| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14055 |
| DP14055 Insolvency-Illiquidity, Macro Externalities and Regulation | |
| Ester Faia | |
| 发表日期 | 2019-10-15 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper studies the optimal design of equity and liquidity regulations in a dynamic macro model with information-based bank runs. Although the latter are privately efficient, since they discipline bank managers efforts into the projects' re-deploying activity, they induce aggregate externalities. Technological inefficiencies arise if bank managers extract rents which are higher than the technological costs of re-deploying projects. Pecuniary externalities arise since, when choosing leverage, bank managers do not internalize the fall in asset price ensuing from the aggregate costs of projects' liquidation in a run event. This creates scope for regulation. Equity and liquidity requirements are complementary, as the first tackles the solvency region, while the second the illiquid-solvent one. Finally, in presence of anticipatory effects prudential policies may have unintended consequences as banks adjust their behaviour when a shift in prudential regime is announced. The more so the higher the credibility of the announcement. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Information-based bank runs Pecuniary externalities Ramsey plan Basel regimes Equity requirements Liquidity requirements |
| URL | https://cepr.org/publications/dp14055 |
| 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/542943 |
| 推荐引用方式 GB/T 7714 | Ester Faia. DP14055 Insolvency-Illiquidity, Macro Externalities and Regulation. 2019. |
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