欧洲央行-2022年和2023年欧元体系货币政策工具的使用及其货币政策实施框架（英）

EUROPEANCENTRALBANK

EUROSYSTEM

OccasionalPaperSeries

TomHudepohl,SuzanneMalderez(editors)TheuseoftheEurosystem’s

monetarypolicyinstrumentsandits

monetarypolicyimplementationframeworkin2022and2023

No355

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

ECBOccasionalPaperSeriesNo3552

Contents

Abstract4

Non-technicalsummary5

1IntroductiontotheEurosystem’sMPIsin2022and20237

2ECBpolicyrates:exceptionallyfasthikesininterestratesand

impactonmoneymarketrates12

2.1Hikingcycleanddeclineinexcessliquidity12

2.2Moneymarketdevelopments14

2.2.1Pass-throughtounsecuredmoneymarketrates15

2.2.2Pass-throughtosecuredmoneymarketrates16

BoxATheevolutionofexcessliquidityanditsimpactonthe€STR19

3Assetpurchaseprogrammes:movingfromnetpurchasesto

phasing-out22

3.1Gradualphasing-outofPEPPandAPPpurchases22

3.2IntroductionoftheTPI26

BoxB(A)symmetricimpactof(unwinding)assetpurchasesonrisk-

freeinterestrates28

4Creditoperations:large-scaleTLTROrepayments32

4.1Large-scaleTLTROIIIrepayments33

4.2LowuseofregularrefinancingoperationsandtheMLF36

4.3FrequencyadjustmentofUSdollarcreditoperations37

5Collateralframework39

5.1Gradualphasing-outofcollateraleasingmeasuresandother

frameworkdevelopments39

5.2Eligibilityandmobilisationofcollateral41

BoxCCollateralreleaseafterTLTROIIIrepaymentsandphasing-out

ofcollateraleasingmeasures44

BoxDClimatechangeconsiderationsformonetarypolicy

implementation47

ECBOccasionalPaperSeriesNo3553

6Minimumreserverequirements(MRRs)49

7Counterpartyframework52

7.1Eligibilitycriteriaanddiscretionarymeasures52

7.2Counterparty-relateddevelopments52

References55

ECBOccasionalPaperSeriesNo3554

Abstract

TheEurosystemimplementsitsmonetarypolicythroughasetofmonetarypolicy

instruments(MPIs).Theperiodcoveredbythisreport(2022-23)wasdominatedby

highinflation,whichledtoachangefromaneasingtoatighteningmonetarypolicy

environmentinlinewiththemandateoftheEuropeanCentralBank(ECB)topursuepricestability.ThisreportfocusesontheaccompanyingshiftintheuseofMPIs.KeyECBinterestrateswerehikedtoanunprecedentedextentandatexceptionalspeed,leadingtoanexitfromnegativeinterestrates.Thiswasaccompaniedbyagradual

phasing-outofreinvestmentsundertheassetpurchaseprogrammes,revisionstotheconditionsoftargetedlonger-termrefinancingoperations(TLTROs)andtheir

subsequentsubstantialearlyrepayments,andaphasing-outofpandemiccollateraleasingmeasures.Thisreportdiscussesthesedevelopmentsandprovidesafull

overviewoftheEurosystem’smonetarypolicyimplementationfrom2022-23.

JEL:D02,E43,E58,E65,G01

Keywords:monetarypolicyimplementation,refinancingoperations,assetpurchaseprogrammes,centralbankcounterpartyframework,centralbankcollateral

framework,centralbankliquiditymanagement,non-standardmonetarypolicymeasures

ECBOccasionalPaperSeriesNo3555

Non-technicalsummary

ThispaperprovidesacomprehensiveoverviewoftheEurosystem’sMPIsfrom

2022-23andcontinuestheseriesonthistopicstartedin2012.1Asthereviewperiodwasdominatedbyhighinflationandaconsequentshiftfromaneasingtoa

tighteningmonetarypolicyenvironment,thereportfocusesonfourmainthemesrelatedtothemonetarypolicytightening.

