银行业流动性风险:是否存在羊群效应?

IF 1.4 3区 经济学 Q3 BUSINESS, FINANCE International Journal of Central Banking Pub Date : 2017-02-01 DOI:10.2139/SSRN.2163547
Diana Bonfim, Moshe Kim
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引用次数: 10

摘要

银行各自优化流动性风险管理,往往忽略了其选择对金融体系整体风险产生的外部性。这是支持流动性风险监管的主要论据。然而,可能存在激励机制,例如与最后贷款人的角色有关,使银行不是严格地在个人层面优化其选择,而是参与集体风险承担策略,这可能会加剧系统性风险。在本文中,我们寻找这种羊群行为的证据,并将重点放在全球金融危机之前的时期。在充分控制了与同行效应估计相关的内生性问题之后,羊群效应仅在最大的银行中是显著的。这一结果表明,对具有系统重要性的金融机构的监管可能在减轻流动性风险的这一特定组成部分方面发挥重要作用。
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Liquidity Risk in Banking : Is there Herding?
Banks individually optimize their liquidity risk management, often neglecting the externalities generated by their choices on the overall risk of the financial system. This is the main argument to support the regulation of liquidity risk. However, there may be incentives, related for instance to the role of the lender of last resort, for banks to optimize their choices not strictly at the individual level, but engaging instead in collective risk taking strategies, which may intensify systemic risk. In this paper we look for evidence of such herding behaviors, with an emphasis on the period preceding the global financial crisis. Herding is significant only among the largest banks, after adequately controlling for relevant endogeneity problems associated with the estimation of peer effects. This result suggests that the regulation of systemically important financial institutions may play an important role in mitigating this specific component of liquidity risk.
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