| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10378 |
| DP10378 Bank Capital, Liquid Reserves, and Insolvency Risk | |
| Erwan Morellec; Julien Hugonnier | |
| 发表日期 | 2015-02-01 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We develop a dynamic model to assess the effects of liquidity and leverage requirements on banks' insolvency risk. The model features endogenous capital structure, liquid asset holdings, payout, and default decisions. In the model, banks face taxation, flotation costs of securities, and default costs. They are financed with equity, insured deposits, and risky debt. Using the model, we show that liquidity requirements have no long-run effects on default risk but may increase it in the short-run; leverage requirements reduce default risk but may significantly reduce bank value; mispriced deposit insurance fuels default risk while depositor preference in default decreases it. |
| 主题 | Financial Economics |
| 关键词 | Banks Liquidity buffers Capital structure Insolvency risk Regulation |
| URL | https://cepr.org/publications/dp10378 |
| 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/539209 |
| 推荐引用方式 GB/T 7714 | Erwan Morellec,Julien Hugonnier. DP10378 Bank Capital, Liquid Reserves, and Insolvency Risk. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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