Market Discipline and Systemic Risk

• 成果类型: Article
• 署名作者: Morrison, Alan D.; Walther, Ansgar
• 署名单位: University of Oxford; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Imperial College London
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3248
• 发表日期: 2020
• 页码: 764-782
• 关键词: systemic risk; MARKET DISCIPLINE; return correlation; Macro-prudential regulation

摘要

We analyze a general equilibrium model in which financial institutions generate endogenous systemic risk Banks optimally select correlated investments and thereby expose themselves to fire sale risk so as to sharpen their incentives. Systemic risk is therefore a natural consequence of banks' fundamental role as delegated monitors. Our model sheds light on recent and historical trends in measured systemic risk. Technological innovations and government-directed lending can cause surges in systemic risk. Strict capital requirements and well-designed government-asset purchase programs can combat systemic risk.