题目：Regulation, Financial Networks and Systemic Risks

报告人：王 刚  上海财经大学会计学院助理教授

主持人：叶 兵  浙江大学经济学院

时间：2018年11月30日 星期五 15：30―17：00

地点：浙江大学玉泉校区经济学院236室  

报告人简介:

王刚，法国图卢兹经济学院博士，上海财经大学会计学院助理教授。其研究兴趣为银行与金融市场，信息中介，市场微观结构。

Abstract:

This paper develops an endogenous network model of banks to study how financial networks interact with financial regulation. In the model, to meet regulation requirements banks optimally choose the number of counterparties to connect with and the amount of shares to trade with them to diversify their portfolios. Endogenous network structures are explicitly solved in the work and a partial order is derived for these network structures based on their systemic riskiness. Finally, the equilibrium regulation is discussed. I find that: 1) When the regulator can monitor network formation and has commitment power, the first best outcome can be achieved; 2) When the regulator cannot monitor network formation and banks have commitment power, banks commit to a bang-bang network formation pattern: to form the systemically least-risky networks if the regulation is looser than a threshold and the most-risky networks if the regulation is tighter than the threshold; being afraid that banks may form the most-risky networks, the regulator imposes a suboptimal capital requirement level that is looser than the socially optimal one; the least-risky networks are then formed but the maximal social welfare of the most-risky networks realizes.

CRPE秘书处
2018-11-26