| Description |
1 online resource (37 pages) : color illustrations |
| Series |
IMF working paper ; WP/14/116 |
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IMF working paper ; WP/14/116.
|
| Contents |
Cover; Contents; I. Introduction; Figures; Figure 1. A shift to breakdown; II. Model; A. Gambles; Tables; Table 1. Project payoff; B. Funding; Table 2. Timing of the game; C. Bank maximization; D. Breakdown threshold; E. Reaction function; III. Equilibria; A. The constellations; Figure 2. Low-end corner only; Figure 3. One interior equilibrium, two corners; B. Parameter conditions; Figure 4. Two interior equilibria; IV. Numerical examples; Figure 5. The eÞects of falling returns; A. An example of Case II; B. An example of Case III; Figure 6. From Case II to Case I |
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C. Endogenous breakdown thresholdFigure 7. From Case III to Case I; V. Extensions; A. Informed creditors; Table 3. Timing of the game with creditor information; Figure 8. Breakdown threshold shift; B. Idiosyncratic bank soundness; C. Retail depositors; VI. Conclusions; Appendix: Proofs; References |
| Summary |
"The global financial crisis highlighted that the financial system can be most vulnerable when it seems most stable. This paper models non-linear dynamics in banking. Small shocks can lead from an equilibrium with few bank defaults straight to a full freeze. The mechanism is based on amplification between adverse selection on banks' funding market and moral hazard in bank monitoring. Our results imply trade-offs between regulators' micrssrudential desire to shield individual weak banks and the macroprudential consequences of doing so. Moreover, limiting bank reliance on wholesale funding always reduces systemic risk, but limiting the correlation between bank portfolios does not"--Abstract |
| Notes |
"IMF - Singapore Regional Training Institute"--Page 2 of pdf |
|
"July 2014"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references (pages 31-36) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed July 8, 2014) |
| Subject |
Banks and banking -- Risk management -- Econometric models
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Bank liquidity -- Econometric models
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Finance -- Econometric models
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Financial crises -- Prevention
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Moral hazard -- Prevention -- Econometric models
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Finance -- Econometric models
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Financial crises -- Prevention
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| Form |
Electronic book
|
| Author |
IMF-Singapore Regional Training Institute.
|
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International Monetary Fund, issuing body.
|
| ISBN |
9781498387361 |
|
1498387365 |
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