358 records from EconBiz based on author Name

1. Optimal bank regulation in the presence of credit and run risk

Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, Alexandros P.;
2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link

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2. Aligning Incentives at Systemically Important Financial Institutions : A Proposal by the Squam Lake Group

abstract

To address the moral hazard problem that can motivate bank executives to take excessive risks and to fail to raise capital when needed, a group of 13 distinguished financial economists recommends that systemically important financial institutions be required to issue contingent convertible debt (CoCos) and to hold back a substantial share - as much as 20% - of the compensation of employees who can have a meaningful impact on the survival of the firm. This holdback should be forfeited if the firm's capital ratio falls below a specified threshold. The deferral period should be long enough - the authors suggest five years - to allow much of the uncertainty about managers' activities to be resolved before the bonds mature. Except for forfeiture, the payoff on the bonds should not depend on the firm's performance, nor should managers be permitted to hedge the risk of forfeiture. The threshold for forfeiture should be crossed well before a firm violates its regulatory capital requirements and well before its contingent convertible securities convert into equity. The Swiss Bank UBS has paid bonuses to its top 6,500 executives that have been structured in exactly this way. Management forfeits its deferred compensation if the bank's regulatory capital ratio falls below 7.5%, and its contingent convertible debt is set up to convert into equity if the bank's capital ratio falls below 5%

Baily, Martin N.; Campbell, John Y.; Cochrane, John H.; Diamond, Douglas W.; Duffie, Darrell; French, Kenneth R.; Kashyap, Anil K.; Mishkin, Frederic S.; Scharfstein, David S.; Shiller, Robert J.; Slaughter, Matthew J.; Shin, Hyun Song; Stulz, René M.;
2023
Availability: Link

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3. Price discrimination and mortgage choice

Coen, Jamie; Kashyap, Anil K.; Rostom, May;
2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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4. Price Discrimination and Mortgage Choice

abstract

We characterize the large number of mortgage offers for which people qualify in the United Kingdom. Very few pick the cheapest option, nonetheless the one selected is not usually noticeably more expensive. A few borrowers make very expensive choices. These are most common when the menu they face has many expensive options, and are most likely for high loan-to-value and loan-to-income borrowers. Young people and first-time buyers are more prone to making expensive choices. The dispersion in the mortgage menu is consistent with banks price discriminating for borrowers who might pick poorly, while competing for others who shop more effectively

Coen, Jamie; Kashyap, Anil K.; Rostom, May;
2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link

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5. Is there too much benchmarking in asset management?

Kashyap, Anil K.; Kovrijnykh, Natalia; Li, Jian; Pavlova, Anna;
2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 4 (based on OpenCitations) Cited By

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6. Monetary policy when the central bank shapes financial-market sentiment

Kashyap, Anil K.; Stein, Jeremy C.;
2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 5 (based on OpenCitations) Cited By

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7. Optimal Bank Regulation In the Presence of Credit and Run-Risk

abstract

We modify the Diamond and Dybvig (1983) model so that, besides offering liquidity services to depositors, banks also raise equity funding, make loans that are risky, and can invest in safe, liquid assets. The bank and its borrowers are subject to limited liability. When profitable, banks monitor borrowers to ensure that they repay loans. Depositors may choose to run based on conjectures about the resources that are available for people withdrawing early and beliefs about banks' monitoring. We use a new type of global game to solve for the run decision. We find that banks opt for a more deposit-intensive capital structure than a social planner would choose. The privately chosen asset portfolio can be more or less lending-intensive, while the scale of intermediation can also be higher or lower depending on a planner's preferences between liquidity provision and credit extension. To correct these three distortions, a package of three regulations is warranted

Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, Alexandros P.;
2020
Availability: Link Link
Citations: 17 (based on OpenCitations) Cited By

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8. The great disconnect : the decoupling of wage and price inflation in Japan

Hoshi, Takeo; Kashyap, Anil K.;
2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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9. Optimal bank regulation in the presence of credit and run-risk

Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, Alexandros P.;
2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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10. The Great Disconnect : The Decoupling of Wage and Price Inflation in Japan

abstract

We take some well-known observations about the structure of the Japanese labor market and add new evidence about how it has evolved to study inflation in Japan. Our key finding is that labor market dynamics shifted after 1998 so that correlations between labor market tightness and wages weakened noticeably. This change was accompanied in a break in the relationship between wages and prices, so wage inflation has become a much less important determinant of price inflation

Hoshi, Takeo; Kashyap, Anil K.;
2020
Availability: Link Link
Citations: 22 (based on OpenCitations) Cited By

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