Replication data for: Optimal Regulation of Financial Intermediaries
Principal Investigator(s): View help for Principal Investigator(s) Sebastian Di Tella
Version: View help for Version V1
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| Data | 10/12/2019 06:44:AM | ||
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text/plain | 14.6 KB | 10/12/2019 02:44:AM |
Project Citation:
Di Tella, Sebastian. Replication data for: Optimal Regulation of Financial Intermediaries. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113160V1
Project Description
Summary:
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I characterize the optimal financial regulation policy in an economy where financial intermediaries trade capital assets on behalf of households, but must retain an equity stake to align incentives. Financial regulation is necessary because intermediaries cannot be excluded from privately trading in capital markets. They don't internalize that high asset prices force everyone to bear more risk. The socially optimal allocation can be implemented with a tax on asset holdings. I derive a sufficient statistic for the externality in terms of observable variables, valid for heterogeneous intermediaries and asset classes, and arbitrary aggregate shocks. I use market data on leverage and volatility of intermediaries' equity to measure the externality, which co-moves with the business cycle.
Scope of Project
JEL Classification:
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D82 Asymmetric and Private Information; Mechanism Design
G01 Financial Crises
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G20 Financial Institutions and Services: General
G31 Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
H25 Business Taxes and Subsidies including sales and value-added (VAT)
D82 Asymmetric and Private Information; Mechanism Design
G01 Financial Crises
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G20 Financial Institutions and Services: General
G31 Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
H25 Business Taxes and Subsidies including sales and value-added (VAT)
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