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Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales
Başlık:
Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales
Yazar:
Rosen, Samuel, author.
ISBN:
9780438033795
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (91 pages)
Genel Not:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Advisors: Mariano M. Croce Committee members: Yasser Boualam; Itay Goldstein; Yunzhi Hu; Christian T. Lundblad.
Özet:
In a model with heterogeneous banks and endogenous fire sales, the tightening of bank capital regulation can aggravate fire sales, leading to larger bank losses and higher systemic risk. When calibrated to the data, the least costly policies to mitigate systemic risk raise both ex ante capital requirements and ex post shortfall penalties. These policies also assign relatively higher capital requirements to banks that can better offset price declines during a fire sale, consistent with the recently implemented capital surcharge for global systemically important banks (G-SIBs). My findings provide further support for leading-edge macroprudential tools, including stress tests and countercyclical capital buffers.
Notlar:
School code: 0153
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(678723.1) | 678723-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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