A Macroeconomic Model of Endogenous Systemic Risk Taking

We analyze banks' systemic risk taking in a simple dynamic general equilibrium model. Banks collect funds from savers and make loans to firms. Banks are owned by risk-neutral bankers who provide the equity needed to comply with capital requirements. Bankers decide their (unobservable) exposure to systemic shocks by trading off risk-shifting gains with the value of preserving their capital after a systemic shock. Capital requirements reduce credit and output in

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Year of publication:	2012-09
Authors:	Martinez-Miera, David ; Suarez, Javier
Institutions:	C.E.P.R. Discussion Papers
Subject:	Capital requirements \| Credit cycles \| Financial crises \| Macroprudential policies \| Risk shifting \| Systemic risk

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9134
Classification:	E44 - Financial Markets and the Macroeconomy ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011084432