英文标题：
《Incentivizing Resilience in Financial Networks》
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作者：
Matt V. Leduc, Stefan Thurner
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最新提交年份：
2017
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英文摘要：
When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential insolvency cascades. In this paper, we show how a regulator can use information about the financial network to devise a transaction-specific tax based on a network centrality measure that captures systemic importance. Since different transactions have different impact on creating systemic risk, they are taxed differently. We call this tax a Systemic Risk Tax (SRT). We use an equilibrium concept inspired by the matching markets literature to show analytically that this SRT induces a unique equilibrium matching of lenders and borrowers that is systemic-risk efficient, i.e. it minimizes systemic risk given a certain transaction volume. On the other hand, we show that without this SRT multiple equilibrium matchings exist, which are generally inefficient. This allows the regulator to effectively stimulate a `rewiring\' of the equilibrium interbank network so as to make it more resilient to insolvency cascades, without sacrificing transaction volume. Moreover, we show that a standard financial transaction tax (e.g. a Tobin-like tax) has no impact on reshaping the equilibrium financial network because it taxes all transactions indiscriminately. A Tobin-like tax is indeed shown to have a limited effect on reducing systemic risk while it decreases transaction volume.
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中文摘要：
当银行相互发放贷款时，它们会以系统性风险的形式产生负外部性。它们创建了一个银行间风险敞口网络，使其他银行面临潜在的破产风险。在本文中，我们展示了监管机构如何利用有关金融网络的信息，基于网络中心性度量（捕捉系统重要性）设计特定于交易的税收。由于不同的交易对产生系统性风险的影响不同，因此对它们的征税也不同。我们称之为系统风险税（SRT）。我们使用一个受匹配市场文献启发的均衡概念来分析表明，这种SRT导致贷款人和借款人的独特均衡匹配，这是系统风险有效的，即在给定一定交易量的情况下，它将系统风险降至最低。另一方面，我们表明，如果没有这种SRT，存在多个均衡匹配，这通常是低效的。这使得监管者能够有效地刺激均衡银行间网络的“重组”，使其在不牺牲交易量的情况下，对破产级联具有更大的弹性。此外，我们还表明，标准金融交易税（如托宾税）对重塑均衡金融网络没有影响，因为它对所有交易都不加区别地征税。事实证明，类托宾税在减少交易量的同时，对降低系统性风险的作用有限。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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