dc.creator | Kai, Ding | |
dc.creator | Enoch, Hill | |
dc.creator | Perez Reyna, David | |
dc.date.accessioned | 2020-07-28T17:15:48Z | |
dc.date.available | 2020-07-28T17:15:48Z | |
dc.date.created | 2020-07-28T17:15:48Z | |
dc.date.issued | 2018 | |
dc.identifier | 1657-5334 | |
dc.identifier | http://hdl.handle.net/1992/41038 | |
dc.identifier | 1657-7191 | |
dc.identifier | instname:Universidad de los Andes | |
dc.identifier | reponame:Repositorio Institucional Séneca | |
dc.identifier | repourl:https://repositorio.uniandes.edu.co/ | |
dc.description.abstract | In this paper we analyze the optimal capital requirement in a model of banks with heterogeneous investment risks and asymmetric information. Asymmetric information prevents depositors from charging an actuarially-fair interest rate based on banking risk, and leads to cross-subsidization across banks. A capital requirement in the form of a leverage constraint reduces the investment of riskier banks and partially mitigates the pecuniary externality on deposit rates. When depositors and the policymaker have no information about banking risk, only a uniform leverage constraint is possible. In this case, the optimal leverage constraint is tighter than the first-best leverage ratio and strictly improves social welfare. When depositors and the policymaker observe a noisy signal of banking risk, a signal-based leverage constraint is possible. We demonstrate that the optimal signal-based leverage constraint is tighter when the signal has worse precision, rather than a larger level of expected risk. | |
dc.language | spa | |
dc.publisher | Universidad de los Andes, Facultad de Economía, CEDE | |
dc.relation | Documentos CEDE No. 39 Julio de 2018 | |
dc.relation | https://ideas.repec.org/p/col/000089/016429.html | |
dc.rights | Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores. | |
dc.rights | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.rights | http://purl.org/coar/access_right/c_abf2 | |
dc.title | Optimal Capital Requirement with Noisy Signals on Banking Risk | |
dc.type | Documento de trabajo | |