First,theECBhikeditskeyinterestratesforthefirsttimeinmorethan11years,andatanunprecedentedpace.Interestrateswereraisedatotaloftentimes,leadingtoacumulativeincreaseof450basispointswithin14months(July2022toSeptember2023).Thedepositfacilityrate(DFR)stoodat4%inSeptember2023.Thepass-

throughofpolicyratehikestounsecuredmoneymarketrateswasswiftand

complete,whilethepass-throughtosecuredmoneymarketrateswasslightlyslower,beforeimprovinginthesecondhalfof2023.Chapter2discussesthefactorsbehindthesedynamics.

Second,theECBstartedtophaseoutitsassetpurchaseprogrammes.The

GoverningCouncilannouncedinDecember2021thatitwoulddiscontinuenetpurchasesofsecuritiesunderthepandemicemergencypurchaseprogramme

(PEPP)attheendofMarch2022,andinMarchandDecember2022itannouncedastep-by-stepreductioninthepaceofnetassetpurchasesandreinvestmentsundertheassetpurchaseprogramme(APP).Atthepeakofitsassetpurchase

programmes,theEurosystemheldsecuritiesformonetarypolicypurposes

correspondingtoaround38%ofeuroareaGDP,whichhaddeclinedtowards32%ofeuroareaGDPbytheendof2023.Chapter3coversthenormalisationofasset

purchaseprogrammes,aswellastheintroductionoftheTransmissionProtectionInstrument(TPI)inJuly2022.

Third,banksrepaidsubstantialamountsoftheiroutstandingTLTROsduetomaturingTLTROIIIoperationsandearlyrepayments.InOctober2022,the

GoverningCouncildecidedtorecalibratethetermsandconditionsofongoing

TLTROoperationsfromNovember2022onwards,toensureconsistencywiththebroadermonetarypolicynormalisation.Followingthisamendment,awidearrayofbanksutilisedearlyrepaymentoptions,furthercontributingtoareductioninexcessliquidity.Attheendof2023,€392billionofTLTROIIIwasoutstanding,

correspondingto17%oftheinitiallyborrowedamount.Chapter4goesintothesedevelopmentsinmoredetail.

Fourth,inMarch2022theECBannouncedthatitwouldgraduallyphaseoutthe

temporarypandemiccollateraleasingmeasures,inordertograduallyrestoretheEurosystem’spre-pandemicrisktolerancelevelandavoidcliffeffectsincollateralavailability(asthecollateralframeworkisthesecondlayerofriskprotectionfortheEurosystem).Chapter5examinesthesedevelopments.Duringtheperiodunder

1SeeEseretal.(2012),Alvarezetal.(2017),Bocketal.(2018),SylvestreandCoutinho(2020),andCorsiandMudde(2022).

ECBOccasionalPaperSeriesNo3556

review,theGoverningCouncilalsodecidedtochangetheremunerationofminimumreserverequirements(MRRs)twice,whichisexplainedfurtherinChapter6.Finally,Chapter7describestheEurosystem’sfirstlayerofriskprotection:itscounterparty

framework.

Overall,thechangeinmonetarypolicydirectionledtoadeclineintheEurosystembalancesheet.Whereasthepreviousreportinthisseriescoveredtheperiodof

fastestgrowthinthebalancesheet’shistory,2022-23wasmarkedbynormalisationfollowingtheendofeasing.Aperiodofstabilisation(withthebalancesheetpeakingatover€11trillioninthesummerof2022),wasfollowedbyagradualdeclineto

almost€9.3trillionbytheendof2023.

ECBOccasionalPaperSeriesNo3557

1IntroductiontotheEurosystem’sMPIsin2022and2023

ThisreportfocusesontheEurosystem’smonetarypolicyimplementationinaperiodthatwasdominatedbyhighinflation(2022-23).InlinewiththeECB’s

mandatetopursuepricestability,therewasasignificantadjustmentinmonetarypolicyfromeasingtotightening.Whilethepreviousreport2inthisseries

concentratedontheECB’sresponsetotheeconomicfalloutfromtheoutbreakoftheCOVID-19pandemic(during2020and2021),thisreportexaminestheshiftinthe

useofMPIsagainstabackgroundofinflationthatwasconsiderablyhigherthantheECB’stargetof2%overthemediumterm.Thecombinationofhighinflationand

monetarypolicytighteningledtoasharpincreaseineuroareabondyields(Chart1).

