Illiquidity, Insolvency, and Bank Regulation

在这个项目中，我们计划扩大我们对金融机构之间的相互联系对微观和宏观金融稳定的作用的研究。在优先计划的第一阶段，我们为系统性流动性冲击提供了一个监管分析框架，重点关注银行的投资决策，从而关注资产负债表的资产方面构成。扩展这项工作，我们计划开发一个银行业的微型基础结构，对银行的资产和负债选择进行建模。我们的模型将允许同业机构之间通过银行间拆借进行互动，并捕捉(微观审慎)监管措施的全行业影响，同时还允许内生资产负债表调整。通过明确考虑(经验上可观察到的)市场结构，我们将不仅能够研究银行业应对经济冲击或宏观审慎监管的动态，而且还能够研究微观审慎监管的宏观影响，例如巴塞尔协议III框架提出的那样。将这两种观点统一起来，对于监管的理论基础以及未来政策工具的发展至关重要。最后，我们计划分析央行在经济中管理货币供应方面的积极作用，重点是中央银行货币政策和银行投资决策之间的战略反馈，旨在分析货币作为安全资产的作用。

In this project, we plan to extend our research on the role of inter-linkages between financial institutions for both micro and macro financial stability. During the first period of the priority program, we provided a framework for regulatory analysis of systemic liquidity shocks, focussing on investment decisions of banks and hence on the asset side composition of balance sheets. Extending that work, we plan develop a micro-founded setup of the banking industry modelling both asset and liability choices of banks. Our model will allow for interactions between peer institutions through interbank lending and capture industry-wide effects of (micro-prudential) regulatory measures, while also allowing for endogenous balance sheet adjustments. By taking explicit consideration for (empirically observable) market structure we will be in the position to not only study banking industry dynamics in response to economic shock or macro-prudential regulation but also to the macro effects of micro-prudential regulation, as for example proposed by the Basel III framework. Unifying these two perspectives is of key importance for a theoretical foundation of regulation, as well as for future development of policy tools. Finally, we plan to analyze the active role central banks take in managing money supply in the economy, focusing on the strategic feedback between central banks monetary policy and banks investment decisions aiming to analyze the role of money as safe asset.