Systemic Risk in Financial Intermediation: An International Perspective

摘要题目：金融中介的系统性风险：国际视角加利福尼亚大学戴维斯分校和美国国家经济研究局最近的金融危机引发了激烈的政策辩论，争论的焦点是监管在美国和世界范围内大型贷款机构的增长和扩张中所扮演的适当角色。政策辩论的速度远远超过了经济理论，经济理论仍然没有提供一个模型来描述一系列规模不同、在宏观经济中具有战略竞争（伯特兰）的银行。需要对大量不同类型的银行进行建模，每家银行对贷款成本设定自己的竞争性加价，这是一项严重的技术挑战。本项目利用异质企业理论的最新进展来填补概念上的空白，并提出一个新的政策分析框架。该项目为评价增加最大银行的市场份额对贷款定价和宏观经济稳定的影响提供了一个新的理论框架。银行业的现有模型(1)要求银行相同或外生性地将其数量限制在两到三家；(2)预测，在贷款定价时，集中度的提高与市场力量的增强是一致的。实证研究发现，集中度与银行向借款人收取的资金成本加价（衡量市场力量的常用指标）之间存在微弱联系，或者根本没有联系。本项目利用各银行资产负债表上的跨国数据生成相关的风格化事实，并利用这些数据构建一个新的建模框架，该框架涵盖了大国与小国、金融发达国家与欠发达国家的截然不同的情况。其目标是推导和量化银行头重头轻分布的宏观经济影响，特别是银行规模与总信贷供应和国内生产总值（gdp）波动之间的关系。该项目更广泛的影响是它对监管政策的指导。该项目的中心主题是，在评估大型银行的作用时，一种标准并不适用于所有人。提高资本要求可能对贷款成本没有影响，对大国或财政高度发达国家的市场集中度或宏观经济波动影响不大，但在小国或财政不太发达国家却可能增加借贷成本和宏观经济波动。金融部门的创新既可以增加获得信贷的机会，也可以增加宏观经济的波动性，这对政策制定者来说是一种权衡。本研究中的新模型和经验将量化这些关键的细微差别，以进行更准确的成本效益分析。

AbstractTitle: Systemic Risk in Financial Intermediation: An international perspectiveProposal Number: SES - 1227613Katheryn N. RussUniversity of California, Davis andNational Bureau of Economic ResearchThe recent financial crisis prompted intense policy debate over the appropriate role for regulation in the growth and reach of large lending institutions in the U.S. and worldwide. The policy debate has far outpaced economic theory, which still provides no models featuring an array of banks that vary in size and strategically (Bertrand) compete in the macroeconomy. The need to model a large number of heterogeneous banks, each setting its own competitive markup over lending costs, has presented a serious technical challenge. This project uses recent advances in the theory of heterogeneous firms to fill the conceptual gap and present a new framework for policy analysis.The project provides a new theoretical framework for evaluating the effects of increasing the market share of the largest banks on the pricing of loans and on macroeconomic stability. Existing models of the banking sector (1) require banks to be identical or exogenously limit their number to two or three and (2) predict that increasing concentration coincides with increasing market power when pricing loans. Empirical studies find a weak link or no link at all between concentration and the markups that banks charge borrowers over the cost of funds, a common measure of market power. This project exploits cross-country data on individual bank balance sheets to generate relevant stylized facts and uses them to construct a new modeling framework that encompasses the very different circumstances of large versus small and financially developed versus less developed countries. The goal is to derive and quantify the macroeconomic implications of a top-heavy distribution of banks, in particular the relationship between bank size and volatility in the aggregate credit supply and the gross domestic product.The broader impact of the project is its guide for regulatory policy. The central theme of the project is that one size does not fit all when it comes to evaluating the role of large banks. Increasing capital requirements may have no impact on the cost of loans and little impact on market concentration or macroeconomic volatility in large or highly financially developed countries, yet can increase both borrowing costs and macroeconomic volatility in small or less financially developed countries. Innovation in the financial sector can increase both access to credit and macroeconomic volatility, presenting a tradeoff for policymakers. The new modeling and empirics in this study will quantify these crucial nuances for more accurate cost-benefit analysis.