Chart1

Euroareainflationandten-yeareuroareaweightedgovernmentbondyields

(percentages)

12.010.08.06.04.02.00.0-2.0

HICPEuroareaweightedgovernmentbondyield(rhs)

6.05.04.03.02.01.00.0-1.0

Jan-19Jul-19Jan-20Jul-20Jan-21Jul-21Jan-22Jul-22Jan-23Jul-23

Source:Bloomberg.

Notes:Governmentbondyields(ten-yearmaturity)areweightedbyGDP,basedonthe11largesteuroareacountries.HICP=HarmonisedIndexofConsumerPrices.

Thisreportwilldiscussthemonetarypolicytighteningwithafocusonfourmainthemes.

•TheECBendedtheperiodofnegativeinterestratesbyhikingitskey

interestrates(interestratesonthemainrefinancingoperations(MROs),marginallendingfacility(MLF)anddepositfacility(DF)),withaninitial

ratehikeof50basispointsinJuly2022.Thiswasthefirststepinan

exceptionallyfastcycleoftenconsecutiveinterestrateincreasesuptotheendof2023.Overall,interestratesrosebyacumulative450basispointswithin14months(Chart2).Atthestartofthereferenceperiod(January2022),theDFRwasatanegativelevelof-0.50%,andithadincreasedto4.00%bySeptember

2023.Chapter2willdiscussthepolicyrateincreasesinmoredepth,includingtheimpactonmoneymarketrates.Giventhatrateswereraisedinan

2SeeCorsiandMudde(2022).

ECBOccasionalPaperSeriesNo3558

environmentwithhighlevelofexcessliquidity,short-termmoneymarketratescontinuedtotradebelowtheDFR.

Chart2

Developmentsinexcessliquidity,keyECBinterestratesandunsecuredovernighteuroareamoneymarketrates

(left-handscale:percentages,right-handscale:EURtrillion)

Source:ECB.

•TheECBstartedphasingoutitsassetpurchaseprogrammes.AsoftheendofMarch2022,netassetpurchasesunderthePEPPwerediscontinued,whereasnetassetpurchasesandreinvestmentsundertheAPPendedinJuly

2022andJuly2023respectively.Chapter3willcoverthisindetail.

•ThereweresubstantialrepaymentsofthethirdseriesofTLTROs(TLTROIII).Theseresultedfrommaturingoperations(withthebiggestamountduein

June2023)andvoluntaryrepayments.Thelatterweremainlydrivenbya

recalibrationofTLTROconditionsasofNovember2022,whichmadethemlessfavourableandreducedincentivesforcontinuedparticipation.Chapter4

focusesonEurosystemcreditoperationsmoregenerally,includingthisaspect.Thephasing-outofassetpurchaseprogrammesandrepaymentsofTLTROIIIcontributedtoadecreaseinexcessliquidity(Chart2).

•Pandemiccollateraleasingmeasuresweregraduallyphasedout.WhilethesewereinitiallyputinplacetofacilitateaccesstoEurosystemcredit

operationsandincreasethevolumeofeligiblecollateral,theECBdecidedtophasethemoutinordertograduallyrestoretheEurosystem’spre-pandemicrisktolerance,whileavoidingcliffeffectsincollateralavailability.Chapter5

coversdevelopmentsintheEurosystemcollateralframework.

ECBOccasionalPaperSeriesNo3559

Table1

Overviewofmonetarypolicymeasuresin2022-23

December2021

ReductionintheAPPannounced:Q22022–€40billionpermonthQ32022–€30billionpermonth

€20billionfromOctober2022onwards(previously€20billionsinceNovember2019)

DiscontinuationofnetassetpurchasesunderthePEPPattheendofMarch2022

ExtensionofreinvestmenthorizonforthePEPPuntilatleasttheendof2024(previouslyendof2023)

FinaloperationofTLTROIIIandpandemicemergencylonger-termrefinancingoperation(PELTRO)

March2022

RevisionofthepurchaseschedulefortheAPP:

€40billioninApril€30billioninMay€20billioninJune

ExtensionoftheEurosystemrepofacilityforcentralbanks(EUREP)until15January2023

Announcementofphasing-outofpandemiccollateraleasingmeasuresbetweenJuly2022andMarch2024

June2022

Endofthespecialconditions(applicablefrom24June2021to23June2022)underTLTROIII

AnnouncementofintentiontoraiseECBinterestratesby25basispointsinJuly2022

Adhocmeetingon15June2022:theGoverningCouncildecidesthatitwillapplyflexibilityin

reinvestingredemptionscomingdueinthePEPPportfolio,withaviewtopreservingthefunctioningofthemonetarypolicytransmissionmechanism.Italsodecidestomandatetherelevantcommitteestoacceleratethedesignofanewanti-fragmentationinstrument.

