| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10299 |
| DP10299 A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints | |
| Alexander Michaelides | |
| 发表日期 | 2014-12-14 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We estimate the structural parameters of a quantitative banking model featuring maturity transformation and endogenous failures in the presence of undiversifiable background risk and regulatory constraints. Pervasive balance sheet cross-sectional heterogeneity can be rationalized with idiosyncratic shocks and differential access to wholesale funding markets. Moreover, loans are highly procyclical, bank failures strongly countercyclical and increasing in leverage. Tightening capital requirements increases precautionary equity but results in higher failures because equity rises proportionately less than the capital ratio requirement change. The endogenous fall in the expected return on equity lowers the incentive to further increase precautionary equity. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Bank failures Bank leverage Capital requirements Uninsurable risks |
| URL | https://cepr.org/publications/dp10299 |
| 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/539131 |
| 推荐引用方式 GB/T 7714 | Alexander Michaelides. DP10299 A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints. 2014. |
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