Work

A Macroeconomic Model of Endogenous Systemic Risk Taking

Year: 2012

Type: preprint

Abstract: We analyze banks' systemic risk taking in a simple dynamic general equilibrium model. Banks collect funds from savers and make loans to firms. Banks are owned by risk-neutral bankers who provide the equity needed to comply with capital requirements. Bankers decide their (unobservable) exposure to systemic shocks by trading off risk-shifting gains with the value of preserving their capital after a systemic shock. Capital requirements reduce credit and output in

Source: SSRN Electronic Journal

Authors: David Martínez-Miera, Javier Suárez

Institutions: Centre for Economic Policy Research, Universidad Carlos III de Madrid, Centro de Estudios Monetarios y Financieros

Language: English

Topic: Banking stability, regulation, efficiency

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W130685880

Cites: 44

Cited by: 51

Related to: 10