Excessive bank risk-taking in an infinite horizon economy

IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Stability Pub Date : 2024-04-29 DOI:10.1016/j.jfs.2024.101263
Jorge Pozo
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引用次数: 0

Abstract

We develop a dynamic framework to study banks’ incentives to take excessive risk in an emerging economy, where bank default probability and excess bank risk-taking are modeled endogenously. We calibrate it for the 1998 Peruvian economy. We find that the infinite-period feature amplifies banks’ incentives to take excessive risk. When we simulate the sudden stop that hit Peru in 1998, the model accurately predicts the substantial short-term rise in the non-performing loans ratio through the rise of the bank default probability.

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无限视野经济中的银行过度冒险
我们建立了一个动态框架来研究新兴经济体中银行过度冒险的动机,其中银行违约概率和银行过度冒险是内生模型。我们针对 1998 年的秘鲁经济进行了校准。我们发现,无限期特征放大了银行承担过度风险的动机。当我们模拟 1998 年秘鲁经济突然停滞时,模型准确地预测了银行违约概率的上升会导致不良贷款率在短期内大幅上升。
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来源期刊
CiteScore
7.70
自引率
9.30%
发文量
78
审稿时长
34 days
期刊介绍: The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.
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