G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8822
DP8822 Caught between Scylla and Charybdis? Regulating bank leverage when there is rent-seeking and risk-shifting
Anjan Thakor; Viral Acharya; Hamid Mehran
发表日期2012-02-01
出版年2012
语种英语
摘要We consider a model in which banks face two moral hazard problems: 1) asset substitution by shareholders, which can occur when banks make socially-inefficient, risky loans; and 2) managerial under-provision of effort in loan monitoring. The privately-optimal level of bank leverage is neither too low nor too high: It efficiently balances the market discipline that owners of risky debt impose on managerial shirking in monitoring loans against the asset substitution induced at high levels of leverage. However, when correlated bank failures can impose significant social costs, regulators may bail out bank creditors. Anticipation of this action generates an equilibrium featuring systemic risk, in which all banks choose inefficiently high leverage to fund correlated, excessively risky assets. That is, regulatory forbearance itself becomes a source of systemic risk. Leverage can be reduced via a minimum equity capital requirement, which can rule out asset substitution. But this also compromises market discipline by making bank debt too safe. Optimal capital regulation requires that a part of bank capital be invested in safe assets and be attached with contingent distribution rights, in particular, be unavailable to creditors upon failure so as to retain market discipline and be made available to shareholders only contingent on good performance in order to contain risk-taking.
主题Financial Economics
关键词Market discipline Asset substitution Systemic risk Bailout
URLhttps://cepr.org/publications/dp8822
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/537658
推荐引用方式
GB/T 7714
Anjan Thakor,Viral Acharya,Hamid Mehran. DP8822 Caught between Scylla and Charybdis? Regulating bank leverage when there is rent-seeking and risk-shifting. 2012.
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