摘要：The failure of a bank or the case of a bank experiencing a crisis usually has
negative spillovers for other banks in the economy, such as through
informational contagion or an increased cost of borrowing. Such spillovers are
likely to be higher when the other banks are close to failure as well. This
paper shows that this gives rise to externalities among banks which arise from
their portfolio choices. The reason is that the assets a bank holds on its
balance sheet determine the situations in which a bank will be in a crisis, and
thus whether this will be at a time when other banks are in a crisis as well. As
a result, the equilibrium portfolio allocations in the economy are typically not
efficient. Some banks may choose too correlated portfolios, but others may
choose tooheterogeneous portfolios. The optimal regulatory treatment of banks is
typically heterogeneous and may involve encouraging more correlation at already
highly correlated banks but lowering correlation at other banks. Additional
inefficiencies arise when bank failures also have implications outside the
banking sector. Overall, the paper highlights a role for regulation in a
financial system in which the costs of financial stress at institutions are
interdependent.
