Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/193510 
Year of Publication: 
2016
Series/Report no.: 
ESRB Working Paper Series No. 3
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary externalities make unregulated debt maturities inefficiently short. The calibration of the model to Eurozone banking data for 2006 yields that lengthening the average maturity of wholesale debt from its 2.8 months to 3.3 months would produce welfare gains with a present value of euro 105 billion, while the lengthening induced by the NSRF would be too drastic.
Subjects: 
liquidity risk
maturity regulation
pecuniary externalities
systemic crises
JEL: 
G01
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-30-7
Document Type: 
Working Paper

Files in This Item:
File
Size
436.18 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.