| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12689 |
| DP12689 Market Discipline and Systemic Risk | |
| Alan Morrison; Ansgar Walther | |
| 发表日期 | 2018-02-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We analyze a general equilibrium model in which financial institutions generate endogenous systemic risk, even in the absence of any government support. Banks optimally select correlated investments and thereby expose themselves to fire sale risk so as to sharpen their incentives. Systemic risk is therefore a natural consequence of banks' fundamental role as delegated monitors. Our model sheds light on recent and historical trends in measured systemic risk. Technological innovations and government-directed lending can cause surges in systemic risk. Strict capital requirements and well-designed government asset purchase programs can combat systemic risk. |
| 主题 | Financial Economics |
| 关键词 | Systemic risk Market discipline Return correlation Macro-prudential regulation |
| URL | https://cepr.org/publications/dp12689 |
| 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/541501 |
| 推荐引用方式 GB/T 7714 | Alan Morrison,Ansgar Walther. DP12689 Market Discipline and Systemic Risk. 2018. |
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