A Tax on Systemic Risk
A Tax on Systemic Risk
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对系统性风险征税
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
M. Richardson
中科院分区：
文献类型：
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作者：
V. Acharya;L. Pedersen;Thomas Philippon;M. Richardson
我们主张，金融部门的系统性风险需要监管，使用基于Acharya，Pedersen，Philippon和Richardson（2009 a）的单个金融公司对系统性风险的贡献的衡量标准。我们建议，每个金融公司都应该被收取“税”的基础上，其预期损失的发生条件的系统性危机。在我们的首选方法中，单个公司将被要求购买或有资本保险，即针对系统性危机期间遭受的损失的保险。这种保险的成本决定了公司的系统风险税。我们讨论了为什么这种保险的公私联合提供有正确的激励属性，让金融部门内部化系统性风险。我们提供了一个例子，如何计算这样的系统性风险税，并讨论了它与其他或有资本的建议，如强制债转股的关系。
We advocate that systemic risk of the financial sector needs to be regulated, using a measure of an individual financial firm’s contribution to systemic risk that is based on Acharya, Pedersen, Philippon, and Richardson (2009a). We propose that each financial firm should be charged a “tax” based on its expected loss conditional on the occurrence of a systemic crisis. In our preferred approach, individual firms would be required to purchase contingent capital insurance, that is, insurance against the losses they incur during systemic crises. The cost of this insurance determines the firm’s systemic risk tax. We discuss why a joint privatepublic provision of such insurance has the right incentive properties to get the financial sector to internalize systemic risk. We provide an example of how such a systemic risk tax could be calculated and also discuss its relationship to other contingent capital proposals such as forced debt-for-equity conversions.