July2022

Firstratehike:thethreekeyECBinterestratesareraisedby50basispoints(DFRto0.00%,MROrateto0.50%,MLFrateto0.75%)

EndofnetassetpurchasesundertheAPP

TPIaddedtoGoverningCouncil’stoolkit

Gradualphasing-outofpandemiccollateraleasingmeasures(steponeofthree)

September2022

DFRto0.75%,MROrateto1.25%,MLFrateto1.50%

Formalsuspensionofthetwo-tiersystem(TTS),bysettingthemultipleofthereserverequirementsexemptfromanegativeDFRtozero

October2022

DFRto1.50%,MROrateto2.00%,MLFrateto2.25%

RecalibrationofTLTROIII

RemunerationofminimumreservessetatDFR(previously:MROrate)asofDecember2022

November2022

StartofrecalibratedtermsandconditionsforTLTROIII

December2022

DFRto2.00%,MROrateto2.50%,MLFrateto2.75%

AmendmenttoreinvestmentsundertheAPPasofMarch2023€15billiononaveragepermonthuntilendofQ22023

February2023

DFRto2.50%,MROrateto3.00%,MLFrateto3.25%

March2023

DFRto3.00%,MROrateto3.50%,MLFrateto3.75%

Offeringofseven-dayUSdollaroperationsonadailybasis(between20Marchand30April)

May2023

DFRto3.25%,MROrateto3.75%,MLFrateto4.00%

June2023

DFRto3.50%,MROrateto4.00%,MLFrateto4.25%

DiscontinuationofreinvestmentsundertheAPPasof1July2023

Gradualphasing-outofpandemiccollateraleasingmeasures(steptwoofthree)

July2023

DFRto3.75%,MROrateto4.25%,MLFrateto4.50%

Remunerationofminimumreservessetat0%(previously:DFR)asofSeptember2023

September2023

DFRto4.00%,MROrateto4.50%,MLFrateto4.75%

December2023

AmendmenttoreinvestmentsunderthePEPP:H12024:fullreinvestmentsunderthePEPP

H22024:reductionofPEPPportfolioby€7.5billionpermonthonaverageIntentiontodiscontinuereinvestmentsunderthePEPPattheendof2024.

Source:ECB.

Notes:APP=assetpurchaseprogramme;PEPP=pandemicemergencypurchaseprogramme;TLTRO=targetedlonger-term

refinancingoperations;PELTRO=pandemicemergencylonger-termrefinancingoperations;DFR=depositfacilityrate;MRO=mainrefinancingoperations;MLF=marginallendingfacility;TPI=TransmissionProtectionInstrument

Overall,thechangeinmonetarypolicydirectionledtoadeclineinthe

Eurosystembalancesheet.Afteraperiodofthefastestgrowthinthehistoryofthebalancesheetduring2020-21,2022-23wasmarkedbynormalisationfollowingthe

ECBOccasionalPaperSeriesNo35510

endofeasing.Aperiodofstabilisation(withthebalancesheetpeakingatover€11trillioninthesummerof2022),wasfollowedbyagradualdecline(Chart3).The

shareofmonetarypolicyassetsintheEurosystembalancesheetdecreasedfrom81%to74%betweenthefourthquarterof2021andthefourthquarterof2023.Ontheliabilitiesside,theshareofcentralbankreservesincreasedslightlyfrom50%to

51%intheperiodunderreview,asdepictedinthestylisedcompositionoftheEurosystembalancesheet(Table2).Thiswasjustbelowthepeakofthe

Eurosystembalancesheetat52%(endofJune2022).

