欧洲央行-央行数字货币与货币政策实施 Occasional Paper Series -Central bank digital currency and monetary policy implementation

EUROPEANCENTRALBANKEUROSYSTEMEneaCaccia,JensTapking,ThomasVlassopoulosCentralbankdigitalcurrencyandmonetarypolicyimplementationDisclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.Abstract2Non-technicalsummary31Introduction62ImpactofaCBDConthedemandforbankdeposits8Box1TheimpactofazeroremunerationofCBDConthedemandforbankdeposits123ThebalancesheetmechanicsofaCBDC153.1TheimpactofaCBDC-induceddepositoutflowonreserves153.2ThemaximumamountofCBDC-induceddepositoutflowstolerablefromamonetarypolicyimplementationperspective21Box2High-leveldesignchoicesofcurrentCBDCinitiativesacrosstheglobe244CBDCandthesmoothimplementationofmonetarypolicy284.1Floorsystem28Box3ModelshowingtheimpactofaCBDContheamountofreservesneededforsmoothimplementationofmonetarypolicy:floorsystem324.2Corridorsystem35Box4ModelshowingtheimpactofCBDContheamountofreservesneededforsmoothimplementationofmonetarypolicy:corridorsystem385Conclusions42Proofsofresults1to444References48AbstractThispaperdiscussestheimpactthataretailcentralbankdigitalcurrency(CBDC)couldhaveontheimplementationofmonetarypolicy.MonetarypolicyimplementationcouldbeaffectediftheintroductionoftheretailCBDCchangesthevolumeofcommercialbankdepositsheldbycustomers,whichwould,inturn,affectcentralbankreserves.WhileitisoftenassumedthatcustomerdepositswoulddecreaseifaCBDCwasintroduced,weprovideargumentswhythisisbynomeansclearcutanddepositscouldevenincrease.Ifbankdepositsdodecrease,bankswouldneedtodrawon,andthereforereduce,theircentralbankreserveholdings.Moreover,uncertaintyastothetimingandextentofanyconversionsofdepositsintoCBDCmightpromptbankstoscaleuptheirdemandforcentralbankreservesinordertoholdlargerprecautionarybuffers.Consequently,centralbanksmightneedtoadjusttheirreservesupplyandotherfeaturesoftheirmonetarypolicyimplementation,depending,forexample,onwhethertheyuseafloororacorridorsystemformonetarypolicyimplementation.Inthespecificcaseofthedigitaleuro,thefeaturesalreadyenvisagedforitsdesignwouldmakeitpossibletominimisetheriskofnegativeconsequencesformonetarypolicyimplementation.JELcodes:E41,E42,E43,E52,E58,G21Keywords:Monetarypolicyimplementation,centralbankdigitalcurrency,centralbankreserves.CentralbanksaroundtheworldhavebeenassessingtheadvantagesanddisadvantagesofCBDCs.ACBDCisanewformofcentralbankmoney.Likebanknotes,itisaclaimontheissuingcentralbankthatcanbeusedtomakepaymentswithinstantsettlement24hoursaday,sevendaysaweek.Butunlikebanknotes,itexistsonlyindigitalform.Ifitisavailabletothegeneralpublic,includinghouseholdsandnon-financialcorporations,itisreferredtoasaretailCBDC.Ifitcanonlybeusedby(financial)institutions,itisreferredtoasawholesaleCBDC.In2022,80outofthe86centralbanksthatrespondedtoasurveyconductedbytheBankforInternationalSettlement(BIS)saidthattheywereengagedinworkontheissueofCBDCs.1AsmallnumberofcentralbankshadalreadyintroducedaretailCBDC(thecentralbanksofNigeria,theBahamas,JamaicaandtheEasternCaribbeanCurrencyUnion)orwereconductingpilottests(China,India).OthercentralbankshaveannouncedconcreteinvestigationsintoaretailCBDC(e.g.theBankofEnglandandtheECB).Inthispaper,wediscussthepotentialimplicationsofaretailCBDCfortheimplementationofmonetarypolicy.Oneofthemainobjectivesofmonetarypolicyimplementationistosteershort-termmarketinterestratestothelevelthatisconsideredappropriateforthemonetarypolicybeingpursued.Formostcentralbanks,thisisachievedby,amongotherthings,controllingtheamountofreservesthatthebankingsectorholdswiththecentralbank.GiventhataretailCBDCcouldhaveanimpactonthestockofreserves,itisanimportantfactortobeconsideredinrelationtomonetarypolicyimplementation.ThispaperlooksatdifferentaspectsoftheintroductionofaretailCBDCandthelikelyimplicationsformonetarypolicyimplementation,focusinginparticularontheimpactonbankdepositsandreserves.Itsfindingscanbesummarisedasfollows:monetarypolicyoperatioThecurrentpaperconsidersagenericretailCBDCbut,whenrelevant,alsodiscusseshowthedesignfeaturesenvisagedforadigitaleurowouldmakeitpossibletoaddresstheriskofnegativeconsequencesformonetarypolicyimplementation.InOctober2021theECBstartedatwo-yearinvestigationintothepossibilityofissuingaCBDCfortheeuroarea:thedigitaleuro.InOctober2023theECBdecidedtolaunchapreparationphaseasanextstepandpublishedareportsummarisingthedesignfeaturesenvisagedforadigitaleuro.2Havingexaminedthosefeatures,thecurrentpaperconcludesthattheywouldreducetheriskofadigitaleurohavingnegativeconsequencesformonetarypolicyimplementation.CentralbanksaroundtheworldhavebeenassessingtheadvantagesanddisadvantagesofCBDCs.ACBDCisanewformofcentralbankmoney.Likebanknotes,itisaclaimontheissuingcentralbankthatcanbeusedtomakepaymentswithinstantsettlementaroundtheclock.Butunlikebanknotes,itexistsonlyindigitalform.Ifitisavailabletothegeneralpublic,includinghouseholdsandnon-financialcorporations,itisreferredtoasaretailCBDC.Ifitcanbeusedonlyby(financial)institutions,itisreferredtoasawholesaleCBDC.3In2022,80outofthe86centralbanksthatrespondedtoasurveyconductedbytheBISsaidthattheywereengagedinworkontheissueofCBDCs.4AsmallnumberofcentralbankshavealreadyintroducedaretailCBDC(thecentralbanksofNigeria,theBahamas,JamaicaandtheEasternCaribbeanCurrencyUnion)orareconductingpilottests(China,India).OthercentralbankshaveannouncedveryconcreteinvestigationsintoaretailCBDC(e.g.theBankofEnglandandtheECB).5Inthispaper,wediscussthepotentialimplicationsofaretailCBDCfortheimplementationofmonetarypolicy.Oneofthemainobjectivesofmonetarypolicyimplementationistosteershort-termmarketinterestratestothelevelthatisconsideredappropriateforthemonetarypolicybeingpursued.Formostcentralbanks,thisisachievedby,amongotherthings,controllingtheamountofreservesthatthebankingsectorholdswiththecentralbank.GiventhataretailCBDCcouldhaveanimpactontheamountofreserves,itisanimportantfactortobeconsideredinrelationtomonetarypolicyimplementation.Therestofthispaperisorganisedintofoursectionsandfourboxes.Section2andBox1discusstheimpactofaretailCBDConthedepositsheldbycustomerswithcommercialbanks,giventhatthisaffectstheamountofcentralbankreservesandthereforemonetarypolicyimplementation.Section3firstanalyseshowaretailCBDCmightinfluencetheaggregatebalancesheetsofthecentralbank,thebankingsectorandthenon-banksector.ItthendiscussestheamountofbankdepositsacentralbankcouldallowcustomerstoconvertintoCBDCgivensomeoftheconstraintsarisingfromtheaggregatebalancesheets.Box2providesanoverviewofthecurrentCBDCinitiativesofcentralbanksworldwide.Section4,togetherwithBoxes3and4,providesadetailedassessment,includingamodel-basedanalysis,oftheconsequencesthataCBDCmighthaveonthewaythatcentralbankscouldimplementmonetarypolicy,distinguishingbetweenfloor-based3Foradetaileddiscussionofthforexample,Section2and34SeeKosseandMandcorridor-basedmonetarypolicyimplementationsystems.Section5concludes.Inthissection,wediscusstheimpactthattheintroductionofaCBDCmighthaveonthedemandforbankdeposits.Weshowthattheimpactis,exante,ambiguous,giventhatseveraloftheCBDC’sinherentfeaturesaswellasdesignchoicesinteractwitheachotherinwaysthatcanoffsettheireffectonthedemandfordeposits.6FollowingtheintroductionofaCBDC,someofthegoodsandservicesthatwerepreviouslypaidforwithcash(banknotesandcoins)orthroughbankdepositswillbepaidforwithCBDC.Currentlythereare,broadlyspeaking,twotypesofmeansofpayment:bankdepositsandcash.7ACBDCwouldbeathirdmeansofpayment.WhiletheintroductionofaCBDCwouldhaverelativelylittleimpactonthetypesandquantitiesofthegoodsandservicespeoplewillwanttobuy,itmayhaveastrongimpactonhowpeoplepayforthosegoodsandservices:someitemsthatwouldhavebeenpaidforwithcashorfrombankdepositswouldbesettledinCBDC.IfindividualswishedtopayforanitemwithaCBDC,theymightneedtoconvertcashorbankdepositsintoCBDCbeforehand.ThiswouldgenerateademandforCBDCandreducethedemandforcashand/orbankdeposits.However,themechanicsofconvertingbankdepositsintoothermeansofpaymentwouldhaveadecisiveimpactondemandforbankdeposits.Togiveasimpleexample,8anindividualinitiallyholdsonlybankdepositsandwouldliketoconducttransactionsforanamountPoneachoftwoconsecutivedays.AssumingthataCBDCisnotavailable,thatindividualwishestomakeacashpaymentofCandapaymentfromabankdepositofD(C+D=P)oneachofthedays.ThesplitofPintoCandDisassumedtobedrivenbytheacceptabilityoftherespectiveformsofpaymentforthetransactionstobemade.SincegoingtoanATMontwoseparatedayswouldbeinconvenient,theindividualdecidestogothereonlyonday1andtowithdraw2.Cincash.Consequently,theindividualpaysonecashamountofConday1andholdstheothercashamountofCovernightfromday1today2.Assumingthatamountspaidtomerchantsincentralbankmoney(cashor,inthefurthercourseofourexample,CBDC)areconvertedintobankdepositsonthesameday,i.e.thesumsarenotheldbythemincashovernight,Cistheportionofthecashwithdrawnfromtheindividual’sdepositsthatremainsincirculationfromday1today2.6PapersthattrytoestimatethedemandforCBDCaCBDConthedemandforbpossiblyhaveapositiveim7Forthepurposesofthisillcreditcardsore-mThissituationissummarisedinthefirstcolumnofTable1.However,holdingcashovernightexposesindividualstophysicalsecurityrisks.Consequently,incaseswherebothcashandbankdeposittransfersareacceptedforpayment,theindividualmayprefertopaythroughabankdepositsothattheamountofcashwithdrawncanbekeptassmallaspossible.Table1Holdingofcash,depositsandCBDCWithdrawals-CD-C--WithdrawalsCD-TheabilitytopayusingCBDCmayincentivisepeopletoholdasignificantamountoftheirfundsinthisformandholdlessinbankdeposits.Takingtheaboveexample,supposethataCBDChasbeenintroducedandisacceptedforsettlingtransactions,someofwhichwerepreviouslymadeincashandsomethroughbankdeposits.Theindividualwouldnowliketomake,oneachofthetwodays,acashpaymentofC*,apaymentthroughbankdepositsofD*andaCBDCpaymentofZ*,whereC*+D*+Z*=C+D=P.Onday1,shenowwithdrawsacashamountof2.C*andconvertsanamountof2.Z*ofdepositsintoCBDC,assumingthatitisalsosufficientlyinconvenienttoconvertbankdepositsintoCBDConeachofthetwodays.Asaresult,shenowholdsanamountofcentralbankmoney(cashplusCBDC)ofC*+Z*overnightfromday1today2.Incontrasttocash,CBDCisnotsubjecttophysicalsecurityrisksandmightthereforebecomethepaymentoptionofchoiceonceadigitalcurrencyisintroduced.Thiscouldleadtolessdemandforbankdeposits,i.e.C*+Z*>CandD*<D,ifaCBDCisintroduced.AsituationinwhichthereisaCBDCbutconvertingbankdepositsintoCBDCisnotstraightforwardissummarisedinthesecondcolumnofTable1.If,however,customersfindconvertingbankdepositsintoandoutofCBDCstraightforwardandaconvenientoption,thentheintroductionofaCBDCmightincreasethedemandforbankdeposits.AgaintakingtheexamplesetoutabovebutnowassumingthattheCBDChasbeendesignedsothatconvertingbankdepositsintoCBDCisstraightforward–meaningthattheconversionisinstantaneous,possibleatalltimes,costlessandeasy–thesituationwouldbeasfollows.Theindividualnowdecidestoconvertonlyasingleamountofz*intoCBDConday1andthesameamountagainonday2.ThisisparticularlylikelyifbankdepositsarebetterremuneratedthanCBDC.Asaresult,theindividualholdsacashamountofC*overnight,butnoCBDCand,giventhatC*<C,theamountheldintheindividual’sbankdepositsovernighthasnowincreasedascomparedwiththesituationinwhichnoCBDCexists.ThisisillustratedinthethirdcolumnofTable1.CBDCdesignfeatures,suchasawaterfallandreversewaterfallmechanism,thatallowtheautomaticconversionofbankdepositsintoandoutofCBDCwouldhaveasignificantimpactintermsofconvenienceandarethereforeparticularlyrelevantforreducingincentivestoaccumulateCBDCratherthanbankdeposits.AwaterfallisamechanismwherebyifCBDCholdingsexceedaprespecifiedthreshold,e.g.becauseofalargeincomingpayment,theexcessamountisautomaticallyandimmediatelytransferredintothepayee’sbankaccount,i.e.convertedintoabankdeposit.AreversewaterfallallowsapayertomakeaCBDCpaymentthatislargerthanthepayer’sCBDCholdings:anyamountneededforthepaymentandnotavailableinthepayer’sCBDCaccountwouldbeautomaticallytransferredfromthepayer’sbankaccountintotheCBDCaccountandpaymentisthentriggeredinstantly.ItshouldbenotedthatthereversewaterfallcanbeseenasatoolthatwouldmaketheconversionofbankdepositsintoCBDCaveryconvenientoption.AnindividualmightdecidenottohaveanyCBDCholdingsatallbutcouldneverthelessmakeCBDCpaymentsgiventhatthereversewaterfallmechanismwouldalwaysconvertanyrequiredamountfrombankdepositsintoCBDCasandwhenneeded.Consequently,aCBDCwithareversewaterfallcouldincreasethedemandforbankdeposits.WidespreadadoptionofCBDCasapaymentinstrumentwouldnotnecessarilyresultinreduceddemandforbankdeposits.Paymenttechnologiesarenetworktechnologies.Ifmanypeopledecidetouseatechnology,manymorewillfollow.9However,thisdoesnotnecessarilymeanthatextensiveadoptionofCBDCasapaymentinstrumentwouldreducedemandforbankdeposits.Asindicatedabove,howstraightforwarditistoconvertintoandoutofCBDCcouldbeexpectedtobeanimportantdriverofadoption,togetherwithgeneralacceptanceamongmerchantsofpaymentsinCBDCandthecreationofasymbioticecosystemalongsideothermeansofpayment.9Foramodel-baseddiscussionofthenetworkeffetal(2022).Whiletheargumentsabovefocusonthepaymentfunction,aCBDCcould,inprinciple,alsobeusedasastoreofvalue.TheextenttowhichaCBDCmightbeusedasastoreofvalueislikelytodependprimarilyonitsremuneration,discussedinBox1,andtheperceivedriskofholdingalternativestoresofvalue,suchasbankdeposits.WithregardtotheinteractionofCBDCholdingsandtheperceivedriskofholdingbankdeposits,theimpactofCBDConthedemandfordepositsislikelytobehighlysituation-specific.CBDCisaliabilityofthecentralbankinitsdomesticcurrencyand,assuch,isnotsubjecttodefaultrisk.Thiscouldmakeitaparticularlyattractiveoptioninabankingcrisis,whendepositorsmaywishtoconvertlargeamountsofbankdepositsintocentralbankmoneyforfearoflosses.ConvertingbankdepositsintoCBDCwouldbeeasierandfasterthanconvertingthemintobanknotes.Furthermore,holdingCBDCwouldnotbesubjecttotherisks,storageandinsurancecoststhatholdinglargeamountsofcashentails.10Assuch,aCBDCmightreducethedemandforbankdepositsinabankingcrisis.11However,holdinglimitsmightbeatoolforpreventinglargeholdingsofCBDCtothedetrimentofbankdepositsinsuchasituation(andmoregenerally),i.e.theymightlimitthepossiblenegativeimpactofaCBDConthedemandforbankdeposits.12TheECBhasannounceditsintentiontoofferwaterfallandreversewaterfallfunctionalitiestoalldigitaleuroend-usersandtoapplydigitaleuroholdinglimits.13Theargumentssetoutabovesuggestthatbyincorporatingthesedesignfeatures,thedigitaleuromightnothaveanegativeimpactonthedemandforbankdepositsinnormaltimesandcouldavoidunduelossofbankdepositsduringabankingcrisis.GiventhataCBDCwhichreducesthedemandforbankdepositsmaybechallengingformonetarypolicyimplementation,wefocusonthisissueinthefollowingsections.Asarguedinthissection,aCBDCcouldincreaseorreducethedemandforbankdeposits,dependingonthefeaturesincorporatedintoit.IfaCBDCweretoreducethedemandforbankdeposits,thebankingsectormayloseanimportantfundingsource.Thiscouldbechallengingformonetarypolicyimplementation.WethereforeanalysethecaseofaCBDCthatreducesthedemandforbankdepositsinthesectionsbelowwithaviewtomotivatingdesignfeaturesthatcouldpreventanysuchreduction.considermovingdepositsawayfaCBDCwalletthattheyuseforwouldthenrequireasecondacfundsintoCBDCwouldthenbeethataCBDCcouldchangethebehaviouroregulatorstherebydecreasingfinancialTheimpactofazeroremunerationofCBDConthedemandforbanTheimpactofaCBDConthedemandforbankdepositswoulddependsignificantlyonthelevelsofremunerationofthesetwoinstruments.IftheCBDCbenefitedfromhigherremunerationthanbankdeposits,peoplemightprefertoholdmoreCBDCandholdlessinbankdeposits,regardlessofwhetherornottheyusetheCBDCforpaymentpurposes.Inordertolimitanylossofdepositsinsuchcircumstances,banksmightreactbyincreasingtheremunerationpaidonbankdeposits.Thisstrategymight,however,beseenbythebanksasbeinglessprofitable,depending,forexample,ontheamountofreservesavailabletothebankingsector,inwhichcasetheymightprefertoacceptthelossofdeposits.InordertoavoidanyremunerationofCBDCinfluencingthedemandforbankdeposits,centralbankscouldconsidervariousstrategies.Theycould,forexample,offerCBDCremunerationatthelevelofthe(average)remunerationonbankdeposits(possiblyminusaconstantspread).Thisapproachmight,however,beconsideredtoocomplicatedforaretailCBDC.Furthermore,attimeswhencentralbankpolicyratesarenegative,theaverageremunerationonbankdepositsmightalsoslipintonegativeterritory.IftheremunerationonCBDCisthenalsosetatanegativelevel,thereputationandacceptanceofCBDCcouldsuffer.Zeroremunerationwouldmirrortheremunerationonbanknotesandistheapproachthatmost,ifnotall,centralbanksconsiderpreferableforaCBDC(seeBox2).Attimeswhenratesonbankdepositsarehigh,forexampleduetohighcentralbankpolicyrates,zeroremunerationofCBDCcouldresultinlowerdemandforCBDC.Whenbankdepositratesarenegative,forexampleduetonegativecentralbankpolicyrates,zeroremunerationofCBDCcouldleadtolowerdemandforbankdeposits.Thismightmakebanksreluctanttoapplynegativeratestobankdeposits,weakeningthetransmissionofnegativecentralbankpolicyrates.However,ifarelativelytightCBDCholdinglimitisapplied,theremunerationofCBDCrelativetothatonbankdepositsmighthaveverylittleimpactonthedemandforbankdeposits.Forinstance,Eurosystemofficialshavementionedadigitaleuroholdinglimitfornaturalpersonsof€3,000to€4,000asanoption.15Inaddition,itisenvisagedtoapplyazeroremunerationtothedigitaleuro.16ThelowestECBpolicyratewas-0.5%(betweenSeptember2019andJuly2022).Letussupposethattheaverageremunerationonbankdepositsfallstothislevel.Zeroremunerationofadigitaleuroandaholdinglimitof€3,000wouldthanmeanthatthelossthatanindividualcouldavoidbyconvertingabankdepositintodigitaleurouptothemaximumholdinglimitwouldbeamere€15peryear.17Evenwithouttightholdinglimits,zeroremunerationofCBDCholdingsbyhouseholdsmighthavelimitedimpactontheirlevelofdemandforbankdepositsgiventhattheremunerationonhouseholdovernightbankdepositstendsto17AsanalternativetoaCBDChCBDCremuneration,i.e.thedeviaterelativelylittlefromzero.TheimplicationsofzeroremunerationofCBDCholdingsonthedemandfordepositsmightdifferforhouseholdsandforcorporations.Startingwithhouseholdsandtakingtheeuroareaasanexample,Chart1showsthataverageinterestratesonovernightbankdepositsofhouseholdsbarelyslippedintonegativeterritoryduringtheperiodwhenmarketinterestratesintheeuroareawerenegativebutinsteadstayedclosetozero.ZeroremunerationofCBDCatthattimewouldnothaveprovidedasufficientincentiveforhouseholdstoconvertbankdepositsintoCBDC.And,whenpolicyratesandmoneymarketinterestrateswererelativelyhigh,ataround4%,in2008,theaverageratesonovernightbankdepositsbarelyexceeded1%,againprovidinglittleincentiveforhouseholdstoconvertsignificantamountsofCBDCintobankdepositsevenifCBDChadbeenremuneratedat0%.18However,thestickinessofinterestratesonbankdepositsat0%whencentralbankpolicyratesandmarketinterestratesturnnegativemaybeundesirablefromamonetarypolicyperspectivegiventhatitmeanslimitedtransmissionofpolicyrates.AndzeroCBDCremunerationwithoutarelativelytightCBDCholdinglimitcouldcementthisstickinessandresultina“reversalinterestrate”,i.e.apolicyratelevelbelowwhichfurtherratecutswouldtendtohaveatighteningratherthanlooseningeffectsontheeconomy,therebycurtailingmonetarypolicyspace.19Chart1Remunerationofovernightbankdepositsheldbyhouseholds%Source:IndividualmonetaryfinanciaNotes:Theblueareaistheshareremuneratedatratesabove0.05%andtheredareashort-termrate.EONIAdenotestheinterbankovernightlendingreplacedwiththe€STR.VWRat