Optimal bailouts and the doom loop with a financial network
Optimal bailouts and the doom loop with a financial network
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DOI：
10.1016/j.jmoneco.2022.03.004
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发表时间：
2022-01-01
影响因子：
4.1
通讯作者：
Stiglitz, Joseph E.
中科院分区：
文献类型：
--
作者：
Capponi, Agostino;Corell, Felix;Stiglitz, Joseph E.
银行通常持有大量国内债务，这使它们容易受到本国主权债务违约风险的影响。与此同时，当银行业陷入困境时，政府往往会求助于代价高昂的救助。我们研究了在这种“厄运循环”下，银行业内部的网络结构和主权债务所有权分布如何共同影响最优救助政策。我们认为，如果这些银行足够集中，那么救助国内主权风险敞口高的银行是最优的，尽管这需要比救助其他相同的低风险敞口银行更大的救助支出。我们的模型说明了“厄运循环”如何加剧“相互关联而不能失败”的问题。(C)2022爱思唯尔有限公司版权所有。
Banks usually hold large amounts of domestic debt which makes them vulnerable to their own sovereign's default risk. At the same time, governments often resort to costly bailouts when their banking sector is in trouble. We investigate how the network structure and the distribution of sovereign debt ownership within the banking sector jointly affect the optimal bailout policy under this "doom loop". We argue that rescuing banks with high domestic sovereign exposure is optimal if these banks are sufficiently central, even though that requires larger bailout expenditures than rescuing otherwise identical low-exposure banks. Our model illustrates how the "doom loop" exacerbates the "too interconnected to fail" problem. (C) 2022 Elsevier B.V. All rights reserved.