Uncertainty and financial fragility
Başlık çevirisi mevcut değil.
- Tez No: 400053
- Danışmanlar: SURAJEET CHAKRAVARTY, TATİANA KİRSANOVA
- Tez Türü: Doktora
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2011
- Dil: İngilizce
- Üniversite: University of Exeter
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 178
Özet
Özet yok.
Özet (Çeviri)
My thesis analyzes various types of uncertainties and their e¤ects on .nancialfragility in the context of information asymmetries and bank-run models. Whenvarious generations of currency crisis are considered, it is observed that the .nancialsystem and fragilities associated with it plays a critical role in more recent crisisepisodes. Therefore, focusing on the .nancial system can possibly lead to a betterunderstanding of how and why these crises took place. The analysis presented hereaims to provide some new insights about this topic. In the .rst chapter, I triedto analyze how public borrowing can a¤ect .nancial fragility when how a privatebank .nances its lending to the government is private information. I built a simpletheoretical model where the government basically borrows from a commercial bank.The objective of the government is to realize borrowing at the lowest possible costbut at the same time it cares about the .nancial stability. The risk-averse com-mercial bank, on the other hand, maximizes utility by allocating the .nancing ofits lending among a safe and a risky loan where the amount it uses from the safesource considered to be a measure of .nancial stability. Moral hazard arises as theamount of safe loan used is not observable to the government. Under the assump-tion that the risk premium is decreasing in income, I show, when the government isnot able push the rate down below a certain level, it can trade a rise in borrowingcosts with some .nancial stability. In other words, although pushing the rate downis good both for borrowing costs and .nancial stability, under asymmetric informa-tion, it may be optimal to design a contract with a reward scheme and accept ahigher cost for borrowing for a relatively more reliable .nancial system. This chap-ter contributes to the literature by identifying a potential moral hazard problemin the process of public borrowing and displays how it can lead to a higher thanoptimal level of .nancial fragility when the economic policy gets obsessed with low-ering the borrowing costs. The analysis provided is also interesting as it displays anunusual case where the borrower rather than the lender faces issues resulting fromasymmetric information. In the second chapter, a bank-run model used to analyzee¤ects of uncertainty on .nancial fragility in terms of maturity mismatch. I usean extended version of the well-known Diamond and Dybvig model by introducingshort term borrowing where the future cost of borrowing is unknown. This createsan additional source of maturity mismatch and the demand deposit contracts arenow vulnerable to both depositor and lender panics. The key is when the borrowingand investment decisions are made the total cost of borrowing is unknown but thedeposit contract can be written contingent on this cost. This creates di¤erent con-sumption paths for patient and impatient agents and they bear di¤erent degrees ofinterest rate risk. The characterization of the contract shows interest risk is mainlyborne by early consumers particularly for higher roll over costs. In times of crisisthe most liquid funds are the ones that are used .rst and hence consumers who needurgent liquidity su¤ers most. The main contribution of this part is that, it combinesa bank run model with aggregate uncertainty with short-term borrowing. It alsosheds some light on the dynamics of .nancial problems in developing countries. Thelast chapter analyzes risk sharing under private banking. Once again a version ofDiamond and Dybvig framework is used. Instead of assuming a banking structurewhere consumers form a union to achieve optimal risk sharing, I consider a privatebank that maximizes pro.ts. I analyze the deposit contract under di¤erent assump-tions about how the bank and the depositors consider the probability of a bank run.The original Diamond and Dybvig model, implicitly assumes the probability of abank-run is su¢ ciently small to ensure participation. With a private bank, I allowpartial participation and optimizing depositors automatically establish individualrationality. This leads to a supply of deposits (or demand for risk sharing function)which varies along with the payments o¤ered in the contract. Therefore, the bankfaces a trade-o¤ between the rates it o¤er and the amount of deposits it can attract.This basically leads a new set of equilibrium contracts to come out which are notpossible under standard risk sharing. Depending on the risk averseness of the con-sumers these alternative contracts produce di¤erent levels of .nancial fragility. Thislast chapter contributes to the literature by considering the possible risk sharingcontracts under a pro.t maximizing monopolistic commercial bank. It also brie.ydiscusses how this may a¤ect .nancial fragility.
Benzer Tezler
- Merkez bankası şeffaflığı, kredi temerrüt takası ve finansal istikrar arasındaki ilişki: OECD ülkeleri üzerine bir uygulama
The relationship between central bank transparency, credit default swap and financial stability: An application on OECD countries
EMRE YİĞİT
Doktora
Türkçe
2024
EkonomiTokat Gaziosmanpaşa Üniversitesiİktisat Ana Bilim Dalı
PROF. DR. TÜRKER ŞİMŞEK
- Finansal oranlı yapay sinir ağı modeli ile hisse değeri değişimi tahmini
Stock price forecasting with a financial ratio based neural network algorithm
MUSTAFA TANYER
Yüksek Lisans
Türkçe
2019
Endüstri ve Endüstri MühendisliğiKonya Teknik ÜniversitesiEndüstri Mühendisliği Ana Bilim Dalı
DOÇ. DR. AHMET SARUCAN
- Şirketlerin finansal kırılganlığını etkileyen faktörler üzerine ampirik bulgular
Empirical findings on factors affecting financial fragility of firms
YASİR KÜÇÜKŞAHİN
- Finansal istikrarsızlık hipotezleri bağlamında 2008 küresel ekonomik krizi ve Türkiye
Financial instability hypothesis in the context of 2008 global economic crisis and Turkey
MURAT GÜVEN
Yüksek Lisans
Türkçe
2011
EkonomiÇanakkale Onsekiz Mart Üniversitesiİktisat Ana Bilim Dalı
DOÇ. DR. MELİHA ENER
- Makine öğrenmesinde istatistiksel veriler kullanılarak maruziyetin belirlenmesi: Sakarya ölçeğinde bir çalışma
Determination of exposure using statistical data in machine learning: A case study in Sakarya
MUHAMMED ALİ HAŞILOĞLU
Yüksek Lisans
Türkçe
2024
Deprem MühendisliğiSakarya Üniversitesiİnşaat Mühendisliği Ana Bilim Dalı
PROF. DR. NACİ ÇAĞLAR