Optimal Regulation of Financial Intermediaries

• 成果类型: Article
• 署名作者: Di Tella, Sebastian
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20161488
• 发表日期: 2019
• 页码: 271-313
• 关键词: continuous-time; security design; asset; equilibrium; MODEL; RISK; externalities; INEFFICIENCY; performance; EFFICIENCY

摘要

I characterize the optimal financial regulation policy in an economy where financial intermediaries trade capital assets on behalf of households, but must retain an equity stake to align incentives. Financial regulation is necessary because intermediaries cannot be excluded from privately trading in capital markets. They don't internalize that high asset prices force everyone to bear more risk. The socially optimal allocation can be implemented with a tax on asset holdings. I derive a sufficient statistic for the externality and use market data on leverage and volatility of intermediaries' equity to measure it.