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Essays on Financial Intermediation and Systemic Risk.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on Financial Intermediation and Systemic Risk./
Author:	Ruan, Tianyue.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	211 p.
Notes:	Source: Dissertation Abstracts International, Volume: 80-06(E), Section: A.
Contained By:	Dissertation Abstracts International80-06A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13837594
ISBN:	9780438849105

Essays on Financial Intermediation and Systemic Risk.
Ruan, Tianyue.

Essays on Financial Intermediation and Systemic Risk. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 211 p.

Source: Dissertation Abstracts International, Volume: 80-06(E), Section: A.

Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2018.

In this dissertation, I study the impact of regulation on the behaviors of traditional and emerging financial intermediaries, and associated implications for financial stability.

ISBN: 9780438849105Subjects--Topical Terms:

559073
Finance.

Essays on Financial Intermediation and Systemic Risk.
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245 1 0 $a Essays on Financial Intermediation and Systemic Risk.
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300 $a 211 p.
500 $a Source: Dissertation Abstracts International, Volume: 80-06(E), Section: A.
500 $a Advisers: Robert F. Engle; Robert F. Whitelaw.
502 $a Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2018.
520 $a In this dissertation, I study the impact of regulation on the behaviors of traditional and emerging financial intermediaries, and associated implications for financial stability.
520 $a In the first chapter, I investigate the causes and consequences of the phenomenon of "surrogate intermediation" in China, where non-financial firms supply credit in the shadow banking sector. Using hand-collected data, I find that the rise of firm-to-firm entrusted lending is a response to a slowdown in bank lending caused by the regulation on banks' loan-to-deposit ratios. I also find that entrusted lenders appear to use existing cash rather than raise external finance to fund the loans. These results suggest that entrusted lending by non-financial firms fills the regulation-induced gap in bank loan supply and is unlikely to undermine financial stability.
520 $a In the second chapter, I analyze the impact of risk management and capital regulation on the systemic risk build-up in the banking sector. Risk management that relies on observed market dynamics result in balance sheet expansion, high leverage, and overlooking of emerging risks during booms. Using financial conditions of U.S. bank holding companies, I show that high market valuation predicts growth of both on- and off-balance-sheet assets. Furthermore, such expansions are illiquid and risky, which represents a race to the top: banks increase leverage and purchase assets individually, and collectively they hold more common assets and build up systemic fragility.
520 $a In the third chapter (joint with Rob Engle), I investigate how the health of the financial sector affects the macroeconomy. Undercapitalized financial firms are vulnerable to external shocks, and their attempt to recapitalize in response to a negative shock can endogenously start a crisis. We assess how much SRISK, a market-based measure of systemic risk, an economy can stand. Using the Romer and Romer (2017) crisis intensity measure, we develop a probability of crisis measure and an SRISK capacity measure for 23 developed economies. These reveal the important global externality whereby the risk of a crisis in one country is strongly influenced by the under-capitalization of the rest of the world.
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793 $a English
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