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Three Essays in Banking.

Gross, Peter Aloisius.

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Three Essays in Banking.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three Essays in Banking./
Author:	Gross, Peter Aloisius.
Description:	220 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-12(E), Section: A.
Contained By:	Dissertation Abstracts International74-12A(E).
Subject:	Economics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3591225
ISBN:	9781303317736

Three Essays in Banking.
Gross, Peter Aloisius.

Three Essays in Banking. - 220 p.

Source: Dissertation Abstracts International, Volume: 74-12(E), Section: A.

Thesis (Ph.D.)--New York University, 2013.

This item is not available from ProQuest Dissertations & Theses.

Mortgage debt has increased substantially both on an absolute and relative level over the last two decades. In addition to securitized mortgage debt, the on-balance sheet real estate exposure of commercial banks has increased significantly. What caused this shift? Were banks overly optimistic about future house prices and therefore risk-adjusted mortgage loan returns? Did new risk based capital rules lead banks to shift towards real estate loans? In order to answer these questions, I develop a dynamic model of bank portfolio management over the business cycle in the first chapter and calibrate it to recent data. I show that a learning model in which banks are overly optimistic about real estate loans' returns can explain the shift in loan supply. Capital regulation, while theoretically a factor, is shown to only weakly affect the average bank's loan portfolio in my model.

ISBN: 9781303317736Subjects--Topical Terms:

517137
Economics.

Three Essays in Banking.
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100 1 $a Gross, Peter Aloisius. $3 3188526
245 1 0 $a Three Essays in Banking.
300 $a 220 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-12(E), Section: A.
500 $a Adviser: Thomas Philippon.
502 $a Thesis (Ph.D.)--New York University, 2013.
506 $a This item is not available from ProQuest Dissertations & Theses.
520 $a Mortgage debt has increased substantially both on an absolute and relative level over the last two decades. In addition to securitized mortgage debt, the on-balance sheet real estate exposure of commercial banks has increased significantly. What caused this shift? Were banks overly optimistic about future house prices and therefore risk-adjusted mortgage loan returns? Did new risk based capital rules lead banks to shift towards real estate loans? In order to answer these questions, I develop a dynamic model of bank portfolio management over the business cycle in the first chapter and calibrate it to recent data. I show that a learning model in which banks are overly optimistic about real estate loans' returns can explain the shift in loan supply. Capital regulation, while theoretically a factor, is shown to only weakly affect the average bank's loan portfolio in my model.
520 $a In the second chapter, I propose several approximate measures for systemic risk in networks of financial intermediaries. All measures are based on the entire financial network of claims. The measures outperform size as a proxy of systemic risk in several specifications of the network of financial claims. The computational simplicity of these measures compared to simulation studies of the extant literature can potentially offer policymakers a flexible way of measuring the riskiness of institutions' connectedness.
520 $a In the third chapter, I consider the scenario of bank failures and contagion in the absence of government intervention. The failure of large financial institutions can lead to substantial asset fire sales, which adversely affect other banks' balance sheets. This fire sale risk creates incentives for a bank to privately bail out another failing institution even if it expects to lose some of its injected equity. I characterize conditions under which such private bailouts occur through an interbank bailout channel. I also show that the level of private bailout funds provided can be inefficient. Finally, I show that with many banks, the stability of the financial system depends crucially on the distribution of equity among banks. In particular, I show that size asymmetries could lead to more efficient outcomes and breaking up large banks into smaller banks.
590 $a School code: 0146.
650 4 $a Economics. $3 517137
650 4 $a Finance. $3 542899
650 4 $a Banking. $2 bicssc $3 1557594
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710 2 $a New York University. $b Economics. $3 1032403
773 0 $t Dissertation Abstracts International $g 74-12A(E).
790 $a 0146
791 $a Ph.D.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3591225