The effects of public capital infusions on banks’ risk-shifting to the deposit insurance system in Japan

Brahim Guizani, Wako Watanabe

研究成果: Article査読

3 被引用数 (Scopus)

抄録

Using option pricing based models, we compute the actuarially fair deposit insurance premium and the market value of assets and asset volatility for Japanese banks as implied by their stock prices. The findings based on these variables suggest that banks shift risks to the deposit insurer who charges them risk insensitive premiums. Well-designed regulatory policies in response to the crisis, however, effectively restrain banks’ risk-shifting. Not only did the introduction of the prompt corrective action discipline insured banks, but large-scale public capital infusions successfully deleveraged banks whose assets are risky. This effectively mitigated banks’ risk-shifting.

本文言語English
ページ(範囲)15-30
ページ数16
ジャーナルJournal of Financial Stability
26
DOI
出版ステータスPublished - 2016 10 1

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Finance

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