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Optimal Prudential Regulation of Banks and the Political Economy of Supervision
Tressel, Thierry; Verdier, Thierry - C.E.P.R. Discussion Papers - 2014
We consider a moral hazard economy with the potential for collusion between bankers and borrowers to study how incentives for risk taking are affected by the quality of supervision. We show that low interest rates or a low return on investment may generate excessive risk taking. Because of a...
Persistent link: https://www.econbiz.de/10011084111
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The Macroeconomics of Modigliani-Miller
Gersbach, Hans; Haller, Hans; Müller, Jürg - C.E.P.R. Discussion Papers - 2013
We examine the validity of a macroeconomic version of the Modigliani-Miller theorem. For this purpose, we develop a general equilibrium model with two production sectors, risk-averse households and financial intermediation by banks. Banks are funded by deposits and (outside) equity and monitor...
Persistent link: https://www.econbiz.de/10011084423
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Optimal Interventions in Markets with Adverse Selection
Philippon, Thomas; Skreta, Vasiliki - C.E.P.R. Discussion Papers - 2010
We study interventions to restore efficient lending and investment when financial markets fail because of adverse selection. We solve a design problem where the decision to participate in a program offered by the government can be a signal for private information. We charac terize optimal...
Persistent link: https://www.econbiz.de/10008468692
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When Everyone Runs for the Exit
Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009
The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...
Persistent link: https://www.econbiz.de/10005082543
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Stories of the Twentieth Century for the Twenty-First
Gourinchas, Pierre-Olivier; Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2011
A key precursor of twentieth-century financial crises in emerging and advanced economies alike was the rapid buildup of leverage. Those emerging economies that avoided leverage booms during the 2000s also were most likely to avoid the worst effects of the twenty-first century’s first global...
Persistent link: https://www.econbiz.de/10009201122
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A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints
Mankart, Jochen; Michaelides, Alexander; Pagratis, Spyros - C.E.P.R. Discussion Papers - 2014
are highly procyclical, bank failures strongly countercyclical and increasing in leverage. Tightening capital requirements …
Persistent link: https://www.econbiz.de/10011145408
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Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy
Landier, Augustin; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2014
behavior following monetary policy shocks. In a first step, we show that the sensitivity of bank profits to interest rates … income gap also predicts the sensitivity of bank lending to interest rates, both for commercial & industrial loans and for … mortgages. Quantitatively, a 100 basis point increase in the Fed funds rate leads a bank at the 75th percentile of the income …
Persistent link: https://www.econbiz.de/10011145414
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Betting the House
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014
Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...
Persistent link: https://www.econbiz.de/10011145419
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Capital Regulation in a Macroeconomic Model with Three Layers of Default
Clerc, Laurent; Derviz, Alexis; Mendicino, Caterina; … - C.E.P.R. Discussion Papers - 2014
We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending....
Persistent link: https://www.econbiz.de/10011145438
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Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - C.E.P.R. Discussion Papers - 2015
the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign …
Persistent link: https://www.econbiz.de/10011196038