Monetary Policy, Inflation, and Crises: Evidence from History and Administrative Data
研究17个国家150年数据发现，先长期降息后加息的U型利率路径会增加银行危机风险，机制是信贷和资产价格周期。对政策制定者和金融监管者有用。
ABSTRACT We show that a U‐shaped monetary rate path increases banking crisis risk, via credit and asset price cycles, analyzing 17 countries over 150 years. Rate hikes (raw or instrumented) increase crisis risk, but only if preceded by prolonged cuts. These patterns are unique to banking crises, unlike noncrisis recessions. Regarding the mechanism, prolonged cuts raise the likelihood of large credit and asset price booms, consistent with higher credit supply and risk‐taking. Subsequent hikes strongly reduce credit and asset prices, and increase banks' realized credit risk, rather than interest rate risk. We find consistent results in administrative loan‐level data for Spain.