Transparency in the Financial System: Rollover Risk and Crises

• 成果类型: Article
• 署名作者: Bouvard, Matthieu; Chaigneau, Pierre; de Motta, Adolfo
• 署名单位: McGill University; Universite de Montreal; HEC Montreal
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12270
• 发表日期: 2015
• 页码: 1805-1837
• 关键词: social value; public information; Bank runs; COORDINATION; equilibrium; PRIVATE; MODEL; debt

摘要

We present a theory of optimal transparency when banks are exposed to rollover risk. Disclosing bank-specific information enhances the stability of the financial system during crises, but has a destabilizing effect in normal economic times. Thus, the regulator optimally increases transparency during crises. Under this policy, however, information disclosure signals a deterioration of economic fundamentals, which gives the regulator ex post incentives to withhold information. This commitment problem precludes a disclosure policy that provides ex ante optimal insurance against aggregate shocks, and can result in excess opacity that increases the likelihood of a systemic crisis.