Shadow Banking and Market Discipline on Traditional Banks.:
We present a model in which shadow banking arises endogenously and undermines market discipline on traditional banks. Depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally commit to a safe portfolio strategy to prevent ear...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
[2017]
|
| Schriftenreihe: | IMF working paper ;
WP/17/285. |
| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 |
| Zusammenfassung: | We present a model in which shadow banking arises endogenously and undermines market discipline on traditional banks. Depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally commit to a safe portfolio strategy to prevent early withdrawals. With costly commitment, shadow banking emerges as an alternative banking strategy that combines high risk-taking with early liquidation in times of crisis. We bring the model to bear on the 2008 financial crisis in the United States, during which shadow banks experienced a sudden dry-up of funding and liquidated their assets. We derive an equilibrium in which the shadow banking sector expands to a size where its liquidation causes a fire-sale and exposes traditional banks to liquidity risk. Higher deposit rates in compensation for liquidity risk also weaken threats of early withdrawal and traditional banks pursue risky portfolios that may leave them in default. Policy interventions aimed at making traditional banks safer such as liquidity support, bank regulation and deposit insurance fuel further expansion of shadow banking but have a net positive impact on financial stability. Financial stability can also be achieved with a tax on shadow bank profits. |
| Beschreibung: | 1 online resource (65 pages). |
| ISBN: | 1484336232 1484335376 9781484335376 9781484336236 |
Internformat
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| 505 | 0 | |6 880-01 |a Cover; Contents; 1 Introduction; 2 Motivating evidence; 3 A simple model; 3.1 Agents and their optimal strategies; 3.1.1 Entrepreneurs; 3.1.2 Secondary market and outside investors; 3.1.3 Households; 3.1.4 Banks; 3.2 Equilibrium; 3.2.1 Fire-sales and bank strategies; 3.2.2 Interior equilibrium; 4 A model with liquidity risk; 4.1 Bank-runs; 4.2 Secondary market; 4.3 Analytical results; 5 Numerical results; 5.1 Calibration; 5.2 Results; 6 Policy analysis; 6.1 Asset purchases; 6.2 Interventions to secure traditional banks; 6.3 Tax on shadow bank profits; 7 Conclusion; 8 Appendix. | |
| 520 | 3 | |a We present a model in which shadow banking arises endogenously and undermines market discipline on traditional banks. Depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally commit to a safe portfolio strategy to prevent early withdrawals. With costly commitment, shadow banking emerges as an alternative banking strategy that combines high risk-taking with early liquidation in times of crisis. We bring the model to bear on the 2008 financial crisis in the United States, during which shadow banks experienced a sudden dry-up of funding and liquidated their assets. We derive an equilibrium in which the shadow banking sector expands to a size where its liquidation causes a fire-sale and exposes traditional banks to liquidity risk. Higher deposit rates in compensation for liquidity risk also weaken threats of early withdrawal and traditional banks pursue risky portfolios that may leave them in default. Policy interventions aimed at making traditional banks safer such as liquidity support, bank regulation and deposit insurance fuel further expansion of shadow banking but have a net positive impact on financial stability. Financial stability can also be achieved with a tax on shadow bank profits. | |
| 650 | 0 | |a Nonbank financial institutions. |0 http://id.loc.gov/authorities/subjects/sh94005745 | |
| 650 | 0 | |a Banks and banking. |0 http://id.loc.gov/authorities/subjects/sh85011609 | |
| 650 | 6 | |a Institutions financières non bancaires. | |
| 650 | 7 | |a Banks and banking |2 fast | |
| 650 | 7 | |a Nonbank financial institutions |2 fast | |
| 700 | 1 | |a Darracq-Paries, Matthieu, |e author. | |
| 700 | 1 | |a Kok, Christoffer, |e author. | |
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| 880 | 8 | |6 505-01/Grek |a A Proof of Proposition 1B Limited liability; C Proof of Lemma 1; D Proof of Lemma 2; D.1 Case 1; D.2 Case 2; D.3 Case 3; E Solution under ϕ = ϕ; F Proof for Proposition 2; F.1 Proof for condition (46); F.2 Proof for condition (47); F.3 Proof for condition (48); F.4 Proof for condition (49); F.5 Proof for the non-emptiness of (τ, τ); G Proof for Proposition 3; H Example fire-sale function; I Description of the model with liquidity risk; I.1 Entrepreneurs; I.2 Banks; J Alternative specification for bank-runs. | |
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Datensatz im Suchindex
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| author | Ari, Anil Darracq-Paries, Matthieu Kok, Christoffer |
| author_facet | Ari, Anil Darracq-Paries, Matthieu Kok, Christoffer |
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| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBU |
| contents | Cover; Contents; 1 Introduction; 2 Motivating evidence; 3 A simple model; 3.1 Agents and their optimal strategies; 3.1.1 Entrepreneurs; 3.1.2 Secondary market and outside investors; 3.1.3 Households; 3.1.4 Banks; 3.2 Equilibrium; 3.2.1 Fire-sales and bank strategies; 3.2.2 Interior equilibrium; 4 A model with liquidity risk; 4.1 Bank-runs; 4.2 Secondary market; 4.3 Analytical results; 5 Numerical results; 5.1 Calibration; 5.2 Results; 6 Policy analysis; 6.1 Asset purchases; 6.2 Interventions to secure traditional banks; 6.3 Tax on shadow bank profits; 7 Conclusion; 8 Appendix. |
