Abstract:

Since the 2008 financial crisis， the traditional aggregate monetary policy in western developed economies has been extremely limited. Subsequently， the European debt crisis and the impact of the COVID-19 pandemic further accelerated the process of the world entering the era of low interest rates. Against this backdrop， advanced economies， such as Japan and the Eurozone， have implemented negative interest rate policies to alleviate the severe economic situation like rising unemployment， deflation， and economic malaise. Although in the short term， the traditional negative interest rate policy can stimulate consumption to some extent. However， in the long run， it distorts market price signals and makes it difficult to effectively recover the economy. The reason is that the zero lower bound constraint of deposit interest rates limits the effectiveness of traditional negative interest rate policies on economic growth and inflation.Therefore， how to overcome the zero lower bound constraint of deposit interest rate and improve the effectiveness of the traditional negative interest rate policy on macroeconomic regulation and control has become the global focus. The negative interest rate tool of the central bank digital currency can effectively solve the constraint of the lower bound of the deposit interest rate， and inhibit the negative impact of the traditional negative interest rate policy on the deposit-to-loan spread and the transmission process of credit supply by reducing the cost of bank information and increasing the currency multiplier. In this paper， a dynamic stochastic general equilibrium model including currency multiplier characteristics and information cost characteristics is constructed， and the background of the Great Recession is fitted through risk shocks to better explore the impact of the negative interest rate tool of central bank digital currency on the macroeconomy. It is found that first， in the context of economic recession， the impact of zero interest rate central bank digital currency on the macroeconomy is not obvious. And the negative interest rate tool of central bank digital currency can make the negative impact of bank profits and credit supply less than the traditional negative interest rate policy， which is helpful to alleviate the sustained economic recession. Secondly， increasing the currency multiplier or reducing the cost of bank information is conducive to improving the effect of the negative interest rate tool of the central bank's digital currency on macroeconomics and social welfare， and the two have an interactive stimulating effect. These findings are helpful to better answer the questions about the effect and role of the negative interest rate tool of central bank digital currency on the macro-economy during the economic downturn. And it also provides a good analytical framework for the research on the monetary policy effect of central bank digital currency and the research on negative interest rate policy.

Key words: negative interest rate policy, central bank digital currency, currency multiplier, zero lower limit of deposit rate, DSGE model