Strategic Complementarity, Fragility, and Regulation

• 成果类型: Article
• 署名作者: Vives, Xavier
• 署名单位: University of Navarra; IESE Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu064
• 发表日期: 2014
• 页码: 3547
• 关键词: backed commercial paper; Bank runs; Coordination failures; public information; Financial crisis; moral hazard; LAST RESORT; liquidity; panics; MODEL

摘要

Fragility is affected by how the balance sheet composition of financial intermediaries, the precision of information signals, and market stress parameters all influence the extent of strategic complementarity among investors' strategies. A solvency and a liquidity ratio are required to control the likelihood of insolvency and illiquidity. The solvency requirement must be strengthened in the face of increased competition, whereas the liquidity requirement must be strengthened under more conservative fund managers and higher penalties for fire sales. Greater disclosure may aggravate fragility and require an increase in the liquidity ratio, so regulators should establish prudential and disclosure policies in tandem.