AFA2019会议论文（11）：Macroprudential Policy and Financial Stability

AFA2019会议论文（11）：Macroprudential Policy and Financial Stability

王月峥 金融经济学 1周前

Monetary Policy, Interest Rates, and Reaching for Yield: Evidence from Life Insurance Companies

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The Effect of Bank Supervision on Risk Taking: Evidence from a Natural Experiment

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Bail-ins and Bail-outs: Incentives, Connectivity, and Systemic Stability

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1. Monetary Policy, Interest Rates, and Reaching for Yield: Evidence from Life Insurance Companies

Ali Ozdagli, Federal Reserve Bank of Boston

Zixuan Kevin Wang, Harvard University

Abstract

Using a long time series of insurance regulatory data that captures the universe of life insurance companies in the US, we find that life insurance companies invest in higher yield corporate bonds (reach for yield) under loose monetary policy regimes when interest rates are lower. We also find that insurers with weaker balance sheets tend to reach for yield more and the erect of interest rates on reaching for yield behavior is also stronger for these insurers compared to those with stronger balance sheets. We present evidence that these results are consistent with an income targeting" channel, that is, insurance companies need to generate additional investment income during a low interest rate environment as their liabilities are pre-determined. We also show that most of the erect of interest rates on reaching for yield behavior of insurance companies come from reaching for duration. Mutual funds take the opposite side of this trade by avoiding duration risk during low interest rate environment and instead loading on credit risk.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=180

2. The Effect of Bank Supervision on Risk Taking: Evidence from a Natural Experiment

John Kandrac, Federal Reserve Board

Bernd Schlusche, Federal Reserve Board

Abstract

In this paper, we document a causal effect of supervision on financial institutions' willingness to take risk. Exploiting an exogenous reduction in the supervision of thrifts, we find that affected thrifts took on much more risk relative to their unaffected counterparts that were subject to identical regulations. Subsequent to the emergency enlistment of supervisory staff in the affected region, additional risk taking by the affected institutions ceased. Further, we document channels through which a reduction in supervisory capacity resulted in more frequent and costly failures. None of these patterns are present in commercial banks subject to a different primary supervisory agent but otherwise similar to the thrifts in our sample.

原文链接：

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2938039

3. Bail-ins and Bail-outs: Incentives, Connectivity, and Systemic Stability

Benjamin Bernard, University of California

Agostino Capponi, Columbia University

Joseph Stiglitz, Columbia University

Abstract

We develop a framework for analyzing how banks can be incentivized to make contributions to a voluntary bail-in and ascertaining the kinds of interbank linkages that are most conducive to a bail-in. A bail-in is possible only when the regulator's threat to not bail out insolvent banks is credible. Incentives to join a rescue consortium are stronger in networks where banks have a high exposure to default contagion, and weaker if banks realize that a large fraction of the benets resulting from their contributions accrue to others. Our results reverse existing presumptions about the relative merits of different network topologies for moderately large shock sizes: while diversification effects reduce welfare losses in models without intervention, they inhibit the formation of bail-ins by introducing incentives for free-riding. We provide a nuanced understanding of why certain network structures are preferable, identifying the impact of the network structure on the credibility of bail-in proposals.

原文链接：

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2951448

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