The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle
The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle
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DOI：
10.1016/j.jfineco.2012.05.014
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发表时间：
2012-11-01
影响因子：
8.9
通讯作者：
Naqvi, Hassan
中科院分区：
文献类型：
--
作者：
Acharya, Viral;Naqvi, Hassan
我们研究了当流动性充足时，银行业如何引发资产价格泡沫的形成。在银行内部，为了激励信贷员的努力，信贷员的报酬是根据贷款量来确定的。基于数量的薪酬也会导致更大的风险承担；然而，由于缺乏承诺，只有当银行遭受足够严重的流动性短缺时，信贷员才会受到事后处罚。在银行之外，当宏观经济风险加剧时，投资者会减少直接投资并持有更多银行存款。这种“逃向优质资产”导致银行流动性充裕，降低了银行家收益对下行风险的敏感度，并导致信贷量过多和资产价格泡沫。危机的种子就这样埋下了。 (C) 2012 Elsevier B.V. 保留所有权利。
We examine how the banking sector could ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, to induce effort, loan officers are compensated based on the volume of loans. Volume-based compensation also induces greater risk taking; however, due to lack of commitment, loan officers are penalized ex post only if banks suffer a high enough liquidity shortfall. Outside banks, when there is heightened macroeconomic risk, investors reduce direct investment and hold more bank deposits. This 'flight to quality' leaves banks flush with liquidity, lowering the sensitivity of bankers' payoffs to downside risks and inducing excessive credit volume and asset price bubbles. The seeds of a crisis are thus sown. (C) 2012 Elsevier B.V. All rights reserved.