| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16221 |
| DP16221 Central Bank Policy and the Concentration of Risk: Empirical Estimates | |
| Nuno Coimbra; Daisoon Kim; Helene Rey | |
| 发表日期 | 2021-06-03 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary policymakers confront the trade-off between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp16221-0 |
| 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/545190 |
| 推荐引用方式 GB/T 7714 | Nuno Coimbra,Daisoon Kim,Helene Rey. DP16221 Central Bank Policy and the Concentration of Risk: Empirical Estimates. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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