Too Big to Fail and Optimal Regulation

Chang Ma, Hai Nguyen
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引用次数: 7

Abstract

Abstract This paper analyzes the optimal regulation for “Too Big to Fail” (TBTF) in a simple model. As the government cannot credibly commit to no bail-out during crises, banks have an incentive to become excessively large ex-ante. In this case, no single policy can fully eliminate the inefficiencies from TBTF. The optimal regulation for the first-best allocation features a capital requirement and an issuance of Contingent Convertible Bonds (CoCos) where the former addresses the moral hazard issue from government bailouts and the latter improves risk-sharing. Moreover, a combination of the capital requirement and size regulation can implement a second-best allocation where the government has to bail out the banking sector but the social cost of bail-out is internalized by the banks. In this case, the capital requirement forces banks to internalize the bailout cost while the size regulation directly discourages banks to become large.
太大而不能倒和最优监管
摘要本文用一个简单模型分析了“大到不能倒”(TBTF)的最优监管。由于政府无法令人信服地承诺在危机期间不提供纾困,银行有动机在事前变得过于庞大。在这种情况下,没有一个策略可以完全消除TBTF的低效率。最优配置的最优监管包括资本要求和或有可转换债券(CoCos)的发行,前者解决了政府救助带来的道德风险问题,后者改善了风险分担。此外,资本要求和规模监管的结合可以实现次优配置,即政府必须救助银行业,但救助的社会成本由银行内部化。在这种情况下,资本要求迫使银行将救助成本内部化,而规模监管则直接阻碍银行变得更大。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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