2014年-IMF国际货币组织全球_Bank_Risk_Within_and_Across_Equilibria_37页_387kb

报告摘要

Summary of "Bank Risk Within and Across Equilibria"

Core Content

This paper, authored by Itai Agur and authorized for distribution by Sunil Sharma in July 2014, explores the dynamics of bank risk within and across multiple equilibria. It provides a theoretical framework to understand how small shocks can lead to a complete freeze in the banking system, even when the system appears stable. The model highlights the interaction between adverse selection and moral hazard in the context of bank funding markets, and shows how regulatory actions aimed at shielding individual banks can have unintended macroprudential consequences.

Main Points

Non-linear Dynamics in Banking: The financial system can be vulnerable to shocks even when it appears stable. Small shocks can lead to a transition from a stable equilibrium to a breakdown equilibrium.
Adverse Selection and Moral Hazard: Banks that are insolvent but want to gamble for resurrection compete with sound banks for funds. This creates adverse selection in the unsecured funding market, where financiers cannot distinguish between sound and unsound banks. The resulting risk premia increase the incentive for banks to take on more risk, creating a moral hazard problem.
Multiple Equilibria: The model identifies three types of equilibria:
- Low-end corner: Only one equilibrium exists, where banks choose minimal monitoring.
- Three equilibria: One interior (unstable) equilibrium and two corners.
- Two interior equilibria: One stable and one unstable, along with a low-end corner.
Breakdown Threshold: A critical threshold determines whether the funding market remains open or freezes. If the equilibrium monitoring effort falls below this threshold, the market freezes due to severe adverse selection problems.
Trade-offs in Regulation: There is a trade-off between microprudential regulation (which aims to protect individual banks) and macroprudential regulation (which aims to reduce systemic risk). Limiting bank reliance on wholesale funding reduces systemic risk, but limiting portfolio correlation does not.
Strategic Complementarity: Banks' monitoring efforts are strategic complements; as other banks increase monitoring, individual banks have greater incentives to do so. This leads to a reaction function that is increasing and concave, which can result in multiple equilibria.
Policy Implications: The model suggests that regulatory actions, such as capital requirements, may inadvertently increase systemic risk by encouraging less diversification and more risk-taking. It also highlights the importance of transparency and the potential for liquidity regulation to induce opacity in banks.

Key Information

Model Structure:
- A mass of identical, risk-neutral banks.
- Banks can invest in a gamble with a probability of success $\rho$.
- Monitoring effort $q_i$ is associated with non-pecuniary costs.
- The project's payoff depends on whether it is sound or unsound.
Equilibrium Conditions:
- The no-breakdown condition ensures that the funding market remains open.
- If this condition is not met, the market freezes, leading to a breakdown equilibrium.
- The reaction function shows how each bank's optimal monitoring effort depends on the behavior of others.
Empirical and Theoretical Context:
- The paper is grounded in the global financial crisis, which revealed the fragility of the financial system despite low default rates and funding costs.
- It relates to three strands of literature:
  1. Trade-offs between microprudential and macroprudential regulation.
  2. Vulnerabilities in the wholesale funding market.
  3. Systemic risk from multiple equilibria.
Extensions:
- The model is extended to consider:
  - Informed creditors who can assess bank quality.
  - Idiosyncratic risk in bank portfolios.
  - Retail depositors, showing that less reliance on wholesale funding reduces market vulnerability.

Conclusion

The paper presents a novel model that demonstrates how bank risk can be both internal (individual default risk) and external (systemic risk), and how these can move in opposite directions. It emphasizes the importance of understanding the interactions between banks' strategic behavior and the structure of the funding market in order to design effective regulatory policies that mitigate systemic risk without undermining individual bank stability.

Figures and Tables

Figure 1: Illustrates a shift to breakdown, showing how the reaction function can lead to market freeze.
Figure 2: Depicts a scenario with only a low-end corner equilibrium.
Figure 3: Shows one interior equilibrium and two corners.
Figure 4: Depicts two interior equilibria.
Figure 5: Illustrates the effect of falling returns on the equilibrium.
Figure 6: Shows the transition from Case II to Case I.
Figure 7: Depicts the transition from Case III to Case I.
Figure 8: Represents the shift in the breakdown threshold.
Table 1: Details the project payoff depending on funding and project quality.
Table 2: Describes the timing of the game stages.
Table 3: Shows the timing of the game with creditor information.