Central Bank Policy and the Concentration of Risk: Empirical Estimates

Nuno Coimbra, Daisoon Kim and Helene Rey

No 28907, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Before the 2008 crisis, the cross-sectional skewness of banks’ leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks’ risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary policymakers confront the trade-off between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability.

JEL-codes: E0 E5 F3 G01 (search for similar items in EconPapers)
Date: 2021-06
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fdg, nep-mac, nep-mon and nep-rmg
Note: AP CF IFM ME
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published as Nuno Coimbra & Daisoon Kim & Hélène Rey, 2021. "Central Bank Policy and the concentration of risk: Empirical estimates," Journal of Monetary Economics, .

Downloads: (external link)
http://www.nber.org/papers/w28907.pdf (application/pdf)

Related works:
Journal Article: Central Bank Policy and the concentration of risk: Empirical estimates (2022)
Working Paper: Central Bank Policy and the Concentration of Risk: Empirical Estimates (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:28907

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w28907

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().