Риск в финансовой системе и функция реагирования центрального банка
The paper argues that the fi nancial system stability has become a target variable for the Federal Reserve System, the European Central Bank and the Bank of England, and, since at least 2008, the monetary policies has been largely driven by the consideration of general volatility levels. The author develops a quantitative model of a central bank’s typical response to volatility changes showing the presence here of a statistically stable relationship. Firstly, the paper depicts central banks’ response to the subprime crisis with non-conventional monetary policy options outlined. We begin with the theory of quantitative easing and review the academic background making cases for and against QE. It is concluded that these programs are not necessarily highly effi cient themselves even with persuasive proofs of a central bank’s commitment. Sofar, the quantitative easing should be treated merely as just one of the tools used to infl uence market’s rate expectations. General empirical effi ciency of monetary innovations is also discussed. Secondly, the author specifi es the problem to be solved. Arguably, there is a reason to assume that a central bank’s reaction function changes once the zero-bound is approached and new tools are utilized. We assume that a stable link has developed between fi nancial market’s stability and monetary policy stance, i.e. aggregate level of volatility is now a policy target variable and rate expectations (altered by the means of QE) are a new macrofi nancial policy instrument. Description of the analytical model used to establish and quantify the link is then presented. We use a Farlie-Gumbel-Morgenstern copula built on non-normal distributions, with the latter obtained as a solution to a variational problem. A hidden function is then constructed based on the estimates of the copula function. The relationship can be used by practitioners in order to determine the timing or conditions appropriate to expect a policy change given central bank’s behavioristic pattern. It is assumed that in all cases monetary policy has been successful in achieving its immediate goals so far, and marketobserved rate expectations were seen acceptable for the respective central bank.