terça-feira, outubro 07, 2008

Leituras do Dia - Entendendo crises de liquidez no sistema bancário

Serviço de utilidade pública. Como a maioria dos comentaristas sobre a crise atual não tem o menor conhecimento sobre o funcionamento do sistema bancário e como crises de liquidez podem ocorrer, coloco abaixo uma uma série de leituras sobre crises no sistema bancário.

Coordination Failures and the Lender of Last Resort:
Was Bagehot Right After All?
Jean-Charles Rochet
Universit´e de Toulouse
Institut d’Economie Industrielle
Xavier Vives
July 6, 2004
The classical doctrine of the Lender of Last Resort, elaborated by Bagehot (1873), asserts that the central bank should lend to “illiquid but solvent” banks under certain conditions. Several
authors have argued that this view is now obsolete: when interbank markets are efficient, a
solvent bank cannot be illiquid. This paper provides a possible theoretical foundation for rescuing
Bagehot’s view. Our theory does not rely on the multiplicity of equilibria that arises in classical
models of bank runs. We build a model of banks’ liquidity crises that possesses a unique Bayesian
equilibrium. In this equilibrium, there is a positive probability that a solvent bank cannot find
liquidity assistance in the market. We derive policy implications about banking regulation
(solvency and liquidity ratios) and interventions of the Lender of Last Resort. Furthermore, we
find that public (bail-out) and private (bail-in) involvement are complementary in implementing
the incentive efficient solution and that Bagehot’s Lender of Last Resort facility has to work
together with institutions providing prompt corrective action and orderly failure resolution.
Finally, we derive similar implications for an international Lender of Last Resort.
Keywords: Central bank policy, interbank market, prudential regulation, liquidity ratio, solvency
ratio, transparency, prompt corrective action, orderly failure resolution, global games,
supermodular games.

Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank

Xavier Freixas
Bruno Parigi
Jean Charles Rochet

We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system to a coordination failure (gridlock equilibrium) even if all banks are solvent. When one bank is insolvent, the stability of the banking system is affected in various ways depending on the patterns of payments across locations. We investigate the ability of the banking industry to withstand the insolvency of one bank and whether the closure of one bank generates a chain reaction on the rest of the system. We analyze the coordinating role of the Central Bank in preventing payments systemic repercussions and we examine the justification of the Too-big-to-fail-policy.

The Lender of Last Resort: A 21th Century Approach

ROCHET, Jean-Charles

The classical Bagehot’s conception of a Lender of Last Resort that lends to illiquid banks has been criticized on two grounds: on the one hand, the distinction between insolvency and illiquidity is not clear cut; on the other a fully collateralized repo market allows Central Banks to provide the adequate aggregated amount of liquidity and leave the responsibility of lending uncollateralized to the banks thus giving them a role as peer monitors.

The first criticism leaves us with no theory of a Lender of Last Resort, while the second leaves us with no Lender of Last Resort in theory. The object of this paper is to analyze rigorously these issues by providing a framework where liquidity shocks cannot be distinguished from solvency ones and ask whether there is a need for a Lender of Last Resort and how should it operate. Determining the optimal Lender of Last Resort policy requires a careful modeling of the structure of the interbank market and of the closure policy. In our set up, the results depend upon the existence of moral hazard. If the main source of moral hazard is the banks’ lack of incentives to screen loans, then the Lender of Last Resort may have to intervene to improve the e¢ciency of an unsecured interbank market; if instead, the main source of moral hazard is loans monitoring, then the interbank market should be secured and the Lender of Last Resort should never intervene.

Acho que já está na hora de ter uma discussão com o mínimo nível.


Blogger Erik Figueiredo said...

Valeu pela tentativa, mas acho que os "especialistas", mesmo depois da leitura desses textos, continuarão sem entender nada sobre a crise. E o "melhor", emitindo opiniões sobre ela.

9:40 PM  
Blogger Leonardo Monasterio said...


Uma ajuda: qual eh a introducao para metodos bayesianos que vc sugere? Eu estou vendo um monte de coisas sobre Markov Chain Monte Carlo e queria aprender esse treco. Nao existe um MCMC for dummies? :-) O que vc sugere.

11:14 AM  

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