中文摘要
关于系统性稳定的大多数研究假定,经济中的银行受外生冲击影响。然而在实践中,银行自行选择其风险暴露。我证明存在一种网络风险承担外部性:相互关联的银行所做的风险暴露选择具有策略互补性。金融网络中的银行,尤其是联系紧密的网络中的银行,会内生地暴露于过度风险之中。该理论为政策讨论提供了若干新视角。例如,它表明,将政府救助限定于同业暴露,可以有效降低内生的系统性风险。
Abstract
Most research on systemic stability assumes an economy where banks are subject to exogenous shocks. However, in practice, banks choose their exposure to risk. I show that there exists a network risk-taking externality: the risk exposure choices made by connected banks are strategically complementary. Banks within financial networks, especially densely connected ones, become endogenously exposed to excessive risks. The theory offers several novel perspectives on policy debates. For instance, it suggests that limiting government bailouts to interbank exposures can effectively reduce endogenous systemic risk.