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Publié par | universitat_mannheim |
Publié le | 01 janvier 2011 |
Nombre de lectures | 30 |
Langue | Deutsch |
Poids de l'ouvrage | 1 Mo |
Extrait
ysEssa
zur
eines
in
Banking
Regulation
Inauguraldissertation
akdesErlangunghenademisc
Grades
DoktorsderWirtschaftswissenschaften
der
atersit¨Univ
orgelegtv
Mannheim
von
ManeshKazemiamMary
uarJan
2011
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t:Referen
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der
henundlic¨m
ufung:¨Pr
Prof.
Prof.
Prof.
18.
ii
Dr.
Dr.
Dr.
Martin
eitzP
Ernst-Ludwig
MaugErnst
bruareF
2011
von
Thadden
tswledgmenknoAc
Aboveall,IwouldliketothankmysupervisorErnst-LudwigvonThaddenforthe
excellentguidanceandfortheencouragingfeedbackhegavemeonboththecontentof
myresearchandthewayofpresentingit.Histightschedulenotwithstanding,hewas
accessibleandextremelysupportiveinallaspectsrelatedtotheprocessofgrowinginto
academia.
IwouldalsoliketothankmysecondsupervisorWolfgangBuehlerforhisinsightful
commentsonthefirstessay.Ithankhimforhiskindavailabilityandvaluablesupports
atthetimeIhadjustbeganmyfirststepstowritingthisthesis.
IverymuchenjoyedinteractingwithmycolleaguesattheCenterforDoctoralStudies
inEconomics.IwouldliketothankMichalKowalikforhisinstructivecommentsonthe
firstandthesecondchaptersofthisthesisandtheinspiringdiscussionsaboutbanking
topics.IamespeciallygratefultoJenniferAbel-KochandEdgarVogelwhonotonlyas
colleagueshelpedforthestudyandwritingthethesisbutalsoasthebestfriendstook
careofmeduringhardtimesofsettlingdowninmysecondhome,Germany.Also,I
thankBj¨ornSaßforthegreatcommentsoneditingthethirdchapter.MarionLehnert
andHelgaGebauergreatlysimplifiedmylifebytakingcareofalltheadministrative
duties.
ManyothercolleaguesandfriendshaveashareinthepleasanttimesIspentinMannheim,
especiallyHeikoKarle,SebastianK¨ohne,LisandraFlach,PetraLoerkeandAlessandra
Donini,aswellasMoritzKuhn,ChristophRotheandXiaojianZhaoforourmemorable
momentsofthefirstyearscourseworks.Iamalsoindebtedtoallmycheeringfriends
outsideuniversityforwhomIdidnotalwayshavethetimetheydeserved.
Mywarmestthanksandlovegotomyfamily,whoalwaysinspiredandencouragedme
fromthefarhomelandandborewithmyabsencetheseyears,andtoHenningforbeing
thereformeandforallthehappymomentsinthepastbusymonths.
iii
tstenCon
ductiontroIn1
2ASwitchingModelinBanking
2.1Introduction..................................
2.2TheModel...................................
2.2.1NoAssetSubstitution........................
2.2.2ComparisonoftheTwoRegimes..................
2.3SwitchingStrategiesinaCrossingCase...................
2.3.1TheSwitchingModel.........................
2.3.2TheOptimalStopping-SwitchingModel..............
2.4QuantificationoftheOptimalStrategies..................
2.4.1TwoAlternativeCases........................
2.4.1.1CostlessSwitching.....................
2.4.1.2TooCostlySwitching....................
2.5NumericalExamples.............................
2.5.1GeneralCase:TwoSwitches.....................
2.5.2ACostlessSwitch...........................
2.5.3TooCostlySwitch..........................
2.6Conclusion...................................
Appendix......................................
Figures........................................
3SwitchingModelsforBanking:IsGamblingforResurrectionValid?
3.1Introduction..................................
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4
CONTENTS
3.2TheOne-PeriodModelwithDiscreteReturn................
3.3TheTwo-PeriodModelwithDiscreteReturn................
3.3.1NoRiskofInsolvency.........................
3.3.2OperatingunderRiskofBankruptcy................
3.4NumericalExamples.............................
3.4.1BankruptcyatFailure........................
3.4.2SolvencyatFailure..........................
3.5EndogenousReinvestment..........................
3.6Conclusion...................................
Appendix......................................
TheTheoriesofBankRegulationandSystemicFailures
4.1Introduction..................................
4.2TheBasicModel:FailuresinBanks.....................
4.2.1TheMoralHazard..........................
4.2.2DepositInsuranceandtheMoralHazard..............
4.2.3IntroducingtheRegulatoryActions.................
4.3TheResolutionofIndividualBankFailures.................
4.3.1TheTime-InconsistencyProblem..................
4.3.2OptimalLiquidityProvision.....................
4.3.3TakeoverasanIncentivesForRiskReduction...........
4.4RegulatingSystemicRisk..........................
4.4.1ContagionandTooMuchRelatedBanks..............
4.4.2TooManyToFail...........................
4.5Macro-PrudentialRegulationPolicies....................