Chart3

DevelopmentoftheEurosystembalancesheet

a)Eurosystemassets:howliquidityisprovided

(left-handscale:EURbillion,right-handscale:percentages)

Monetarypolicy:creditoperations

Monetarypolicy:assetpurchaseprogrammesNon-monetarypolicyassets

12

10

8

6

4

2

0

MPIsTotal

as%ofEurosys

GDP(rigtembala

ht-handnceshee

scale)t

60%

50%

40%

30%

20%

10%

0%

200720092011201320152017201920212023

b)Eurosystemliabilities:howliquidityisused

r

(EURbillion)

12

10

8

6

4

2

0

Excessliq

uidity

MRR

Banknotes

Non-

monetary

policyde

posit

s

Othe

200720092011201320152017201920212023

Source:ECB.

Notes:CreditoperationsincludeMROs,LTROs,TLTROsandMLFs.Assetpurchaseprogrammesincludecoveredbondpurchaseprogrammes1and2,SecuritiesMarketsProgramme(SMP),andAPPandPEPPoperations.MPIsincludelendingoperationsandoutrightpurchases.

ECBOccasionalPaperSeriesNo35511

Table2

StylisedcompositionoftheaccountingEurosystembalancesheetasatend-2019,end-2021andend-2023

ASSETS

Q42019

Q42021

Q42023

PeakofEurosystembalancesheet(Q22022)

Securitiesheldformonetarypolicypurposes

56%

55%

68%

56%

Lendingtoeuroareacreditinstitutions(a)

13%

26%

6%

25%

Non-monetarypolicyassets(b)

31%

19%

27%

19%

LIABILITIES

Q42019

Q42021

Q42023

PeakofEurosystembalancesheet(Q22022)

Banknotes

28%

18%

23%

18%

Centralbankreserves(c)

39%

50%

51%

52%

Non-monetarypolicydeposits

14%

17%

8%

15%

Capitalandreservesandother

20%

15%

18%

15%

Source:ECB.

Notes:(a)includesrefinancingoperationsandMLF;(b)includesFX,gold,euro-denominatedownfundportfolios,emergencyliquidityassistanceandother;(c)includescurrentaccount,includingrequiredreservesandDF.

Giventhesedevelopments,themainfocusofthisreportwillbetheECB’s

monetarypolicynormalisationandtightening,withathoroughoverviewof

developmentsintheEurosystem’smonetarypolicyimplementationframeworkduring2022and2023.Afterreachingrecordhighlevels,thevolumeofoutstandingmonetarypolicyoperations(MPOs)declinedduringtheperiodcoveredinthisreport(Chart3).Thisreportfocusesonthemonetarypolicynormalisationandtherefore

followsaslightlydifferentstructurefrompreviousreports,whilestillhighlightingthemaindevelopmentsinallelementsofthemonetarypolicyimplementation

framework.Aswellasdiscussingthehikingofpolicyinterestrates,unwindingof

assetpurchaseprogrammes,andphasing-outofTLTROIIIandofcollateraleasingmeasures,thereportwillalsocoverdevelopmentsintheMRRs(Chapter6)andthecounterpartyframework(Chapter7).Fourboxeshighlightspecificelementsoverthereviewperiod,includingmeasurestoincorporateclimatechangeconsiderationsintomonetarypolicyimplementation.

ECBOccasionalPaperSeriesNo35512

2ECBpolicyrates:exceptionallyfasthikesininterestratesandimpactonmoneymarketrates

ThischapterdescribeshowECBmonetarypolicyratehikestransmittedtotheeuroareamoneymarkets.Whilepass-throughtotheunsecuredmoneymarketwasfullandcomplete,pass-throughtosecuredmarketswassluggishintheinitialphaseofthehikingcycle,beforeimprovingamidaneasingofcollateralscarcityissues.

2.1Hikingcycleanddeclineinexcessliquidity

TheECBinitiatedtheprocessofpolicynormalisationin2022,gradually

unwindingitsaccommodativemonetarypolicystance.Amongothermeasures,itbeganaseriesofinterestratehikesstartinginJuly2022,raisingtheDFRfrom

negativetopositiveterritorybyacumulative450basispointsbytheendof2023(Chart2).

