IMF-電子貨幣與貨幣政策傳導(dǎo)（英）

ZixuanHuang,AminaLahreche,MikaSaito,andUrsulaWiriadinataWP/24/69IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2024NArrARY2.每日分享：6+份行研精選、3個(gè)行業(yè)主題2.每日分享：6+份行研精選、3個(gè)行業(yè)主題4.嚴(yán)禁廣告：僅限行業(yè)報(bào)告交流，禁止一切無(wú)關(guān)信息報(bào)告僅限社群個(gè)人學(xué)習(xí)，如需它用?2024InternationalMonetaryFundWP/24/69IMFWorkingPaperAfricanDepartmentE-MoneyandMonetaryPolicyTransmissionPreparedbyZixuanHuang,AminaLahreche,MikaSaito,andUrsulaWiriadinata*AuthorizedfordistributionbyStephaneRoudetMarch2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:E-moneydevelopmenthasimportantyettheoreticallyambiguousconsequencesfornetworkoperators)caneithercomplementorsubstittocomplementarityofEMIswithbanks,implyingthatthedevelointermediationandstrengthenmonetarypolicytransmistrengtheningmonetarypolicytransmission,especiallyincountrJELClassificationNumbers:E52;E43;G21,G23Keywords:Monetarypolicytransmission;banks;nonbankfinancialinstitutions,e-money;paneldatazhuang13@;alahreche@;msaito@;Author’sE-MailAddress:uwiriadinata2@;PreparedbyZixuanHuang,AminaLahreche,MikaSaito,andUrsulaWiriadinata11TheauthorswouldliketothanktheAfricanDepartment’sResearchAdvisoryGroupandCentralBankDigitalCurrencyandDigitalPaymentGroupforhelpfulcomments.HelpfulcommentsbyAlexanderCopestakeandtwoanonymousrefereesaregratefullyacknowledged.IMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND2ContentsGlossary 4ExecutiveSummary Introduction LiteratureReview ConceptualFramework CaseStudies Ghana Kenya Nigeria Tanzania Uganda Data EmpiricalMethod E-moneyIntensity TheElasticityofBankRateswithrespecttothePolicyRate TheLending-to-DepositRateSpreadandtheDepositRate 21BankDepositsandCredit 23FinancialInclusion 24EmpiricalResults 25TheElasticityofBankRateswithrespecttothePolicyRate 25TheLending-to-DepositRateSpreadandtheDepositRate 25BankDepositsandCredit 26FinancialInclusion 27PolicyImplications 27ConcludingRemarks 28References 29INTERNATIONALMONETARYFUND3FIGURE1.RelationshipbetweenLendingRateChangesandPolicyRateChanges9TABLES1.CountriesIncludedinEmpiricalAnalysis 322.SummaryStatistics 333.E-MoneyandElasticityofLendingRate 344.E-MoneyandElasticityofDepositRate 355.E-MoneyandBankCompetition 366.BankCreditandE-MoneyIntensity 377.CredittoGovernmentandE-MoneyIntensity 388.CredittothePrivateSectorandE-MoneyIntensity 399.DepositsandE-MoneyIntensity 4010.GovernmentDepositsandE-MoneyIntensity 4111.Private-SectorDepositsandE-MoneyIntensity 4212.E-MoneyEmergenceandFinancialInclusion 43INTERNATIONALMONETARYFUND4GlossaryIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND5ExecutiveSummaryelopmentofdigitalcufmarketeconomiesaroudesigningotherdigitalcurrenciessuchasceekeyquestionforcentralbanks—whethrrrmonetarypolicytransmission.E-moneydetheoreticallyunclearconseqWethenexploreempirifrequency,fortheperiodbetween2001and2019.IMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND6ofe-moneydevelopmentonmonetarypolicytransmission.Wefpolicytransmission,especiallyincounIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND7IntroductionThedevelopmentofdigitalcumarketeconomiesarodesigningotherdigitalcurrenciessuchasceThekeyquestionforcentralbanks—whethemonetarypolicytransmission.Timportant,yettheoreticallyunclear,consequen1Digitalcurrencies,suchase-money,representsvaluedigitallyandisdenominatedinfiatcurrency(Heandothers,2016).IMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND8Wethenexploreempirintermediation