Microprudential Regulation in a Dynamic Model of Banking

By Gianni De Nicolò, Andrea Gamba, M. Lucchetta. 2014

139 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/25ad1402a9cf0559023533560139c48aa15c8b2e

Citations in the corpus

• Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “In Diamond and Rajan (2005), a run on one bank leads to inefficient early liquidation, implying a lower level of aggregate liquidity in the next period and contagious runs on additional banks. For asset markets, Cifuentes, Shin, and Ferrucci (2005) study contagion due to liquidations driven by mark-”
• Capital Requirements in a Quantitative Model of Banking Industry Dynamics (2014, unknown): “[21] show an inverted U-shaped relationship between capital requirements and bank lending.”
• Bank Capital, Liquid Reserves, and Insolvency Risk (2017, unknown): “and command a liquidity premium is well accepted (see Gorton and Pennacchi (1990) or DeAngelo and Stulz (2015)).”