CIFRAM: EAGER: Regulating Systemic Risk

该项目将开发支持金融政策制定的工具。将考虑两种类型的政策制定：在金融危机之前强加于金融中介机构的规则和在危机期间进行的干预。作为这一研究项目的一部分，将对一些政策进行评估：流动性要求、对相互关联的限制、救助决定、限制在同一银行组织内将风险分担和流动性分担活动结合在一起，以及FDIC保险。这个项目的智力优势来自于将相互关联的银行建模为在同一框架内向公司和储户提供贷款和保险的机构。在现有文献中，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。预计这项研究将帮助监管机构理解不同监管提议的成本和收益，以限制系统性风险。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，它将研究限制大型相互关联机构的成本和收益(第123和622节)，以及流动性要求对系统性风险的影响(第115和165节)。投资促进机构将制定一个理论框架，在借款人和有限责任方面存在私人信息的情况下，为银行网络提供微观基础。这一框架将确定风险分担和流动性分担服务应由同一家银行提供的条件。该框架将使用一种机制设计方法来求解满足资源可行性约束、激励相容约束和三类经济主体的参与约束的最优配置：风险中性的银行家、风险中性的企业和风险厌恶的储户。通过银行间交易分享流动性所产生的盈余，是由于银行间融资的差异造成的。利用银行间交易分担风险所产生的盈余是由于公司项目收益的不完全相关性造成的。银行家在监控公司时会使用代价高昂的国家验证。如果同一家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，而不是两者兼而有之，在这些文献中，中介机构的风险分担和流动性分担职能之间缺乏这种互补性。比较社会规划者的解决方案和分散的解决方案，将确定不同的组织设计对分配效率的影响以及最优政府政策的作用。在我们的框架中，政府政策与对银行家可行行动的限制相对应。流动性要求被建模为将银行家的资金最低配置到一种无风险技术；对互联互通的限制被建模为对银行间转账的限制；对商业银行衍生品交易的限制被建模为银行无法使用国家或有合约。这些约束的成本和收益将通过将约束下的分散解决方案与规划者的解决方案进行比较来评估。PIs将使用该理论框架来量化金融监管对系统性风险的影响，并得出最优的金融监管。该项目的网站(http://www.regsystemicrisk.net))提供了进一步的信息和研究结果。EIGER由财政部、金融研究办公室和国家科学基金会之间的谅解备忘录资助。

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.