欧洲央行-零下限下的央行独立性和风险承担（英）

Working Paper Series Central bank independence and risk-taking at the zero lower bound Bernhard Bartels, Barry Eichengreen, Julian Schumacher, Beatrice Weder di Mauro Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3079 AbstractUnprecedented balance sheet expansion in recent years has resulted in heightenedfinancial risk for central banks, reflected initially in higher profits and subsequently insignificant losses. Combining data on central bank balance sheets with market data onasset prices, we provide evidence on the evolution and determinants of financial risk-takingby 18 advanced economy central banks. Based on the estimated Value at Risk (VaR), wedocument that average central bank balance sheet risk increased to about 3 percent ofGDP. Central banks took more risk in periods of low policy rates, less expansionary fiscalpolicies, and more favorable growth prospects. Less independent central banks were morerisk averse than their more independent peers, contrary to the fiscal dominance view.Keywords: Monetary policy, Central bank profitability, Central bank independence, Monetary-fiscal interactionsJEL Codes: E52, E58, E63, G32ECB Working Paper Series No 30791Non-technical summaryFollowing the financial crisis, central banks across the world have increasingly employed “balancesheet policies” such as quantitative easing programmes or large-scale lending operations. Suchbalance sheet expansions – whether prompted by efforts to stimulate the economy at theeffective lower bound on interest rates or by large foreign exchange interventions – have raisedconcerns about possible financial losses of central banks themselves, and their implications formonetary policy independence.This paper analyses the dynamics and drivers of risk-taking by central banks in advancedeconomies. Focusing on 18 advanced-economy central banks from the mid-1990s to the mid-2010s, the paper investigates two questions. First, it asks how overall financial risk-taking oncentral bank balance sheets evolved over time in view of the greater deployment of the balancesheet as a monetary policy tool. Second, it explores how macroeconomic and institutionalconditions affect the degree of financial risk taken by central banks.To answer these questions, this paper employs a parametric Value at Risk (VaR) frameworkto quantify potential financial losses under adverse market conditions. Since central banks holda mix of marketable assets (such as domestic government bonds, foreign exchange reserves, andgold) and non-marketable instruments (notably secured lending to commercial banks), their riskexposure stems from multiple channels, including movements in interest rates, sovereign creditrisk, currency fluctuations, and the default risk of counterparty banks. The paper combinesannual data from central bank financial statements with daily mar