期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：Why did the shadow banking sectors in the US and the euro area expand in the decadebefore the nancial crisis and what are the implications for systemic risk and macro-prudentialpolicy? This paper examines these issues with a model of the nancial sector where the sizeof the shadow banking sector is endogenous. In the model, shadow banking is an alternativebanking strategy which involves greater risk-taking at the expense of being exposed to \funda-mental runs" on the funding side. When such runs occur, shadow banks liquidate their assetsin a secondary market. Entry into shadow banking is pro table when traditional banks pro-vide sucient secondary market demand to prevent these liquidations from causing a re-sale.During periods of stability, the shadow banking sector expands to an excessively large size thatferments systemic risk. Its collapse then triggers a re-sale that renders traditional banks vul-nerable to \liquidity runs". The prospect of liquidity runs undermines market discipline andincreases the risk-taking incentives of traditional banks. Policy interventions aimed at allevi-ating the re-sale fuel further expansion of the shadow banking sector. Financial stability isachieved with a Pigouvian tax on shadow bank pro ts.
