Collaborative Research: Financial Network Reactions to Regulations and Interventions

合作研究：金融网络对监管和干预的反应

• 批准号: 1919351
• 负责人: Selman Erol
• 金额: $ 19.8万
• 依托单位: Carnegie-Mellon University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2019
• 资助国家: 美国
• 起止时间: 2019-09-01 至 2023-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1919351&HistoricalAwards=false
• 关键词: Collaborative; Research; Financial; Network; Reactions

AbstractThe role of government interventions and regulations in the operation of the financial sector has important implications for the economy. This project explores how banking regulations and government interventions affect the interaction of banks. The project uses historical and modern data sources to analyze the changes in interbank relations in changing regulatory policy environments. The project considers that a banking network adjusts to the anticipation of government support in ways that makes the banking system more reliant on government support and more prone to less likely catastrophic events. Second, the project looks at the effects of opacity versus transparency by considering that banks operating with opacity support each other at times of distress without disturbing the broader economy and creating panics. Finally, the research looks at the implications of central clearing counterparties. Central clearing counterparties (CCP) are institutions that take counterparty risk to transactions and provide clearing and settlement services for them. This research explores how central clearing of derivatives enhances coordination among banks and prevents crises which can arise as coordination failures on clearing obligations.This project explores several research questions on the banking system and central clearing policies. First question explores how public liquidity provision affects the way banks relate to each other. The project constructs a theory on the effects of the public liquidity provisions by the Federal Reserve System (FED) and test the predictions of this theory utilizing historical data on the establishment of the FED in 1913. This research indicates that public liquidity provision by the FED indirectly creates the first shadow banking sector in the U.S., so that an unexpected contraction in public liquidity can induce systemic risk. Second research question explores recent regulations that mandate central clearing of derivatives and how these regulations affect the exposure and interconnections of different banks. This research constructs a theoretical model of derivatives which highlights a tradeoff. On the one hand, CCPs have the benefit of enhancing coordination across banks. On the other hand, CCPs operate partly as an exchange that improves market transparency, reducing bank insurance. Using detailed data that includes exposures of all banks in the U.S. to all other financial and non-financial institutions, this research explores how these tradeoffs interact in different layers of the banking network.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

摘要政府干预和监管在金融部门运作中的作用对经济具有重要影响。本项目探讨银行监管和政府干预如何影响银行之间的互动。该项目使用历史和现代数据来源，分析在不断变化的监管政策环境下银行间关系的变化。该项目认为，银行网络调整以适应对政府支持的预期，使银行系统更依赖政府支持，更容易发生不太可能发生的灾难性事件。其次，该项目着眼于不透明对透明度的影响，考虑到银行在陷入困境时相互支持，而不会扰乱整体经济，也不会造成恐慌。最后，研究着眼于中央清算对手方的影响。中央清算对手方(CCP)是承担交易对手风险并为交易提供清算和结算服务的机构。这项研究探讨了衍生品的中央清算如何加强银行之间的协调，并防止因清算义务的协调失败而出现的危机。本项目探索了关于银行系统和中央清算政策的几个研究问题。第一个问题是探讨公共流动性供应如何影响银行之间的相互关系。该项目构建了一个关于联邦储备系统(FED)公共流动性规定的影响的理论，并利用1913年美联储成立的历史数据来检验这一理论的预测。这项研究表明，美联储提供的公共流动性间接创造了美国第一个影子银行部门，因此公共流动性的意外收缩可能会引发系统性风险。第二个研究问题探讨了最近要求对衍生品进行集中清算的法规，以及这些法规如何影响不同银行的敞口和相互联系。本研究构建了一个衍生品交易的理论模型，突出了一种权衡。一方面，CCP的好处是加强了银行间的协调。另一方面，CCP在一定程度上是作为一个交易所运营的，它提高了市场透明度，降低了银行保险。这项研究使用了详细的数据，包括美国所有银行对所有其他金融和非金融机构的风险敞口，探索了这些权衡如何在银行网络的不同层面上相互作用。这一奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。