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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Ari, Anil (Autor), Darracq-Paries, Matthieu (Autor), Kok, Christoffer (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, [2017]
Colección:IMF working paper ; WP/17/285.
Temas:
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.