4.5.1DealingwithTMTF.........................
4.5.2TooRelatedToFailandCapitalAdequacy.............
4.5.3TBTFandSystemicTaxing.....................
4.5.4Market-BasedSystemandOtherAlternatives...........
4.6RegulatoryPoliciesintheRecentCrisis...................
4.7Conclusion...................................
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CONTENTS..Figures
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vii
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1Chapter
Inductiontro
Bankingregulationhasdrownspecialattentionofpolicymakers,institutionsandthe
economistssinceyears.Theintegrationofbanksandfinancialmarketsmadefinancial
stabilityextremelydependentonthebankingsystems.Thesystemiccrisesinthepast
decadesmotivatedformsofregulationwhicharemorecloselyassociatedwithprevention
thanwithcompensation.Theneedtoincreasestabilityandtohelpprotecttheinter-
nationalfinancialsystemledtotheBankforInternationalSettlements(BIS)Accordin
1988andtheUnitedStatesofAmerica’snewFederalDepositInsuranceCorporation
ImprovementActof1991.Thesuccessoraccord,BaselII,introducedin2004,aimedto
improveupontheriskinsensitivityoftheBaselI.However,therecentcrisisraisednew
challengesforbankingregulationinadditiontowhathadbeenconsideredpreviously.
Thebankingtheoryandinparticularthetheoriesofbankingregulationhavefocused
ontheriskinessofbanks’portfolio.Therisk-takingbehaviorofbanksanddifferent
situationsofmoralhazardproblemhavebeenthemainconcentration.Thisthesisisa
collectionofthreeessayswhichapplyadifferentperspectivetoquestionsintheliterature
ofbankingregulation.Chapterstwoandthreeanalyzetherisk-takingbehaviorofabank
whichcanchoosebetweentworegimesofoperation.Chapterfouraddstheregulatorinto
thesetupandsurveysthebankingtheoriesforregulatingnotonlyanindividualbank
butalsosystemicrisk-takingamongbanks.Inthefirsttwochapters,twoportfolios
differentintheirexpectedreturnandtherisklevelareavailabletothebank.When
thebankchangestheportfolioitiscalledregimeswitching.Bothchaptersstudythe
bank’srisk-returnpreferencesintheabsenceofoutsiderintervention.Whileinchapter
twotherelationshipbetweenthecash-flowandtheregimechoiceisinvestigatedin
acontinuoustimesetup,inchapterthreetheanalysisiscarriedoutadiscretetime
setup.Theregimechoiceisexaminedwithrespecttothecapitallevelinstaticandalso
dynamicsetups.Moreover,chapterthreequestionsthestandardtheoryof“gamblingfor
resurrection”.Chapterfourcoversregulatorypoliciestocontrolabank’sriskoffailure
1
2
CHAPTER1.ODUCTIONINTRandcollectsmacro-prudentialregulatoryproposalsfordifferentrisk-takingissuesina
system.bankingTheliteraturegenerallydefinesabank-regulatorgame.Thebankoptimizesitsequity
value.Theregulatorplaysasasocialplanerandoptimizesthesocialvalueofthebank,
includingboththeequityvalueanddepositsvalue.Thekeyfeatureisthattheregulator’s
decisionneedtobeincentivecompatiblefortheequityholders.Higherriskcanincrease
theequityvalueofthebankunderdistress.However,theriskyoperatingofthebank
mayhavenegativenetpresentvalue.Astrongregulatorforcesbank-closurebeforethe
bank’snetpresentvaluebecomesnegative.Incasethattheregulatorcancommittoa
policy,sheplaysfirstandannouncestheregulatorypoliciesandtheclosurethreshold.
Giventheclosurethreshold,thebankmakesthedecisionofcapitalstructure.The
bankingregulationtheoriessolvethegamebybackwardinductiontofindtheoptimal
olicies.pregulatoryIncontrasttomostofotherstudies,thisresearchallowsforregimeswitchingduring
abank’slifetime.Anagentchangesitsinvestmentportfoliodependingonpreferences
forriskandreturn,andthecash-flowoftheinvestment.Chaptertwoanalyzesthis
switchingbehaviorforabankoptimizingequityvalueonbehalfofitsshareholders.
Havingdeposits,thebankcanchooseoneofthetworegimesofoperationineachmoment
oftime.Ifthecash-flowisbelowthedepositpayment,thebankhastoinjectmoneyor
gobankrupt.However,bankruptcyandliquidatingassetsarecostlyinthesensethatthe
depositinsurerhastorepaytodepositors.Theriskierregimereturnsahigheroutcome
butwithlowerprobability.Thisregimeraisestheequityvaluewhenthecash-flowis
low.Sincetheequityvalueisstillpositive,thebankhasthechancetooperatewith
lowcash-flow,whatcreatesrisk-incentivesforthebankunderdistress.Nevertheless,the
switchinginvolvessomecostanditisnotalwaysarationaldecisiontobearthiscost
toincreasetherisk.Forahighlevelofthecash-flow,thebankisabletopaythecost.
Thus,thebankswitchestothelessriskyprojects(whatoffersahigherexpectedreturn
withlessuncer