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- ISIDORE Id: 10670/1.10276a...
- halshs: halshs-01157527
- doi: 10.2139/ssrn.2008132
- PRODINRA: 312585
- WOS: 000350428400003
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info:eu-repo/semantics/altIdentifier/doi/10.2139/ssrn.2008132
info:eu-repo/semantics/OpenAccess
Mots-clés
Monetary Policy Capital G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary PolicySujets proches
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Simon Dubecq et al., « Risk Shifting with Fuzzy Capital Constraints », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.2139/ssrn.2008132
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Résumé
We construct a model where risk shifting can be moderated by capital requirements. Imperfect information about the level of capital per unit of risk, however, introduces uncertainty about the risk exposure of intermediaries. Over-estimation of the capital held by financial intermediaries, or the extent of regulatory arbitrage, may induce households to wrongly infer from higher asset prices that the fundamentals of risky assets have improved. This mechanism can notably explain the low risk premia paid by U.S. financial intermediaries between 2000 and 2007 in spite of their increased exposure to risk through higher leverage. Moreover, the lower the level of the risk-free interest rate, the more risk is under-estimated.
