CIFRAM: EAGER: Regulating Systemic Risk

该项目将开发支持金融决策的工具。将考虑两种类型的决策：在金融危机之前对金融中介机构实施的规则和在危机期间进行的干预。作为本研究项目的一部分，将对一些政策进行评估：流动性要求、相互联系的限制、救助决定、在同一银行组织内合并风险分担和流动性分担活动的限制，以及联邦存款保险公司的保险。这个项目的智力价值来自于在同一框架内将相互关联的银行建模为企业和储户的贷款和保险提供者。在现有的文献中，金融中介要么提供贷款，要么提供保险。总体而言，研究将促进对银行不同业务职能之间协同效应的理解。该研究预计将帮助监管机构了解限制系统性风险的不同监管建议的成本和收益。该项目将解决多德-弗兰克金融改革法案中的一些政策问题。特别是，它将研究限制大型互联机构的成本和收益（第123和622条）以及流动性要求对系统风险的影响（第115和165条）。PI将制定一个理论框架，为借款人和有限责任公司提供私人信息的银行网络提供微观基础。这一框架将说明同一家银行应在何种条件下提供风险分担和流动性分担服务。该框架将使用一种机制设计方法来解决满足资源可行性约束，激励相容性约束和参与约束的三种类型的经济主体：风险中性银行家，风险中性公司和风险厌恶存款人的最优配置。利用银行间交易分享流动性的盈余之所以出现，是因为银行间的融资差异。利用银行间交易分担风险的盈余之所以出现，是因为企业项目回报的不完全相关性。银行家在监控公司时使用昂贵的国家核查。如果同一个机构同时向企业提供贷款和保险，这些成本就可以降低。在现有文献中，金融中介机构要么提供贷款，要么提供保险，但不是同时提供两者，而中介机构的风险分担和流动性分担职能之间没有这种互补性。社会规划者解决方案和分散解决方案之间的比较将确定不同组织设计对分配效率的影响以及最佳政府政策的作用。在我们的框架中，政府政策对应于对银行家可行行动的约束。流动性要求被建模为银行家的资金的最低分配到一个无风险的技术;对互联性的限制被建模为银行间转账的约束;对商业银行衍生品交易的限制被建模为银行不能使用国家或有合同。这些约束的成本和效益将通过比较分散的解决方案下的约束计划的解决方案进行评估。 PI将使用理论框架来量化金融监管对系统性风险的影响，并得出最佳的金融监管。该项目的网址（http：www.regsystemicrisk.net）提供了进一步的信息和研究结果，EAGER是通过财政部、金融研究办公室和国家科学基金会之间的谅解备忘录供资的。

This project will develop tools to support financial policymaking. Two types of policymaking will be considered: rules that are imposed on financial intermediaries prior to a financial crisis and an intervention that takes place during a crisis. A number of policies will be evaluated as part of this research project: liquidity requirements, limits on interconnectedness, bailout decisions, restrictions on combining risk-sharing and liquidity-sharing activities within the same banking organization, and FDIC insurance. The intellectual merit of this project comes from modeling interconnected banks as providers of loans and insurance to firms and depositors in the same framework. In the existing literature, financial intermediaries either provide loans or insurance. Overall, the research will advance the understanding of the synergies between different business functions of banks. The research is expected to help regulators with understanding the costs and benefits of different regulatory proposals to limit systemic risk. The project will address a number of policy questions in the Dodd-Frank Financial Reform Act. In particular it will study the costs and benefits of restrictions on large interconnected institutions (Sections 123 and 622) and the effect of liquidity requirements on systemic risk (Sections 115 and 165). The PIs will develop a theoretical framework to provide a microfoundation for banking networks in the presence of private information on the part of borrowers and limited liability. This framework will characterize the conditions under which risk-sharing and liquidity-sharing services should be provided by the same bank. The framework will use a mechanism design approach to solve for optimal allocations that satisfy resource feasibility constraints, incentive compatibility constraints, and participation constraints of three types of economic agents: risk-neutral bankers, risk-neutral firms, and risk-averse depositors. The surplus from liquidity sharing using interbank trade emerges because of differences in funding across banks. The surplus from risk sharing using interbank trade emerges because of imperfect correlation in returns on firms' projects. Bankers use costly state verification when they monitor firms. These costs can be reduced if the same institution provides both loans and insurance to firms. These complementarities between the risk sharing and the liquidity sharing functions of intermediaries are absent from the existing literature in which financial intermediaries either provide loans or insurance, but not both. The comparison between the social planner's solution and the decentralized solution will identify the effect of different organizational designs on the efficiency of the allocation and a role for optimal government policy. Government policies correspond in our framework to constraints on bankers' feasible actions. Liquidity requirements are modeled as a minimum allocation of bankers' funds to a risk-free technology; limits on interconnectedness are modeled as constraints on interbank transfers; and a restriction on commercial banks derivatives trading is modeled as banks' inability to use state-contingent contracts. The costs and benefits of these constraints will be assessed by comparing the decentralized solution under constraints to the planner's solution. The PIs will use the theoretical framework to quantify effects of financial regulation on systemic risk and to derive the optimal financial regulation. The project web site (http://www.regsystemicrisk.net) provides access to further information and research results.The EAGER is funded through a Memorandum of Understanding between the Department of the Treasury, Office of Financial Research and NSF.