国际清算银行-将资产负债表政策纳入货币政策条件（英）

BIS Working Papers No 1281 Integrating balance sheet policy into monetary policy conditions by Benoit Mojon, Phurichai Rungcharoenkitkul and Dora Xia Monetary and Economic Department July 2025 JEL classification: E51, E52, E58 Keywords: monetary policy, monetary policy conditions, financial conditions, unconventional monetary policy, central bank balance sheet, ample reserves system BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Integrating balance sheet policyinto monetary policy conditions∗Benoit Mojon†Phurichai Rungcharoenkitkul‡Dora Xia§July 16, 2025AbstractThis paper introduces a new Monetary Policy Conditions Index (MCI) thatintegrates conventional and unconventional monetary policy tools into a unifiedmeasure. The MCI is a weighted average of short-term interest rate and centralbank balance sheet size, improving upon the shadow rate by capturing balancesheet policy effects away from the effective lower bound.We estimate theMCI’s weight and its dynamic relationships with output, inflation and financialconditions using a Bayesian Vector Autoregression (BVAR) framework. Resultssuggest that large balance sheet policies have exerted a significant accommodativeinfluence on monetary policy conditions, including away from the effective lowerbound. Through historical decomposition and counterfactual exercises, the MCIprovides new insights into unconventional policy’s effectiveness and unintendedconsequences.The framework can flexibly accommodate numerous extensions,including possibly higher neutral balance sheet under ample reserve system.JEL Classification: E51, E52, E58Keywords:Monetarypolicy,monetarypolicyconditions,financialconditions,unconventional monetary policy, central bank balance sheet, ample reserves system∗We thank Claudio Borio, Andrew Glover, Denis Gorea, Tom Rosewall, Damiano Sandri, AndreasSchrimpf, Frank Smets, Harald Uhlig and participants at the 2024 Econometric Society AustralasiaMeeting, BIS Research Seminar and BIS-SNB Research Worksohp for their comments.We are alsograteful to Adam Cap and Jimmy Shek for excellent research assistance. All remaining errors are ours.The views expressed are those of the authors and do not necessarily represent those of the Bank forInternational Settlements.†Bank for International Settlements (Basel, Switzerland): benoit.mojon@bis.org‡Bank for International Settlements (Basel, Switzerla