| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15841 |
| DP15841 The long-run effects of risk: an equilibrium approach | |
| Christiaan van der Kwaak; João Madeira; Nuno Palma | |
| 发表日期 | 2022-01-29 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Advanced economies tend to have large financial sectors which can be vulnerable to crises. We employ a DSGE model with banks featuring limited liability to investigate how risk shocks in the financial sector affect long-run macroeconomic outcomes. With full deposit insurance, banks expand balance sheets when risk increases, leading to higher investment and output. With no deposit insurance, we observe substantial drops in long-run credit provision, investment, and output. Reducing moral hazard by lowering the fraction of reimbursed deposits in case of bank default increases the probability of bank default in equilibrium. In equilibrium, the long-run probability of bank default under a regime with no deposit insurance is quadrupled with respect to the case where half of deposits are reimbursed by the government. These differences provide a novel argument in favor of deposit insurance. Our welfare analysis finds that increased risk reduces welfare, except when there is full deposit insurance. |
| 主题 | Macroeconomics and Growth ; Monetary Economics and Fluctuations |
| 关键词 | Financial intermediation Risk investment Regulation Endogenous leverage Limited liability Costly state verification Deposit insurance |
| URL | https://cepr.org/publications/dp15841-0 |
| 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/545905 |
| 推荐引用方式 GB/T 7714 | Christiaan van der Kwaak,João Madeira,Nuno Palma. DP15841 The long-run effects of risk: an equilibrium approach. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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