Central Bank Policy and the concentration of risk: Empirical estimates

• 成果类型: Article
• 署名作者: Coimbra, Nuno; Kim, Daisoon; Rey, Helene
• 署名单位: European Central Bank; Bank of France; North Carolina State University; University of London; London Business School; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.08.002
• 发表日期: 2022
• 页码: 182-198
• 关键词: Bank regulation; Financial cycle; leverage; monetary policy; risk-taking; Systemic risk

摘要

Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary policymakers confront the trade-off between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability. (C) 2021 The Authors. Published by Elsevier B.V.