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Balance sheet policies and financial stability : central banking reimagined
Thesis (PhD)--Stellenbosch University, 2016.
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| Format: | Thesis |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2016
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| _version_ | 1867613947306180608 |
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| access_status_str | Open Access |
| author | Van Lill, Dawid Johannes |
| author2 | Du Plessis, Stan, 1972- |
| author_browse | Du Plessis, Stan, 1972- Van Lill, Dawid Johannes |
| author_facet | Du Plessis, Stan, 1972- Van Lill, Dawid Johannes |
| author_sort | Van Lill, Dawid Johannes |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (PhD)--Stellenbosch University, 2016. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/100426 |
| institution | Stellenbosch University (South Africa) |
| language | en_ZA |
| last_indexed | 2026-06-10T12:44:14.442Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/100426 Balance sheet policies and financial stability : central banking reimagined Van Lill, Dawid Johannes Du Plessis, Stan, 1972- Reid, Monique B. Liu, Guangling Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Economics. Monetary policy -- South Africa -- History Banks and banking, Central -- South Africa Financial statements -- Government policy -- South Africa Economic security -- South Africa Inflation (Finance) -- South Africa UCTD Thesis (PhD)--Stellenbosch University, 2016. ENGLISH SUMMARY : Balance sheet policies have become the primary policy lever of several central banks in the wake of the international financial crisis. However, with inflated central bank balance sheets, and global economic conditions returning to normal, the future of balance sheet policies needs to be considered. In this thesis I aimed to define a role for balance sheet policies in the monetary policy toolkit, especially with regard to financial stability. First, I developed an explicit definition of balance sheet policies and their channels of transmission to help resolve the confusion clearly visible in the academic literature and popular media. Second, I explored the changing nature of central bank operational frameworks, which identifies several new regimes. Third, I developed a dynamic general equilibrium model that implements supply-side financial frictions and the salient features of balance sheet policies. My first empirical chapter employed a time-varying parameter vector autoregressive (TVPVAR) model to establish the nature of the relationship between central bank liabilities and the overnight policy rate. Four countries with different monetary policy regimes were considered. It was found that a clear negative relationship between these variables exists only in the case of one regime, namely the reserve regime. This result indicates that the introduction of new operational frameworks for central banks have challenged the traditional model of monetary policy implementation. The practical implication of the decoupling of interest rates from reserves is that central bank balance sheets potentially can be used alongside conventional interest rate policy. In the last two chapters of the thesis a dynamic general equilibrium model was developed, equipped with a heterogeneous banking sector, endogenous default and collateralised lending on the part of the central bank. Within this framework, changes along the dimensions of size and composition of the central bank’s balance sheet were integrated. Increasing the size in this model significantly contributed to financial stability. However, when used in conjunction with interest rate policy, it could cause conflicting effects. Changes in its composition establish local supply effects, which means that long-term interest rates are depressed, an explicit goal of many asset purchase programmes. Changing the composition has an impact beyond that for the change in size, relaxing borrowing conditions even more than a pure injection of liquidity. AFRIKAANSE OPSOMMING : Balansstaatbeleide het ná afloop van die internasionale finansiële krisis die vernaamste beleidshefbome geword van verskeie sentrale banke. As gevolg van vergrote sentrale bank-balansstate en die globale ekonomiese toestande wat teruggekeer het na normaal, moet die toekoms van balansstaatbeleide egter heroorweeg word. In hierdie tesis is my doel om ’n rol te definieer vir balansstaatbeleide in die monetêre gereedskapskis, met spesifieke aandag aan finansiële stabiliteit. Eerstens het ek ’n eksplisiete definisie van balansstaatbeleide en hulle oordragkanale ontwikkel, om sodoende die verwarring te help opklaar wat duidelik sigbaar is in die akademiese literatuur en die populêre media. Tweedens het ek die veranderende aard van die sentrale bank se operasionele raamwerk ondersoek en verskeie nuwe bestelle geïdentifiseer. Derdens het ek ’n dinamiese algemene ekwilibriummodel ontwikkel wat aanbodkant-finansiële wrywings implementeer, tesame met die kenmerkende eienskappe van balansstaatbeleide. My eerste empiriese studie het ’n tyd-variërende parametervektor-outoregressiewe (TVP-VAR) model gebruik om die aard van die verwantskap tussen sentrale banklaste en die oornagbeleidskoers te bepaal. Vier lande met verskillende monetêre beleidstelsels is oorweeg. Daar is gevind dat ’n duidelike negatiewe verhouding tussen dié veranderlikes net bestaan in die geval van een stelsel, naamlik die reserwestelsel. Dié resultaat dui daarop dat die ingebruikneming van nuwe operasionele raamwerke vir sentrale banke die tradisionele model van monetêre beleidsimplementasie bevraagteken. Die praktiese gevolg daarvan om rentekoerse te ontkoppel van reserwes is dat sentrale bank-balansstate potensieel saam met konvensionele rentekoersbeleide gebruik kan word. In die laaste twee hoofstukke van die tesis is ’n dinamiese algemene ekwilibriummodel ontwikkel, wat ’n heterogene banksektor insluit, asook endogene wanbetaling en gekollateraliseerde uitleen aan die kant van die sentrale bank. In hierdie raamwerk is veranderings geïntegreer oor die omvang van die grootte en samestelling van die sentrale bank. Indien die omvang van die balansstaat in hierdie model vergroot word, het dit aansienlik bygedra tot finansiële stabiliteit. Wanneer dit egter saam met ’n rentekoersbeleid gebruik word, kan dit teenstrydende gevolge hê. Veranderings in die samestelling het gelei tot plaaslike voorsieningsgevolge, met die gevolg dat langtermynrentekoerse afwaarts gedwing word, wat ’n uitdruklike doel is van baie bate verkrygingsprogramme. Die uitwerking van ’n verandering in die samestelling het ’n groter impak getoon as ’n verandering in omvang, en het uitleentoestande selfs meer verslap as ’n suiwer inspuiting van likiditeit. Doctoral 2016-12-22T14:27:50Z 2019-12-31T03:00:12Z 2016-12 Thesis http://hdl.handle.net/10019.1/100426 en_ZA Stellenbosch University xv, 322 pages ; illustrations, includes annexures application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Monetary policy -- South Africa -- History Banks and banking, Central -- South Africa Financial statements -- Government policy -- South Africa Economic security -- South Africa Inflation (Finance) -- South Africa UCTD Van Lill, Dawid Johannes Balance sheet policies and financial stability : central banking reimagined |
| title | Balance sheet policies and financial stability : central banking reimagined |
| title_full | Balance sheet policies and financial stability : central banking reimagined |
| title_fullStr | Balance sheet policies and financial stability : central banking reimagined |
| title_full_unstemmed | Balance sheet policies and financial stability : central banking reimagined |
| title_short | Balance sheet policies and financial stability : central banking reimagined |
| title_sort | balance sheet policies and financial stability central banking reimagined |
| topic | Monetary policy -- South Africa -- History Banks and banking, Central -- South Africa Financial statements -- Government policy -- South Africa Economic security -- South Africa Inflation (Finance) -- South Africa UCTD |
| url | http://hdl.handle.net/10019.1/100426 |
| work_keys_str_mv | AT vanlilldawidjohannes balancesheetpoliciesandfinancialstabilitycentralbankingreimagined |