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Central Bank Policy and the Concentration of Risk: Empirical Estimates
( Nuno Coimbra ),( Daisoon Kim ),( Hélène Rey ) 한국금융연구원 2021 금융연구 working paper Vol.2021 No.10
Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary policymakers confront the trade-o between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability.