| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7161 |
| DP7161 Estimating the Effect of a Gasoline Tax on Carbon Emissions | |
| Lutz Kilian; Lucas W Davis | |
| 发表日期 | 2009-02-23 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited liability of banks and the presence of a negative externality of one bank?s failure on the health of other banks give rise to a systemic risk-shifting incentive where all banks undertake correlated investments, thereby increasing economy-wide aggregate risk. Regulatory mechanisms such as bank closure policy and capital adequacy requirements that are commonly based only on a bank?s own risk fail to mitigate aggregate risk-shifting incentives, and can, in fact, accentuate systemic risk. Prudential regulation is shown to operate at a collective level, regulating each bank as a function of both its joint (correlated) risk with other banks as well as its individual (bank-specific) risk. |
| 主题 | Financial Economics |
| 关键词 | Bank regulation Capital adequacy Crisis Risk-shifting Systemic risk |
| URL | https://cepr.org/publications/dp7161 |
| 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/536007 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Lucas W Davis. DP7161 Estimating the Effect of a Gasoline Tax on Carbon Emissions. 2009. |
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