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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.
ECBOccasionalPaperSeriesNo3263
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.
ECBOccasionalPaperSeriesNo3265
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.
ECBOccasionalPaperSeriesNo3267
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
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