| ctrlnum | (OCoLC)1020031466 |
| dewey-full | 332.1 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-on1020031466 |
| illustrated | Not Illustrated |
| indexdate | 2025-03-18T14:28:03Z |
| institution | BVB |
| isbn | 1484336232 1484335376 9781484335376 9781484336236 |
| language | English |
| oclc_num | 1020031466 |
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| spelling | Ari, Anil, author. Shadow Banking and Market Discipline on Traditional Banks. Washington, D.C. : International Monetary Fund, [2017] ©2017 1 online resource (65 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF Working Papers ; WP/17/285 Print version record. 880-01 Cover; Contents; 1 Introduction; 2 Motivating evidence; 3 A simple model; 3.1 Agents and their optimal strategies; 3.1.1 Entrepreneurs; 3.1.2 Secondary market and outside investors; 3.1.3 Households; 3.1.4 Banks; 3.2 Equilibrium; 3.2.1 Fire-sales and bank strategies; 3.2.2 Interior equilibrium; 4 A model with liquidity risk; 4.1 Bank-runs; 4.2 Secondary market; 4.3 Analytical results; 5 Numerical results; 5.1 Calibration; 5.2 Results; 6 Policy analysis; 6.1 Asset purchases; 6.2 Interventions to secure traditional banks; 6.3 Tax on shadow bank profits; 7 Conclusion; 8 Appendix. We present a model in which shadow banking arises endogenously and undermines market discipline on traditional banks. Depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally commit to a safe portfolio strategy to prevent early withdrawals. With costly commitment, shadow banking emerges as an alternative banking strategy that combines high risk-taking with early liquidation in times of crisis. We bring the model to bear on the 2008 financial crisis in the United States, during which shadow banks experienced a sudden dry-up of funding and liquidated their assets. We derive an equilibrium in which the shadow banking sector expands to a size where its liquidation causes a fire-sale and exposes traditional banks to liquidity risk. Higher deposit rates in compensation for liquidity risk also weaken threats of early withdrawal and traditional banks pursue risky portfolios that may leave them in default. Policy interventions aimed at making traditional banks safer such as liquidity support, bank regulation and deposit insurance fuel further expansion of shadow banking but have a net positive impact on financial stability. Financial stability can also be achieved with a tax on shadow bank profits. Nonbank financial institutions. http://id.loc.gov/authorities/subjects/sh94005745 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Institutions financières non bancaires. Banks and banking fast Nonbank financial institutions fast Darracq-Paries, Matthieu, author. Kok, Christoffer, author. Print version: Ari, Anil. Shadow Banking and Market Discipline on Traditional Banks. Washington, D.C. : International Monetary Fund, ©2017 9781484335376 IMF working paper ; WP/17/285. http://id.loc.gov/authorities/names/no89010263 505-01/Grek A Proof of Proposition 1B Limited liability; C Proof of Lemma 1; D Proof of Lemma 2; D.1 Case 1; D.2 Case 2; D.3 Case 3; E Solution under ϕ = ϕ; F Proof for Proposition 2; F.1 Proof for condition (46); F.2 Proof for condition (47); F.3 Proof for condition (48); F.4 Proof for condition (49); F.5 Proof for the non-emptiness of (τ, τ); G Proof for Proposition 3; H Example fire-sale function; I Description of the model with liquidity risk; I.1 Entrepreneurs; I.2 Banks; J Alternative specification for bank-runs. |
| spellingShingle | Ari, Anil Darracq-Paries, Matthieu Kok, Christoffer Shadow Banking and Market Discipline on Traditional Banks. IMF working paper ; Cover; Contents; 1 Introduction; 2 Motivating evidence; 3 A simple model; 3.1 Agents and their optimal strategies; 3.1.1 Entrepreneurs; 3.1.2 Secondary market and outside investors; 3.1.3 Households; 3.1.4 Banks; 3.2 Equilibrium; 3.2.1 Fire-sales and bank strategies; 3.2.2 Interior equilibrium; 4 A model with liquidity risk; 4.1 Bank-runs; 4.2 Secondary market; 4.3 Analytical results; 5 Numerical results; 5.1 Calibration; 5.2 Results; 6 Policy analysis; 6.1 Asset purchases; 6.2 Interventions to secure traditional banks; 6.3 Tax on shadow bank profits; 7 Conclusion; 8 Appendix. Nonbank financial institutions. http://id.loc.gov/authorities/subjects/sh94005745 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Institutions financières non bancaires. Banks and banking fast Nonbank financial institutions fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh94005745 http://id.loc.gov/authorities/subjects/sh85011609 |
| title | Shadow Banking and Market Discipline on Traditional Banks. |
| title_auth | Shadow Banking and Market Discipline on Traditional Banks. |
| title_exact_search | Shadow Banking and Market Discipline on Traditional Banks. |
| title_full | Shadow Banking and Market Discipline on Traditional Banks. |
| title_fullStr | Shadow Banking and Market Discipline on Traditional Banks. |
| title_full_unstemmed | Shadow Banking and Market Discipline on Traditional Banks. |
| title_short | Shadow Banking and Market Discipline on Traditional Banks. |
| title_sort | shadow banking and market discipline on traditional banks |
| topic | Nonbank financial institutions. http://id.loc.gov/authorities/subjects/sh94005745 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Institutions financières non bancaires. Banks and banking fast Nonbank financial institutions fast |
| topic_facet | Nonbank financial institutions. Banks and banking. Institutions financières non bancaires. Banks and banking Nonbank financial institutions |
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