Bank Capital Regulation and Systemic Risk in the Presence of Endogenous Fire Sales
Public Deposited- Last Modified
- March 22, 2019
- Creator
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Rosen, Samuel
- Affiliation: Kenan-Flagler Business School
- Abstract
- In a model with heterogeneous banks and endogenous fire sales, the tightening of bank capital regulation can aggravate fire sales, leading to larger bank losses and higher systemic risk. When calibrated to the data, the least costly policies to mitigate systemic risk raise both ex ante capital requirements and ex post shortfall penalties. These policies also assign relatively higher capital requirements to banks that can better offset price declines during a fire sale, consistent with the recently implemented capital surcharge for global systemically important banks (G-SIBs). My findings provide further support for leading-edge macroprudential tools, including stress tests and countercyclical capital buffers.
- Date of publication
- May 2018
- Keyword
- DOI
- Resource type
- Advisor
- Boualam, Yasser
- Lundblad, Christian
- Croce, Mariano
- Hu, Yunzhi
- Goldstein, Itay
- Degree
- Doctor of Philosophy
- Degree granting institution
- University of North Carolina at Chapel Hill
- Graduation year
- 2018
- Language
Relations
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This work has no parents.
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