| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4955
|
| DP4955 Agency Conflicts, Investment and Asset Pricing |
| Rui Albuquerque; Neng Wang
|
| 发表日期 | 2005-03-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | This paper studies the strategic interaction between a bank whose deposits are randomly withdrawn, and a lender of last resort (LLR) that bases its decision on supervisory information on the quality of the bank?s assets. The bank is subject to a capital requirement and chooses the liquidity buffer that it wants to hold and the risk of its loan portfolio. The equilibrium choice of risk is shown to be decreasing in the capital requirement, and increasing in the interest rate charged by the LLR. Moreover, when the LLR does not charge penalty rates, the bank chooses the same level of risk and a smaller liquidity buffer than in the absence of a LLR. Thus, in contrast with the general view, the existence of a LLR does not increase the incentives to take risk, while penalty rates do. |
| 主题 | Financial Economics
|
| 关键词 | Central bank
Lender of last resort
Penalty rates
Moral hazard
Bank supervision
Capital requirements
Deposit insurance
|
| URL | https://cepr.org/publications/dp4955
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533854
|
推荐引用方式
GB/T 7714 |
Rui Albuquerque,Neng Wang. DP4955 Agency Conflicts, Investment and Asset Pricing. 2005.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
