文章基本信息

标题：Efficient Asset Allocations in the Banking Sector and Financial Regulation
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作者：Wolf Wagner
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2009
卷号：2009
期号：01
出版社：IJCB Publications Fulfillment
摘要：The failure of a bank or the case of a bank experiencing a crisis usually has negative spillovers for other banks in the economy, such as through informational contagion or an increased cost of borrowing. Such spillovers are likely to be higher when the other banks are close to failure as well. This paper shows that this gives rise to externalities among banks which arise from their portfolio choices. The reason is that the assets a bank holds on its balance sheet determine the situations in which a bank will be in a crisis, and thus whether this will be at a time when other banks are in a crisis as well. As a result, the equilibrium portfolio allocations in the economy are typically not efficient. Some banks may choose too correlated portfolios, but others may choose tooheterogeneous portfolios. The optimal regulatory treatment of banks is typically heterogeneous and may involve encouraging more correlation at already highly correlated banks but lowering correlation at other banks. Additional inefficiencies arise when bank failures also have implications outside the banking sector. Overall, the paper highlights a role for regulation in a financial system in which the costs of financial stress at institutions are interdependent.