文章基本信息

标题：What Is Systemic Risk? Moral Hazard, Initial Shocks, and Propagation
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作者：James Dow
期刊名称：Monetary and Economic Studies
印刷版ISSN：0288-8432
出版年度：2000
卷号：18
期号：2
出版社：Bank of Japan, Institute for Monetary and Economic Studies
摘要：This paper discusses different aspects of the notion of systemic risk. It contains a selective survey of the research on related topics, a review of some case studies of financial crises and failures, and a discussion pointing toward the importance of moral hazard as a key element of systemic risk. The main ideas studied are the links between capital structure theory and bank capital regulation, and moral hazard and agency theory at the level of the individual trader, the financial firm, and the overall financial system. Another important idea is the co-determination of asset prices and bank solvency. My main focus is on moral hazard as a potentially fruitful area for future research. Although existing research emphasizes the powerful propagation mechanisms whereby a small initial shock can be amplified by the financial system, I suggest that moral hazard, together with leverage at the level of the individual firm, can cause a large shock to the financial system.
关键词：Systemic risk; Moral hazard; Bank solvency; Financial system stability; Bank capital regulation