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Financial Crisis as a Run on Profitable Banks.
- Source :
- Annals of Economics & Finance; May2024, Vol. 25 Issue 1, p213-250, 38p
- Publication Year :
- 2024
-
Abstract
- I build a quantitative macro finance model, motivated by empirical findings in Kim (2023) that shows money market mutual funds withdraw from dealer banks with a high return on equity because safe assets issued by issuers with a higher ROE has lower moneyness. The model features a bank that borrows money by issuing a short-term money-like debt with time-varying moneyness. When lenders deem the bank asset too risky -- using the bank's ROE as a proxy -- the short-term debt no longer serves the role of money. An increase in the regulatory capital requirement affects the real economy through three different offsetting channels. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15297373
- Volume :
- 25
- Issue :
- 1
- Database :
- Supplemental Index
- Journal :
- Annals of Economics & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 177831064