Search for Yield
| العنوان: | Search for Yield |
|---|---|
| المؤلفون: | Rafael Repullo, David Martinez-Miera |
| المساهمون: | Ministerio de Economía y Competitividad (España) |
| المصدر: | e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid instname |
| بيانات النشر: | Econometric Society, 2017. |
| سنة النشر: | 2017 |
| مصطلحات موضوعية: | Economics and Econometrics, Financial stability, Financial economics, Risk premium, media_common.quotation_subject, Yield (finance), Real interest rates, jel:E44, Credit spreads, Monetary economics, Banking crises, jel:G23, Boom, jel:G21, Economía, SAFER, 0502 economics and business, Economics, 050207 economics, Real interest rate, media_common, 050208 finance, 05 social sciences, Savings glut, Interest rate, Boom and bust cycles, bank monitoring, banking crises, boom and bust cycles, credit spreads, financial stability, real interest rates, savings glut, shadow banks, Bank monitoring, Bust, E44, G21, G23, Aggregate supply |
| الوصف: | We present a model of the relationship between real interest rates, credit spreads, and the structure and risk of the banking system. Banks intermediate between entrepreneurs and investors, and can monitor entrepreneurs projects. We characterize the equilibrium for a xed aggregate supply of savings, showing that safer entrepreneurs will be funded by nonmonitoring banks and riskier entrepreneurs by monitoring banks. We show that an increase in savings reduces interest rates and spreads, increases the relative size of the nonmonitoring banking system and the probability of failure of monitoring banks. We also show that the dynamic version of the model exhibits endogenous boom and bust cycles, and rationalizes the existence of countercyclical risk premia and the connection between low interest rates, credit spreads, and the buildup of risks during booms. Financial support from the Spanish Ministry of Economy and Competitiveness, Grants No. ECO2014-59262-P (Repullo) and ECO2013-42849-P (Martinez-Miera), and from Banco de España (Martinez-Miera) is gratefully acknowledged. |
| وصف الملف: | application/pdf |
| تدمد: | 2014-5926 |
| DOI: | 10.3982/ECTA14057 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56d70372adafb444ecfc8649809a3577 https://doi.org/10.3982/ECTA14057 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....56d70372adafb444ecfc8649809a3577 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 20145926 |
|---|---|
| DOI: | 10.3982/ECTA14057 |