Thespeedandscaleoftheconsecutiverateadjustmentsstandoutinthe

historyofthemonetaryunion.TheDFRreachedarecordhighof4.00%,whiletherateontheMROclimbedtoitshighestlevelsince2001(4.5%),followingten

consecutivehikesof75,50or25basispointsfromJuly2022toSeptember2023(Chart4).

Chart4

ChangesinthekeyECBpolicyrates

(percentagepointchanges)

MROrate

DFR

MLFrate

1.0

0.5

0.0

-0.5

-1.0

2022

Fi

rst

r

at

e

hi

ke

of

1999

2000

2001

2002

2003

2005

2006

2007

2008

2009

2011

2012

2013

2014

2015

2016

2019

2022

2023

Source:ECB.

ECBOccasionalPaperSeriesNo35513

ThedeclineinexcessliquiditydidnotoccurinparallelwiththemonetarypolicyhikingcyclestartinginJuly2022.Itstartedlater,particularlyfrom

November2022onwards,asaresultofearlyrepaymentsofTLTROborrowings

(seealsoChapter4).SinceJuly2022,excessliquidityhasdeclinedby€1.1trillion(Chart5).3Thereductioninexcessliquidityresultedprimarilyfromthematurityof€1.7trillionofEurosystemcreditoperations,whichhadbeenborrowedbybanksunderTLTROIII.AreductioninEurosystemsecuritiesholdingsinassetpurchaseprogrammesalsocontributedtothedecline,withredemptionsthatwerenot

reinvestedresultingina€0.3trilliondecreaseinexcessliquidity.Conversely,the

evolutionofautonomousfactorsreleased€0.9trillionofexcessliquiditybackintothe

system.Thismainlyreflectedagradualdeclineininstitutionalcustomers’non-

monetarypolicydepositswiththeEurosystem,asthosefundseventuallyendedupasexcessliquidityattheaccountsofcommercialbanks.4Despitethecontraction,theoveralllevelofexcessreservesinthesystemremainedample(above€3.5

trillion)throughouttheentireperiodunderreview.

Chart5

Evolutionofexcessliquidityandcomponents

(EURtrillion)

Creditoperations

AssetpurchaseprogrammesAutonomousfactors

8.0

6.0

4.0

2.0

0.0

-2.0

-4.0

ofwhichnon-monetarypolicydeposits Excessliquidity

EndnegativeDFR

Jan-22Jul-22Jan-23Jul-23Jan-24

Source:Eurosystemcalculations.

Notes:ThenegativeDFRperiodendedon27July2022,whenitmovedfrom-0.50%to0%.

3ExcessliquidityisthemoneyinthebankingsystemthatisleftoveroncecreditinstitutionshavemettheirMRRs.Morespecifically,itisthesumofbanks’holdingsintheircurrentaccountanddeposit

facilityatthecentralbankminustheirMRRs.

4Institutionalcustomers’non-monetarypolicydepositscomprisedepositsofgovernments,foreign

centralbanksandclientsoftheEurosystem’sreservemanagementservices.Whenthesenon-

monetarypolicydepositsdecrease,autonomousfactorsreduce,leadingtoanincreaseinexcessliquidity.Thereductioninnon-monetarypolicydepositswasdrivenbythereturntopositiveinterest

rates,whichpromptedcounterpartiestoshifttheirdepositstothemarketinsearchofabetterreturn.Toavoidanabruptoutflowofnon-monetarypolicydepositsintothemarket,theECBtemporarilyadjustedtheapplicableremuneration.Ittemporarilysuspendedthe0%interestrateceilingasofSeptember

2022andadjustedtheceilingtoaeuroshort-termrate(€STR)of-20basispointsinMay2023.

ECBOccasionalPaperSeriesNo35514

2.2Moneymarketdevelopments

Marketparticipants’expectationsforfuturepolicyrates,asmirroredinthe

euroshort-termrate(€STR)forwardcurves5,havereactedswiftlytothe

monetarypolicytightening.However,marketpricinginitiallyunderestimatedthemagnitudeofthechangethatmaterialisedinthereviewperiod(Chart6).In

December2021,sevenmonthsbeforethestartofthefirstinterestratehike,the

€STRforwardcurvebegantoshiftup,asmarketspricedinthestartofECBpolicy

normalisationbutatamuchslowerpace:theforwardcurvereflectedanexpected

DFRlevelof0%fromearly2024.During2022