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 séminaire CREST du jeudi  1er JUILLET 2010

Benoit MOJON (Banque de France)
"Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Chanel of Monetary Policy"

avec Simon DUBECQ (Banque de France et CREST) et Xavier RAGOT (Banque de France et PSE)

de 14 h à 15 h 30 en Salle S016 à l'INSEE-CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).

attention !!!
dernier séminaire de l'année universitaire, nos séminaires reprendront début octobre 2010

Résumé : We set up a model where asset price bubbles due to risk shifting can be moderated by capital requirements. However, imperfect information about the ratio of required capital, or the extent of regulatory arbitrage, introduces uncertainty about the risk exposure of intermediaries. Underestimation of regulatory arbitrage may induce households to infer that higher asset prices are due to a decline of risk. This mechanism can explain the low risk premia paid by US financial intermediaries between 2000 and 2007 in spite of their increasing leverage. Moreover, the underestimation of risk is larger the lower the level of the risk free interest rate.