Jean-Charles Rochet, The Apples of Wrath, In: Closing Conference: Thematic Semester on Information in Finance and Insurance. 2015. (Conference Presentation)
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Jean-Charles Rochet, The Bank Capital Controversy , In: BoE-HKMA-IMF Conference on Monetary, Financial and Prudential Policy, Interactions in the Post-Crisis World . 2015. (Conference Presentation)
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Jean-Charles Rochet, 2015 Vilfredo Pareto Lecture: The Bank Capital Controversy, In: 2015 Vilfredo Pareto Lecture, Collegio Carlo Alberto, University of Turin. 2015. (Conference Presentation)
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Santiago Moreno-Bromberg, Thi Quynh Anh Vo, Agency problems, recapitalization costs and optimal resolution of financial distress, In: NCCR FINRISK Working Paper Series, No. 861, 2015. (Working Paper)
We introduce in a dynamic–contracting framework with moral hazard the possibility of recapitalization as an alternative to liquidation when a firm is in financial distress. This is achieved by considering a loss–averse agent and by allowing (but not requiring) the latter to inject additional capital into the firm when necessary. We show that firm recapitalization may arise in an optimal, long–term contract. As a consequence, we find that there are two mechanisms at a firm’s disposal so as to deal with financial difficulties: one corresponds to a recapitalization process, the other to a liquidation one. The choice of mechanism is based on a cost–benefit analysis. |
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Jean-Charles Rochet, The Bank Capital Controversy, In: Seminar at the University of Milano-Bicocca . 2015. (Conference Presentation)
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Jean-Charles Rochet, Francois-Albert Anger Lecture: Quels modèles pour la politique macro-prudentielle?, In: Societé canadienne de science économique 55 CONGRES ANNUEL. 2015. (Conference Presentation)
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Bruno Biais, Jean-Charles Rochet, Paul Woolley, Dynamics of innovation and risks, Review of Financial Studies, Vol. 28 (5), 2015. (Journal Article)
We study the dynamics of an innovative industry when agents learn about its strength, i.e., the likelihood that it gets hit by negative shocks. Managers can exert risk-prevention effort to mitigate the consequences of such shocks. As time goes by, if no shock occurs, confidence improves. This attracts managers to the innovative sector. But, when confidence becomes high, less managers exerting low risk-prevention effort also enter. This accelerates the growth of the industry, while inducing a decline in risk-prevention. The longer the boom, the stronger the confidence, the larger the losses if a shock occurs. While the above dynamics arise in the first best, with asymmetric information there is excessive entry of inefficient managers, earning informational rents at the expense of efficient managers. This inflates the innovative sector and increases its vulnerability. |
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Guido Christiano, Is there a difference between how the European and Swiss population allocate their asset after the financial crisis, University of Zurich, Faculty of Business, Economics and Informatics, 2015. (Bachelor's Thesis)
This Bachelor thesis analyzes the differences between how Swiss and European population allocate their assets after the crisis. By comparing the respective European countries with the Swiss population, a great discrepancy is expected. For this purpose, data from the Swiss Statistics Department and from the Eurostat, as well as research papers issued by the Swiss National Bank and European Central Bank were collected. Since different resources are being compared to each other, a deeper examination of the collected data is needed. Having established a basis, the different outcomes of net wealth across countries in the euro area can be compared and reviewed.
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Zeynep Boyali, Measuring Banks' Liquidity: An Empirical Comparison of Liquidity Mismatch Index (LMI) and Liquidity Creation Measure (LCM), University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis)
This thesis is an empirical study of two theoretically-motivated liquidity measures,
namely the Liquidity Creation Measure (LCM) proposed by Berger and Bouwman (2009) and the Liquidity
Mismatch Index (LMI) proposed by Bai, Krishnamurthy and Weymuller (2015). The performances of the
LCM and the LMI are not directly comparable since these liquidity measures are computed using
different datasets. Berger and Bouwman (2009) compute the LCM for U.S. commercial banks, while Bai,
Krishnamurthy and Weymuller (2015) compute the LMI for U.S. bank holding companies. Therefore, this
thesis aims to compute both measures using the same dataset and then perform an empirical
comparison of their performances. I compute the LCM and the LMI for all U.S. commercial banks
during the sample period of
2003:Q1-2013:Q4 and evaluate the two measures on two dimensions: macro and micro. I show that the
LMI performs better than the LCM in both dimensions as it satisfies two important characteristics
of a good liquidity measure specified by Bai, Krishnamurthy and Weymuller (2015). From
macro-prudential perspectives, the LMI is able to measure liquidity imbalances in the financial
system and serve an early warning indicator of financial crises. From micro considerations, the LMI
describes liquidity risk in the cross-section of banks and determines banks with higher liquidity
risk.
