailedsimulationmodelwhichsimultaneouslyencompassesliquidity,collateraland