+44 (0)20 7000 8412     hrey@london.edu     London Business School, Regent's Park, London, NW1 4SA  
 |   |  Contact  |  Login

Published Papers

Central Bank Policy and the Concentration of Risk: Empirical Estimates*
Journal of Monetary Economics 2022 [Open Access: https://doi.org/10.1016/j.jmoneco.2021.08.002]
Coimbra, N, Kim, D, Rey, H.
Date Published: 2022
Nuno Coimbra, Daisoon Kim, Hélène Rey "Central Bank Policy and the concentration of risk: Empirical estimates", Journal of Monetary Economics, Volume 125, pages 182-198, 2022.

Abstract:
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-off between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability.
Citation:
Nuno Coimbra, Daisoon Kim, Hélène Rey "Central Bank Policy and the concentration of risk: Empirical estimates", Journal of Monetary Economics, Volume 125, pages 182-198, 2022.
Download BibTex citation

Search Google Scholar for this entry

* Hélène Rey thanks the ERC for financial support (ERC Advanced Grant 695722).





London Business School
Regent's Park
London
NW1 4SA
hrey@london.edu
+44 (0)20 7000 8412
Copyright © 2024   Helene Rey
Website Design & Development for Schools By VisioSoft   |   T&C
User Guide   13  


Selct an hour and a minute and then click on Set Time

Selected Time:  _:_

Hours
Minutes
 
Set Time