Banks funding, leverage, and investment

• 成果类型: Article
• 署名作者: Barattieri, Alessandro; Moretti, Laura; Quadrini, Vincenzo
• 署名单位: University of Quebec; University of Quebec Montreal; European Central Bank; University of Southern California; Peking University; Center for Economic & Policy Research (CEPR); European Central Bank; Central Bank of Ireland
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.022
• 发表日期: 2021
• 页码: 148-171
• 关键词: Market funding; leverage; Bank crises

摘要

Banks' funding sources have changed significantly during the last two decades. The share of non-core funding (NCF) was high before the 2008 crisis but declined substantially after the crisis. We propose a general equilibrium model where NCF provides insurance against idiosyncratic risks faced by banks. Insurance makes leverage and investment more attractive, but it also increases the vulnerability of the banking sector to crises. We show that learning about the likelihood of a crisis could have been important for generating the observed dynamics of NCF and leverage, which in turn affected the dynamics of the macro economy. (c) 2021 Elsevier B.V. All rights reserved.