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We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic...
Persistent link: https://www.econbiz.de/10012980515
This paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long-term projects. In the prevailing mixed-strategy equilibrium, the allocation is inferior from the investor's point of view...
Persistent link: https://www.econbiz.de/10013142106
We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors’ preference for short maturities with the risk of systemic crises. Pecuniary...
Persistent link: https://www.econbiz.de/10013248883
The paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long term projects. In the prevailing mixed strategy equilibrium the allocation is inferior from the investor's point of view since...
Persistent link: https://www.econbiz.de/10003951791
We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...
Persistent link: https://www.econbiz.de/10011974655
There is a current controversy concerning the appropriate size of capital requirements for banks to mitigate systemic losses. We are the first in kind to quantify the size of capital buffers required to reduce systemic losses using loan loss provisions data for Australian banks from 2002 to 2014...
Persistent link: https://www.econbiz.de/10012999381
We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking...
Persistent link: https://www.econbiz.de/10011662933
The objective of this paper is to examine the impact of the new banking regulation on the European Union real economic activity in the period following the global financial crisis using a sample of 22 listed banking groups with high systemic importance, using dynamic panel models with a one-step...
Persistent link: https://www.econbiz.de/10014466503
We study bailouts of banks that suffer from debt overhang problems and have private information about the quality of their assets-in-place and new investment opportunities. Menus of bailout plans are used as a screening device. Constrained-optimality involves over capitalization and nonlinear...
Persistent link: https://www.econbiz.de/10003979517
How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different...
Persistent link: https://www.econbiz.de/10012847227