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Essays on Financial Contracting in M...
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The University of Wisconsin - Madison.
Essays on Financial Contracting in Macroeconomics.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Essays on Financial Contracting in Macroeconomics./
作者:
Dempsey, Kyle P.
面頁冊數:
1 online resource (162 pages)
附註:
Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
標題:
Economics. -
電子資源:
click for full text (PQDT)
ISBN:
9780355043532
Essays on Financial Contracting in Macroeconomics.
Dempsey, Kyle P.
Essays on Financial Contracting in Macroeconomics.
- 1 online resource (162 pages)
Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
Thesis (Ph.D.)--The University of Wisconsin - Madison, 2017.
Includes bibliographical references
The first chapter studies the effects of capital requirements on banks when firms can borrow from both bank and non-bank lenders. Banks fund loans with insured deposits and must maintain a minimum capital to asset ratio; non-banks do not. Capital requirements resolve a risk-shifting externality, inducing banks to monitor borrowers, mitigating default risk and reducing bank failures. Although raising capital requirements reduces default on bank loans, aggregate loan default responds non-monotonically as borrowers substitute into non-bank finance. At a low capital requirement, an incentive effect makes bank lending safer: tightening the capital requirement induces banks to monitor more, reducing default on their loans. At higher capital requirements, though, a substitution effect takes over: bank loans become scarce, borrowers substitute into riskier, unmonitored non-bank finance, and aggregate default rises.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780355043532Subjects--Topical Terms:
555568
Economics.
Index Terms--Genre/Form:
554714
Electronic books.
Essays on Financial Contracting in Macroeconomics.
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Essays on Financial Contracting in Macroeconomics.
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Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
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Adviser: Dean Corbae.
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Thesis (Ph.D.)--The University of Wisconsin - Madison, 2017.
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Includes bibliographical references
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The first chapter studies the effects of capital requirements on banks when firms can borrow from both bank and non-bank lenders. Banks fund loans with insured deposits and must maintain a minimum capital to asset ratio; non-banks do not. Capital requirements resolve a risk-shifting externality, inducing banks to monitor borrowers, mitigating default risk and reducing bank failures. Although raising capital requirements reduces default on bank loans, aggregate loan default responds non-monotonically as borrowers substitute into non-bank finance. At a low capital requirement, an incentive effect makes bank lending safer: tightening the capital requirement induces banks to monitor more, reducing default on their loans. At higher capital requirements, though, a substitution effect takes over: bank loans become scarce, borrowers substitute into riskier, unmonitored non-bank finance, and aggregate default rises.
520
$a
The second chapter proposes a theory of unsecured consumer credit where: borrowers have the option to default; defaulters are not exogenously excluded from future borrowing; there is free entry of lenders; and lenders cannot collude to punish defaulters. Limited credit through higher interest rates following default arises from lenders' optimal response to limited information about borrowers' types. Lenders learn from an individual's borrowing and repayment behavior about his type, encapsulating his reputation for not defaulting in a credit score. My coauthors and I take the theory to data by matching key data moments such as the overall delinquency rate. We use the model to quantify the value of reputation in the credit market, and compare static and dynamic default costs.
520
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The third chapter explores empirically how lines of credit extended by banks to firms can amplify financial shocks. The "two-sided run" banks experienced in 2008 deepened the financial crisis and slowed the subsequent recovery. I demonstrate that banks typically finance credit line drawdowns by expanding their balance sheets (mostly through non-deposit debt), and that these drawdowns adversely affect net interest margins. These standard effects did not hold during the recent financial crisis, however. I show that banks responded to increased funding costs by expanding less to meet credit line commitments, and that there were more adverse effects on profitability.
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Electronic reproduction.
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Ann Arbor, Mich. :
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ProQuest,
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2018
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Mode of access: World Wide Web
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Economics.
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ProQuest Information and Learning Co.
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The University of Wisconsin - Madison.
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10600628
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click for full text (PQDT)
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