Three essays on liquidity crisis, monetary policy, and banking regulation [Elektronische Ressource] / vorgelegt von Jin Cao

Jin Cao

Informations

• Publié par: ludwig-maximilians-universitat_munchen
• Publié le: 01 janvier 2009
• Nombre de lectures: 6
• Langue: English

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Three Essays on Liquidity
Crisis, Monetary Policy,
and Banking Regulation
Inaugural-Dissertation
zur Erlangung des Grades
Doctor oeconomiae publicae (Dr. oec. publ.)
an der Ludwig-Maximilians-Universit¨ at Munc¨ hen
2009
vorgelegt von
Jin Cao
Referent: Prof. Dr. Gerhard Illing
Korreferent: Prof. Ted Temzelides, Ph. D.
Promotionsabschlussberatung: 10. Februar 2010Micro Fragility
and Macro Stability
Three Essays on Liquidity
Crisis, Monetary Policy,
and Banking Regulation
Jin Cao
A Wiley-Interscience Publication
JOHN WILEY & SONS, INC.
New York / Chichester / Weinheim / Brisbane / Singapore / Torontov
To my parentsContents
Preface xvii
Acknowledgments xix
Acronyms xxi
Part I Introduction
Part II Liquidity Shortages as Endogenous Systemic Risks
1 Liquidity Shortages and Monetary Policy 1
1.1 Introduction 2
1.2 The model — basic settings 9
1.3 Pure idiosyncratic shocks 12
1.4 The case of aggregate risk 17viii CONTENTS
1.5 Central bank intervention 23
1.6 Conclusion 30
Appendix 32
A.1 Proofs 32
A.2 A numerical example for the equilibrium of mixed
strategies 46
Part III Endogenous Systemic Liquidity Risk and Banking
Regulation
2 Endogenous Systemic Liquidity Risk 51
2.1 Introduction 52
2.2 The structure of the model 57
2.3 Lender of Last Resort policy 63
2.4 The role of equity and narrow banking 67
2.5 Conclusion 76
Appendix 78
A.1 Proofs 78
A.2 Results of numerical simulations 84
3 Illiquidity, Insolvency, and Banking Regulation 87
3.1 Introduction 88
3.2 The model 95
3.3 Liquidity regulation, nominal contract and
Lender of Last Resort policy 107
3.4 Insolvency risk and equity requirement 113
3.5 Conclusion 117
Appendix 120CONTENTS ix
A.1 Proofs 120
A.2 Results of numerical simulations 123
Part IV Epilogue
References 133