| 来源类型 | Article
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| 规范类型 | 其他
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| DOI | 10.1016/j.jedc.2017.05.010
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| Incentivizing Resilience in Financial Networks. |
| Leduc MV; Thurner S
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| 发表日期 | 2017
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| 出处 | Journal of Economic Dynamics and Control 82: 44-66
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| 出版年 | 2017
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| 语种 | 英语
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| 摘要 | When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential insolvency cascades. In this paper, we show how a regulator can use information about the financial network to devise a transaction-specific tax based on a network centrality measure that captures systemic importance. Since different transactions have different impact on creating systemic risk, they are taxed differently. We call this tax a Systemic Risk Tax (SRT). We use an equilibrium concept inspired by the matching markets literature to show analytically that this SRT induces a unique equilibrium matching of lenders and borrowers that is systemic-risk efficient, i.e. it minimizes systemic risk given a certain transaction volume. On the other hand, we show that without this SRT multiple equilibrium matchings exist, which are generally inefficient. This allows the regulator to effectively stimulate a ‘rewiring’ of the equilibrium interbank network so as to make it more resilient to insolvency cascades, without sacrificing transaction volume. Moreover, we show that a standard financial transaction tax (e.g. a Tobin-like tax) has no impact on reshaping the equilibrium financial network because it taxes all transactions indiscriminately. A Tobin-like tax is indeed shown to have a limited effect on reducing systemic risk while it decreases transaction volume. |
| 主题 | Advanced Systems Analysis (ASA)
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| URL | http://pure.iiasa.ac.at/id/eprint/14630/
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| 来源智库 | International Institute for Applied Systems Analysis (Austria)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131118
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推荐引用方式
GB/T 7714 |
Leduc MV,Thurner S. Incentivizing Resilience in Financial Networks.. 2017.
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