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Jean-Charles Rochet, Nataliya Klimenko, Sebastian Pfeil, Bank Capital and Aggregate Credit, In: 11th Annual Cowles Conference on General Equilibrium and its Applications. 2015. (Conference Presentation)
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Jean-Charles Rochet, Europe et défis monétaires: L'Etat de l'Union (bancaire) après Siriza, In: Conference SNSE (Soc. Neuchâteloise des Sciences Economiques) with Jean-Charles Rochet. 2015. (Conference Presentation)
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Jean-Charles Rochet, Session Chair , In: Second BIS Research Network Meeting on Macroeconomics and Global Financial Markets . 2015. (Conference Presentation)
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Martin Scheffel, Hans Gersbach, Jean-Charles Rochet, Taking Banks to Solow, In: CEPR Discussion Papers, No. DP10439, 2015. (Working Paper)
We develop a simple integration of banks into the Solow model. The objective is to provide a tractable benchmark for analyzing the long-term impact of crises on economic activities and growth. A fraction of firms have to rely on banks for financing their investments while banks face themselves an endogenous leverage constraint. Informed lending by banks and uninformed lending through capital markets spur capital accumulation. The ensuing coupled accumulation rules for household wealth and bank equity yield a uniquely determined steady state. We highlight three properties when shocks to wealth, productivity or trust affect the economy. First, typically bond and loan financing react in opposite directions to such shocks. Second, negative temporary shocks to household wealth (financial crisis) or negative sectoral production shocks can surprisingly cause persistent booms of banking and even of the entire economy -- after an initial bust. Third, shocks to bank equity (banking crisis), however, lead to large and persistent downturns associated with high output losses. |
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Jean-Charles Rochet, How to Finance SIFIs?, In: LABEX ReFi (Labratoire d'Excellence Régulation Financière) Research Seminar. 2015. (Conference Presentation)
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Jean-Charles Rochet, Bank Capital Regulation and Credit Fluctuations, In: LABEX ReFi (Labratoire d'Excellence Régulation Financière): ETH - Paris 1/ESCAP Law & Finance Seminar at ESCP Europe, Paris. 2015. (Conference Presentation)
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Naveet Maharaj, An Inside View of the US-Swiss Program, and the Growing Power of the US DOJ, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis)
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Santiago Moreno-Bromberg, Nataliya Klimenko, The shadow cost of repos and bank liability structure, In: Swiss Finance Institute Research Paper, No. 15-04, 2015. (Working Paper)
Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a bank's financing structure. In our model the bank's assets consist of illiquid loans and liquid reserves and are financed by a combination of repos, long--term debt, deposits and equity. Repos are a cheap source of funding, but they are subject to an exogenous rollover risk. We show that their use adds to the cost of long--term debt financing, which limits the bank's appetite for unstable repo funding. This effect is, however, weakened under poor returns on assets, abundant deposit funding and the depositor preference rule. We also analyze the impact of a liquidity coverage ratio, payout restrictions and a leverage ratio on the bank's financing choices and show that all these tools are able to curb the bank's reliance on repos. |
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Jean-Charles Rochet, Macroprudential Regulation , In: CEPR (Centre for Economic Policy Research) Roundtable, London, hosted by Ernst & Young. 2015. (Conference Presentation)
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Erdinc Akyildirim, Albert Altarovici, Cumhur Ekinci, Effects of firm-specific public announcements on market dynamics: Implications for high-frequency traders, In: Handbook of High Frequency Trading, Academic Press, London, p. 305 - 326, 2015. (Book Chapter)
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Luca Hammel, Securitization: Risk Transfer or Regulatory Arbitrage?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis)
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