Toothless tiger with claws? Financial stability communication, expectations, and risk-taking *

• 成果类型: Article
• 署名作者: Beutel, Johannes; Metiu, Norbert; Stockerl, Valentin
• 署名单位: Deutsche Bundesbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.03.003
• 发表日期: 2021
• 页码: 53-69
• 关键词: central bank communication; Financial stability; Stock market expectations; Bank runs; Randomized information experiment

摘要

Central bank communication about financial stability causally affects individuals' beliefs and risk-taking behavior, consistent with an expectations channel of financial stability communication. Individuals receiving a warning from the central bank in a randomized information experiment expect a higher probability of a financial crisis and reduce their demand for risky assets. This reduction is driven by downward revisions in individuals' expected Sharpe ratios due to lower expected returns and higher perceived downside risks. In addition, these individuals deposit a smaller fraction of their savings at riskier banks. (c) 2021 Elsevier B.V. All rights reserved.