Financial markets, financial intermediation, and bailout policy [Elektronische Ressource] / vorgelegt von Dmitri V. Vinogradov

Vinogradov

Informations

• Publié par: ruprecht-karls-universitat_heidelberg
• Publié le: 01 janvier 2006
• Nombre de lectures: 16
• Langue: English
• Poids de l'ouvrage: 1 Mo

Extrait

FinancialMarkets,FinancialIntermediation,
andBailoutPolicy
DISSERTATION ZURERLANGUNG
DESGRADES EINESDOKTORS DERWIRTSCHAFTSWISSENSCHAFTEN
(DOCTOR RERUM POLITICARUM)
DERFAKULTÄT FÜRWIRTSCHAFTS- UNDSOZIALWISSENSCHAFTEN
DERUNIVERSITÄTHEIDELBERG
vorgelegt von
DMITRI V. VINOGRADOV
geborenam16.06.1972
inNovorossiysk
Heidelberg
2006Acknowledgements
Iamdeeplyindebtedtomysup ervisor Prof. Jürgen Eichberger, for his belief in me and
invaluable support. My warmest words of gratitudegoalsotomydearteacherProf.Revold
Entov, for his involvement in my development as a scholar and as an individual. I also thank
Prof. Hans Gersbach and Prof. Eva Terberger for fruitful discussions and exchange of ideas,
which helped me to structure this dissertation.
A special thank I address to my colleage and coauthor Prof. Marina Doroshenko for her
cooperation at all stages of my research and for her constructive criticism with regard to my
research. I am grateful to Prof. Andy Mullineux for reading and commenting some of my
papers, which served as a basis for this dissertation.
I thank seminar and conference participants in Heidelberg, Cambridge, Nice, Strasbourg
and Helsinki for their critique and comments. Dr. John Bryan Speakman, Eckard Mauer-
mann and Richard Jackson helped me with English formulations, thank them a lot.
The last but not the least, I thank my beloved parents, Tamara and Vladimir Vinogradovs,
for their understanding and support wherever and whenever I am and whatever I plan, even
if it seems unrealistic.
2Ta b l e o f C o n t e n t s
ACKNOWLEDGEMENTS 2
NOTATION 8
INTRODUCTION 13
CHAPTER 1 The Theory of Banking and Bank Regulation: brief history of
thought 17
1.1 TheTheoryofBankingandFinancialIntermediation ................... 17
1.2 TheOriginsofBankingTheory........................................ 20
1.2.1 BanksasTradingInstitutions.................................. 21
1.2.2 BankingRisks................................................ 21
1.2.3 BankingandReserves 23
1.2.4 BankingandGovernmentPolicy .............................. 25
1.2.5 TheNeedforaNewApproach................................ 27
1.3 TheStartoftheModernBankingTheory. 29
1.3.1 BanksasPortfolioManagers.................................. 31
1.3.2 BanksastheCoreofthePaymentSystem...................... 32
1.4 Functions offinancialintermediaries................................... 33
1.4.1 Reductionoftransactioncosts................................. 34
1.4.2 Liquidityprovision........................................... 35
1.4.3 Informationprovision......................................... 36
1.4.4 Debtrenegotiation............................................ 37
1.4.5 FinancialIntermediationinthisDissertation ................... 39
1.5 Financial Intermediation, Macroeconomy and
FinancialCrises....................................................... 40
1.5.1 FinancialIntermediationandEconomicGrowth................ 41
1.5.2 FinancialIntermediationandMacroeconomicShocks .......... 43
1.5.3 FinancialIntermediationandFinancialCrises.................. 44
1.5.4 MacroeconomicIssuesinthisDissertation..................... 45
1.6 RegulationandIntermediation......................................... 46
31.6.1 CapitalRegulation............................................ 47
1.6.2 DepositInsurance ............................................ 49
1.6.3 BailoutPolicy................................................ 50
1.6.4 RegulationoftheStructureofBankingSystem................. 51
1.6.5 MonetaryPolicy.............................................. 53
1.6.6 RegulatoryIssuesinthisDissertation.......................... 53
1.7 Summary............................................................. 54
CHAPTER 2 Ambiguity in Bailout Policy and Efficiency of Intermediation 56
2.1 BailoutsandRescueBeliefs ........................................... 56
2.1.1 FailureResolutions 58
2.1.2 ConstructiveAmbiguity....................................... 59
2.1.3 RescueBeliefs ............................................... 62
2.2 MarketEconomy...................................................... 63
2.2.1 Markets 64
2.2.2 Households .................................................. 65
2.2.3 Equilibrium 66
2.3 IntermediatedEconomy:CommitmenttoLiquidation................... 67
2.3.1 Banks........................................................ 69
2.3.2 InsolvencyResolution ........................................ 70
2.3.3 Households 72
