Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/193559 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 52
Verlag: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Zusammenfassung: 
We propose a model of asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's choice of encumbrance trades off the benefit of expanding profitable investment funded by cheap long-term secured debt against the cost of greater fragility due to unsecured debt runs. We derive several testable implications about privately optimal encumbrance ratios. Deposit insurance or wholesale funding guarantees induce excessive encumbrance and exacerbate fragility. We show how regulations such as explicit limits on encumbrance ratios and revenueneutral Pigouvian taxes can mitigate the risk-shifting incentives of banks.
Schlagwörter: 
asset encumbrance
rollover risk
wholesale funding
fragility
runs
secured debt
unsecured debt
encumbrance limits
encumbrance surcharges
JEL: 
G01
G21
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-95081-93-2
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
875.38 kB





Publikationen in EconStor sind urheberrechtlich geschützt.