| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8822 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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