Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/193510 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 3
Verlag: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
liquidity risk
maturity regulation
pecuniary externalities
systemic crises
JEL: 
G01
G21
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-95081-30-7
Dokumentart: 
Working Paper

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