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How is the likelihood of fire sales in a crisis affected by the interaction of various bank regulations? /
We present a model that describes how different types of bank regulation can interact to affect the likelihood of fire sales in a crisis. In our model, risk shifting motives drive how banks recapitalize following a negative shock, leading banks to concentrate their portfolios. Regulation affects the...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2017.
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| Colección: | IMF working paper ;
WP/17/68. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | We present a model that describes how different types of bank regulation can interact to affect the likelihood of fire sales in a crisis. In our model, risk shifting motives drive how banks recapitalize following a negative shock, leading banks to concentrate their portfolios. Regulation affects the likelihood of fire sales by giving banks the incentive to sell certain assets and retain others. Ex-post incentives from high risk weights and the interaction of capital and liquidity requirements can make fire sales more likely. Time-varying risk weights may be an effective tool to prevent fire sales. |
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| Descripción Física: | 1 online resource (47 pages) |
| Bibliografía: | Includes bibliographical references at the end of each chapters. |
| ISBN: | 9781475588996 1475588992 1475588674 9781475588675 |
| ISSN: | 1018-5941 ; |