The safer, the riskier: A model of financial instability and bank leverage
The safer, the riskier: A model of financial instability and bank leverage
复制标题
越安全，风险就越大：金融不稳定和银行杠杆的模型
DOI：
10.1016/j.econmod.2015.04.016
复制
发表时间：
2016
影响因子：
4.7
通讯作者：
Ryo Kato and Takayuki Tsuruga
中科院分区：
文献类型：
--
作者：
T. U. Sato;K. Kaneko;A. Mitsuishi and T. Yamaguchi;Ryo Kato and Takayuki Tsuruga
我们研究了银行杠杆的作用，以解释为什么2007-2008年金融危机发生在经济似乎不那么容易受到危机风险影响的时候。为此，我们将Diamond和Rajan（2012）引入的模型扩展为金融危机概率内生变化的变体。在我们的模型中，总流动性冲击在促成危机中起着关键作用，因为高杠杆银行体系中的高流动性需求可能会使经济面临更大的危机风险。我们考虑一个“安全”环境的例子，其中流动性需求往往平均较低。通过数值分析，我们发现“更安全”的环境可以激励银行提高杠杆率，从而导致银行体系更容易受到流动性冲击的影响。
We examine the role of bank leverage to explain why the 2007–2008 financial crisis unfolded at a time when the economy appears to be less fragile to crisis risks. To this end, we extend the model introduced by Diamond and Rajan (2012) to a variant where the probability of financial crises varies endogenously. In our model, aggregate liquidity shock plays a key role in precipitating a crisis because high liquidity demand in a highly leveraged banking system is likely to expose the economy to greater crisis risks. We consider an example of a “safe” environment where liquidity demand tends to be low on average. Using numerical analysis, we show that the “safer” environment could incentivize banks to raise their leverage, resulting in a banking system that is more vulnerable to liquidity shocks.