.Ourmacountrieswheree-moneydevelopmenttakesoffinacontinclusion(e.g.,low-incomecountries).?E-moneyandthebankingsecto?Lastly,banklending-to-depositratebankingsectorandIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND9LiteratureReviewinclusionandfinancialdeepeniINTERNATIONALMONETARYFUND10unbankedlow-incomehouseholds.Coulibacompetitionandfinancoperatorsoperatingin42Africancountrigenerallysuggestthate-moneydevelopmenIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND11paymentservices,monetarseigniorage,monetarybase,economy;theyestimatethonlendingwhileminimizingthedisintermediatioadvancementoftheoreticalworkhighlightsthatdevewhetheritise-moneyorCBDC,couldconsequencesformonetarypolicytftransmission,arealsoConceptualFrameworkenhanceorreducemINTERNATIONALMONETARYFUND12complementbanks.Therbankingsystem.Thisispossibleandcoinsexchanfinclusionthereforecouldboldisintermediationandaweakercreditchannel.Second,digitalIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND13only—acategoryofcustomerswhosecrecomplementarityofEMIswithbanksleadtohigherfinancialunclear,consequencesformonetarypoCaseStudies2Ifcryptocurrenciesarepricedasaspeculativebubble,orifdemandforthemco-moveswiththefinancialcycle,thentheycouldbehighlyresponsivetomonetarypolicy(BenignoandRosa2023;Cheandothers,2023).INTERNATIONALMONETARYFUND14growthinthee-moneyinduscustomerstosendandwithdrawfund3PaymentSystemsandServicesAct,2019,BankofGhana.INTERNATIONALMONETARYFUND15fundsaretreatedequallywithotherbankShwaricustomerstoac4Source:NationalPaymentSystemRegulations2014,BankofKenya.5Source:/about-vodafone/what-we-do/consumer-products-and-services/m-pesa6Source:/author.asp?section_id=761&doc_id=7767367CirculartoPaymentServiceBanks–Re:GuidelinesforLicensingandRegulationPaymentServiceBanks(PSBs)inNigeria2020,CentralBankofNigeria.INTERNATIONALMONETARYFUND16governmentT-bills,andothershort-termgovernmentseccooperationbetweenVodacomandCommercialBvolumes(DiasandKersinstitutionsinmaintainingthetrustfunds(Macmilla8NationalPaymentsSystemsAct2015,BankofTanzania.9Source:NationalPaymentSystemsRegulations2020,BankofUganda.INTERNATIONALMONETARYFUND17loanservices(MacmillanandothcustomersattheenStartRegulation/OversightTrustFundInterfacewithbankingservicesrequiredinterestearnedGhana20092008;2019yesyesyesKenya20072014yesyesNigeria20222020yesyesTanzania20082015yesyesyesUganda20092020yesYesyesSources:Nationalsources;andIMFstaffassessment.10Source:/stories/201608120543.htmlIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND18fdepositaccountswithcommercialbdeposits,bankcredits,IMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND19EmpiricalMethodfIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND20Specifically,weestimatethefollowingempiricalsΔLendingRateit=ai+at+β1ΔpolicyRateit+β2LD?emoneyL?it×ΔpolicyRateit+β2HD?emoneyH?it×ΔpolicyRateit+D?emoneyL?it+D?emoneyH?it+Eit,(1)whereΔpolicyRatei,tisamonthlandΔLendingRatei,tisachacontrolthisunobservedheterogeneitytTimefixedeffectscontrolforvariaatthecountrylevel,allowingforTwodummyvariablesarecreatedforco11Thee-moneyintroductionistheonlytreatmentinouranalysis,therebyavoidingthecomplicationsassociatedwithmultipletreatmentvariablesstudiedindeChaisemartinandD’Haultf?uille(2023).Thisregressionspecificationinvestigateshowtheintroductionandlevelofe-moneyintensityinfluencethelendingrateelasticitywithrespecttochangesinmonetarypolicyrate.12A6-monthlagisallowedforthelendingratetorespondtoachangeinthemonetarypolicyrate.Thechoiceof6monthfollowsacommonlagobservedintheliteratureastestingfortheappropriatelaglengthwouldrequiremoredegreesoffreedom.Ourresultsarenotsensitivetothechoiceofthelaglength.13Thecutoffissetat0.5sothatthereisroughlyanequalnumberofcountriesintwogroups.INTERNATIONALMONETARYFUND21relativelyhighlevelofpenetrationofe-money.Thedifferencebetweeintensity.14Apositivedifferencebetweenβ2Landβ2Hmeansthate-moneydevelopmentisassociatedwithhigherresponsivenessofbanklendingratethemonetarypolicyrate.14Twogroupsofcountriesaredifferentfordifferenttimeperiodsase-moneyintensitychangesovertime.IMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND22estimatethefollowingspecificatioSPTeadit=ai+at+β2LD?emoneyL?it+β2HD?emoneyH?it+contaiandatrepresentcountryandtimefixedeffects.Controlvariablesincludethemonetarye-moneyintensity.AnegativecoeffitisassociatedwithamorecompetitiDePositRateit=ai+at+β2LD?emoneyL?it+β2HD?emoneyH?it+contTolsit+Eit.(3)competitioninthebankingsectorasitreveaIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND23Toassesstheimpactofe-credit,weestimatethefollowingspecifitittFurthermore,standaktrendsindepositorcrIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND24weestimatethefollowingregressionspecificatiFIit=ai+at+βD?emoney?it+controlsit+Eit,(5)beenintroducedand0otherwise;aiisthecountryfixedassociatedwithhighershareofbankedpopulation.Toexaminethedynamiceffectofe-moneydevelopment,wealsoestimaFIit=ai+at+β0post0it+β1post1it+β2post2it+β3postBeyondit+controlsit+Eit,wherepost0itisadummyvariableequaltooneifyeartisthee-moneyinception,post1itandpost2itaredummyvaryinception,respectively,andpranyperiodthreeyearsafIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND25EmpiricalResultsintensity.Apositivedifferencebetweenβ2Landβ2Hmeansthate-moneyassociatedwithhigherresponsthemonetarypolicyrate.Weobserveapositivedifferencebetweenβ2Landβ2Hwpositivedifferencebetweenβ2Landβ2HwithstatisticalsignificanceinthefullsampleasfullandsubsampleofcountWithregardstothespread,anegativecoefficientIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND26apositivecoefficientsuggeststhate-moneydevelopmentisassolower.Theresultsarrcompetitionwithlimitedassociatedwithhigherprivate-sIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND27wstheestimateofequation(5).Apositivemeanse-tisassociatedwithahighershareofbankedpopulation.TheestimateofgradualandcantakeafewPolicyImplicationsfinclusion).Second,e-moneyreguldeepening,whilesafeguardiIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND28ConcludingRemarksThispaperexamineswhetherthegrowthofe-mopolicytransmission.EMIscaneithecanincreasefinancialthereforeanempiricalqueexperiencestrongermonetarypolicytransmissionwiththedevThistransmission,measupronouncedincountrfinancialinclusion.Second,e-moneyinitiallevelsoffinancithedevelopmentofe-money,suggestingmorecINTERNATIONALMONETARYFUND29Referencesdevelopment:AreviewwithreferencetoAfricanexperience,”JournalofEconomicPaymentSystem(Acura:BankofYork).andCentralBankDigitalCurrency:TheoryandQuantitativeAssessmeInternationalSettlementsPaper371(Nairobi:AfricanEconomicRDeChaisemartin,Clement,andXavierD’hdifferences-in-differencesestimatorswithseveraltreatments."JournalINTERNATIONALMONETARYFUND30Fund).AssistthePoor).financeinEasternsub-SaharanAfricaResearch).behaviour?Evidencefromadevelopingcountry,”JournalofAfricanEconomies,Vol.Uganda’smobilemoneysecINTERNATIONALMONETARYFUND31McKay,C.,2016,“In(Washington,D.C.:ConsulINTERNATIONALMONETARYFUND32PanelA:AnnualdataAfghanistan,IslamicRep.ofJordanPhilippinesAlbaniaKenyaRwandaArmenia,Rep.ofLesotho,KingdomofSamoaBotswanaLiberiaSeychellesCambodiaMadagascar,Rep.ofSolomonIslandsCameroonMalaysiaSouthAfricaChadMaldivesTanzaniaCongo,Rep.ofMauritania,IslamicRep.ofThailandEgypt,ArabRep.ofMauritiusTongaEswatini,KingdomofMexicoUgandaF?i,Rep.ofMongoliaZambiaGhanaMozambique,Rep.ofGuineaMyanmarGuyanaNamibiaHaitiPakistanHondurasPanamaIndonesiaPapuaNewGuineaJamaicaParaguayPanelB:MonthlydataAlbaniaMauritiusArmenia,Rep.ofMexicoEgypt,ArabRep.ofMongoliaF?i,Rep.ofPapuaNewGuineaGambia,TheParaguayGuyanaPhilippinesHondurasRwandaIndonesiaSouthAfricaJamaicaJordanKenyaMalaysiaThailandA.INTERNATIONALMONETARYFUND33AllcountriesfinancialinclusionfinancialinclusionNumberofobservationsNumberofcountriesAllfinancialinclusionfinancialinclusionNumberofobservationsNumberofcountries8becausetheproxyfortheclassificationoINTERNATIONALMONETARYFUND34ChangesinLendingRateAllfinancialinclusionfinancialinclusionChangesinPolicyRate0.86???(0.16)0.89???(0.05)0.65?(0.35)HighE-moneyIntensity-0.03(0.19)0.03(0.34)-0.18(0.30)LowE-moneyIntensity0.11(0.12)0.25(0.20)-0.1(0.15)HighE-moneyIntensityxChangesinPolicyRate0.26(0.16)0.28??(0.10)-0.05(0.38)LowE-moneyIntensityxChangesinPolicyRate-0.03(0.24)-0.02(0.26)0.13(0.35)Constant(0.05)-0.17(0.13)-0.05(0.06)Observations2,903CountryFEYesYesYesTimeFEYesYesYesR-squared0.170.360.22asthenumberofe-moIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND35ChangesinDepositRateAllfinancialinclusionfinancialinclusionChangesinPolicyRate0.94???(0.12)0.93???(0.10)0.94??(0.34)HighE-moneyIntensity0.31(0.28)0.47(0.38)0.08(0.37)LowE-moneyIntensity0.30?(0.17)0.43?(0.20)-0.02(0.22)HighE-moneyIntensityxChangesinPolicyRate0.39???(0.12)0.42???(0.07)-0.44(0.36)LowE-moneyIntensityxChangesinPolicyRate0.21(0.24)0.24(0.22)-0.15(0.42)Constant(0.08)-0.27(0.14)-0.06(0.08)Observations2,977CountryFEYesYesYesTimeFEYesYesYesR-squared6asthenumberore-moIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND36SpreadAllfinancialinclusionfinancialinclusionHighE-moneyIntensity-0.84???(0.24)-0.71?(0.37)-0.48(0.32)LowE-moneyIntensity-0.04(0.33)0.22(0.42)0.06(0.36)PolicyRate-0.50???(0.08)-0.54???(0.07)-0.44???(0.08)Constant0.020.31(125)Observations2,987No.ofcountries218CountryFEYesYesYesTimeFEYesYesYesControlsYesYesYesR-squared0.920.920.94DepositRateAllfinancialinclusionfinancialinclusionHighE-moneyIntensity0.81???(0.26)0.78??(0.33)0.39(0.33)LowE-moneyIntensity-0.09(0.29)-0.23(0.35)-0.14(0.33)PolicyRate0.56???(0.07)0.64???(0.07)0.47???(0.07)Constant-0.6(0.93)0.51(2.98)-0.15(1.25)Observations2,987No.ofcountries218CountryFEYesYesYesTimeFEYesYesYesControlsYesYesYesR-squared0.930.930.93rconsistsofcountrieswIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND37GrowthofBankCreditAll0.03???financialinclusionfinancialinclusionGrowthofe-moneyintensity0.04???0.05???0.04??Constant0.12???0.14???0.14???0.10???0.10???ObservationsNo.ofcountriesCountryFER-squared247470.04024747Yes0.0490.074Yes0.0690.004Yes0.013TheregressionspecificationisΔCTeditit=ai+βΔintensityit+Eit.ThedataarefromInternationalFinarintensityisdefinedasintensityIMFWORKINGPAPERSE-MoneyandMonetaryPolicyTransmissIMFWORKINGPAPERSINTERNATIONALMONETARYFUND38GrowthofCredittoGovernmentAllfinancialinclusionfinancialinclusionGrowthofe-moneyintensity-0.02-0.03-0.04-0.05-0.01-0.01Consta