内容

目次

Preface and Acknowledgments ix General Introduction and Outline of theBook 1 References 14 PART 1. WHY ARE THERE SO MANY BANKING CRISES? 19Chapter 1: Why Are There So Many Banking Crises? by Jean-Charles Rochet 211.1 Introduction 21 1.2 The Sources of Banking Fragility 23 1.3 The Lenderof Last Resort 24 1.4 Deposit Insurance and Solvency Regulations 27 1.5Lessons from Recent Crises 28 1.6 The Future of Banking Supervision 30References 33 PART 2. THE LENDER OF LAST RESORT 35 Chapter 2:Coordination Failures and the Lender of Last Resort: Was Bagehot Right AfterAll? by Jean-Charles Rochet and Xavier Vives 37 2.1 Introduction 37 2.2 TheModel 41 2.3 Runs and Solvency 44 2.4 Equilibrium of the Investors' Game 472.5 Coordination Failure and Prudential Regulation 53 2.6 CoordinationFailure and LLR Policy 55 2.7 Endogenizing the Liability Structure andCrisis Resolution 58 2.8 An International LLR 63 2.9 Concluding Remarks 66References 67 Chapter 3: The Lender of Last Resort: ATwenty-First-Century Approach by Xavier Freixas, Bruno M. Parigi, andJean-Charles Rochet 71 3.1 Introduction 71 3.2 The Model 75 3.3 EfficientSupervision: Detection and Closure of Insolvent Banks 81 3.4 EfficientClosure 85 3.5 Central Bank Lending 89 3.6 Efficient Allocation in thePresence of Gambling for Resurrection 95 3.7 Policy Implications andConclusions 97 3.8 Appendix 98 References 101 PART 3. PRUDENTIALREGULATION AND THE MANAGEMENT OF SYSTEMIC RISK 103 Chapter 4:Macroeconomic Shocks and Banking Supervision by Jean-Charles Rochet 105 4.1Introduction 105 4.2 A Brief Survey of the Literature 106 4.3 A SimpleModel of Prudential Regulation without Macroeconomic Shocks 108 4.4 How toDeal with Macroeconomic Shocks? 112 4.5 Is Market Discipline Useful? 1184.6 Policy Recommendations for Macroprudential Regulation 121 References 123Chapter 5: Interbank Lending and Systemic Risk by Jean-Charles Rochetand Jean Tirole 126 5.1 Benchmark: No Interbank Lending 132 5.2 Date-0Monitoring and Optimal Interbank Loans 139 5.3 Date-1 Monitoring, Too Big toFail, and Bank Failure Propagations 148 5.4 Conclusion 153 5.5 Appendix:Solution of Program (P) 155 References 157 Chapter 6: Controlling Riskin Payment Systems by Jean-Charles Rochet and Jean Tirole 159 6.1 Taxonomyof Payment Systems 161 6.2 Three Illustrations 166 6.3 An Economic Approachto Payment Systems 173 6.4 Centralization versus Decentralization 181 6.5An Analytical Framework 184 6.6 Conclusion 191 References 192 Chapter7: Systemic Risk, Interbank Relations, and the Central Bank by XavierFreixas, Bruno M. Parigi, and Jean-Charles Rochet 195 7.1 The Model 199 7.2Pure Coordination Problems 205 7.3 Resiliency and Market Discipline in theInterbank System 207 7.4 Closure-Triggered Contagion Risk 210 7.5Too-Big-to-Fail and Money Center Banks 213 7.6 Discussions and Conclusions215 7.7 Appendix: Proof of Proposition 7.1 217 References 222 PART 4.SOLVENCY REGULATIONS 225 Chapter 8: Capital Requirements and theBehavior of Commercial Banks by Jean-Charles Rochet 227 8.1 Introduction 2278.2 The Model 230 8.3 The Behavior of Banks in the Complete Markets Setup231 8.4 The Portfolio Model 238 8.5 The Behavior of Banks in the PortfolioModel without Capital Requirements 240 8.6 Introducing Capital Requirementsinto the Portfolio Model 244 8.7 Introducing Limited Liability into thePortfolio Model 246 8.8 Conclusion 249 8.9 Appendix 250 8.10 An Example ofan Increase in the Default Probability Consecutive to the Adoption of theCapital Requirement 256 References 257 Chapter 9: Rebalancing the ThreePillars of Basel II by Jean-Charles Rochet 258 9.1 Introduction 258 9.2 TheThree Pillars in the Academic Literature 259 9.3 A Formal Model 260 9.4Justifying the Minimum Capital Ratio 266 9.5 Market Discipline andSubordinated Debt 268 9.6 Market Discipline and Supervisory Action 269 9.7Conclusion 272 9.8 Mathematical Appendix 274 References 277 Chapter10: The Three Pillars of Basel II: Optimizing the Mix by Jean-Paul Decamps,Jean-Charles Rochet, and Benoit Roger 281 10.1 Introduction 281 10.2Related Literature 284 10.3 The Model 287 10.4 The Justification ofSolvency Requirements 292 10.5 Market Discipline 294 10.6 SupervisoryAction 298 10.7 Concluding Remarks 302 10.8 Appendix: Proof of Proposition9.2 303 10.9 Appendix: Optimal Recapitalization by Public Funds IsInfinitesimal (Liquidity Assistance) 303 10.10 Appendix: Proof ofProposition 9.3 304 References 305