[论文解读] An examination of the effect on the Icelandic Banking System of Ver{\dh}trygg{\dh} L\'{a}n (Indexed-Linked Loans)

Jacky Mallett|arXiv (Cornell University)|Jan 1, 2013

Banking stability, regulation, efficiency参考文献 10被引用 3

一句话总结

本文挑战了人们普遍认为冰岛指数化贷款（Verðtryggð Lán）有助于结束恶性通货膨胀的观点，通过复式簿记分析表明，这些贷款在机制上推动了货币扩张，每年使通货膨胀率上升4%至12%。该研究建议改革冰岛的巴塞尔监管框架，以稳定货币供应量并打破通货膨胀的反馈循环。

ABSTRACT

In 1979 following a decade of hyperinflation, Iceland introduced Ver{\dh}trygg{\dh} l\'an, negatively amortised, index-linked loans whose outstanding principal is increased by the rate of the consumer price inflation index(CPI). The loans were part of a general government policy which used indexation to the CPI to address the economic consequences of the hyperinflation. Although most other forms of indexation were subsequently removed, loan indexation has remained, and these loans now comprise the majority of mortgages in Iceland. Although it is still often argued that index-linked loans helped to stop the hyperinflation, these arguments are typically based on high level macro-economic interpretations of the Icelandic economy, they fail to identify specific mechanisms to support their claims. In this paper we take the opposite approach, and present a detailed analysis of the monetary mechanics used for the loans at the double entry bookkeeping level of the banking system. Based on this analysis there appears to be no evidence or mechanism that would support the claim that index-linked loans reduce or stop inflation. On the contrary: our research shows that the bookkeeping treatment of these loans within the banking system directly contributes to the banking system's monetary expansion rate, and hence index-linked loans act to increase the inflation rate to which they are linked, rather than reducing it. They consequently create a positive feedback loop within the banking system's monetary regulation operating directly on the money supply. Since the feedback into monetary expansion only occurs at annual CPI rates above approximately 2%, we suggest one solution would be to stabilise the money supply to 0% growth, and we explore some ways this could be achieved by modifying the Basel Regulatory Framework within the Icelandic Banking System.

研究动机与目标

• 该论文研究了冰岛指数化贷款（Verðtryggð Lán）在银行体系内的实际货币机制。
• 它挑战了这些贷款抑制恶性通货膨胀的普遍宏观经济观点，认为并无具体机制支持这一看法。
• 其目标是通过交易层面的复式簿记分析，评估这些贷款对银行体系货币供应量的影响。
• 该研究旨在识别这些贷款如何在货币体系内形成自我强化的通货膨胀反馈循环。
• 它提出政策解决方案，特别是修改巴塞尔监管框架，以稳定冰岛的货币供应量并结束过度通货膨胀。

提出的方法

• 分析基于冰岛银行体系内所有交易的完整复式簿记模型。
• 该研究追踪了指数化贷款从发放到其对资产负债表和货币总量影响的货币机制。
• 它评估了年度CPI指数化对贷款本金的影响，表明这直接增加了货币供应量。
• 本文使用保守的历史利率与指数化率数据，优先采用最谨慎的估计值。
• 它建立了反馈循环模型：货币供应量增加导致更高通货膨胀，进而触发指数化贷款本金的进一步增加。
• 所提议的解决方案是修改巴塞尔框架，以维持资本恒定并统一风险权重，特别是取消对政府贷款的0%风险权重。

实验结果

研究问题

• RQ1 冰岛银行体系中指数化贷款的簿记处理是否导致货币扩张与通货膨胀？
• RQ2 这些贷款与货币供应量及通货膨胀率之间的具体机制是什么？它们在交易层面如何运作？
• RQ3 这些贷款在多大程度上形成了自我强化的反馈循环，导致通货膨胀加剧而非缓解？
• RQ4 对巴塞尔框架的哪些监管改革可稳定冰岛的货币供应量并打破这一反馈循环？
• RQ5 零增长的货币供应量将如何影响冰岛长期经济指标与系统稳定性？

主要发现

• 冰岛的指数化贷款每年直接导致货币扩张率提高4%至12%。
• 这些贷款的簿记处理机制性地推动了通货膨胀，而非缓解通货膨胀，这与普遍认为其终结恶性通货膨胀的观点相矛盾。
• 只有当年度CPI超过约2%时，该通货膨胀效应才会被触发，意味着该反馈循环在温和通货膨胀条件下即被激活。
• 这些贷款的负摊销机制导致未偿还本金随通货膨胀而增长，直接扩大了货币供应量。
• 若不进行改革，借款人将因通货膨胀导致的本金累积效应而面临日益严重的还款困难。
• 该研究得出结论：通过修改巴塞尔监管规定，将货币供应量稳定在0%增长率，可终结通货膨胀反馈循环并恢复货币稳定。