2.3.4 SupplyofDeposits ........................................... 74
2.3.5 MonopolisticEquilibrium..................................... 76
2.3.6 CompetitiveEquilibrium...................................... 79
2.4 IntermediatedEconomy:AmbigousBailouts........................... 83
2.4.1 BailoutandDecision-Making................................. 83
2.4.2 MonopolisticEquilibrium 85
2.4.3 CompetitiveEquilibrium 88
2.5 IntermediatedEconomy:uncertainbailoutrule ......................... 90
2.5.1 Households .................................................. 92
2.5.2 Banks........................................................ 93
2.5.3 MonopolisticEquilibrium..................................... 94
2.5.4 CompetitiveEquilibrium...................................... 97
2.6 Summary............................................................. 98
APPENDIX 2.A Proofs 102
CHAPTER 3 Regulatory Forbearance and Intergenerational Workout
Incentives 113
3.1 LimitedLiabilityversusUnlimitedLiability...........................113
3.2 AmbiguityandForbearance ..........................................115
3.3 MacroeconomicEnvironmentinaDynamicContext...................118
43.4 MarketEconomy.....................................................119
3.4.1 Entrepreneurs ...............................................119
3.4.2 Consumers..................................................121
3.4.3 Equilibrium.................................................121
3.5 Intermediatedeconomy123
3.5.1 Bailouts123
3.5.2 Sequenceofevents ..........................................124
3.6 IntermediatedEconomy:NoInternalizationofBailoutCosts...........127
3.6.1 SupplyofDeposits128
3.6.2 ObjectiveFunctionoftheBanks..............................130
3.6.3 MonopolisticEquilibrium....................................131
3.6.4 CompetitiveEquilibrium.....................................133
3.7 IntermediatedEconomy:RegulatoryForbearance......................135
3.7.1 SupplyofDeposits ..........................................136
3.7.2 ObjectiveFunctionoftheBanks136
3.7.3 MonopolisticEquilibrium138
3.7.4 CompetitiveEquilibrium139
3.8 Ambiguity, Beliefs and Forbearance: Implications of the Dynamic
Setting ..............................................................141
3.9 Summary............................................................144
APPENDIX 3.A Proofs 146
CHAPTER 4 Markets versus Financial Intermediation: Dynamic General
Equilibrium Analysis 148
4.1 FinancialIntermediationintheMacroeconomicContext ...............148
4.2 BasicGeneralEquilibriumModel.....................................151
4.2.1 AgentsandDecisions........................................151
4.2.2 InteractionsintheBasicModel...............................156
4.2.3 EquilibriumintheBasicModel ..............................157
4.2.4 ComparisonwithBenchmarkCases ..........................164
- Böhm and Puhakka (1988) .................................. 164
- Diamond (1965) ........................................... 166
- Bernanke and Gertler (1987, 1989, 1990)...................... 167
4.3 TheModelwithFinancialIntermediation..............................168
4.3.1 AgentsandDecisions........................................169
4.3.2 IntermediationandInteractions...............................171
4.3.3 MarketsandEquilibrium.....................................172
4.4 EvolutionoftheEconomy............................................174
4.5 Equivalence..........................................................176
4.6 Summary............................................................178
5APPENDIX 4.A Proofs 179
CHAPTER 5 Banks versus Markets in Processing a Macroeconomic Shock 184
5.1 ProductionShock....................................................184
5.1.1 ShockParameter ............................................186
5.1.2 DegreesofShock............................................187
5.2 MarketEconomyExposedTotheProductionShock ...................191
5.2.1 Decision-MakingandEquilibrium............................191
5.2.2 EvolutionBeforetheShock..................................194
5.2.3 EvolutionAftertheShock....................................194
5.3 IntermediatedEconomyExposedTotheProductionShock.............196
5.3.1 Decision-MakingandEquilibrium196
5.3.2 EvolutionBeforetheShock198
5.3.3 EvolutionAftertheShock200
5.4 PaymentShock ......................................................202
5.4.1 DescriptionofthePaymentShock............................203
5.4.2 MarketEconomyExposedtoaPaymentShock ...............204
5.4.3 IntermediatedEconomyExposedtoaPaymentShock.........206
5.5 RegulatoryInterventions .............................................207
5.5.1 LiquidityInjections..........................................207
5.5.2 DepositRateCeiling......................................