Central bank research hub - Papers by Marcella Lucchetta
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Research hub papers by author Marcella LucchettaenSystematic risk, bank moral hazard, and bailouts
https://helda.helsinki.fi/bof/bitstream/123456789/15109/1/BoF_DP_1802.pdf
Bank of Finland Discussion Papers by Marcella Lucchetta, Michele Moretto and Bruno M. ParigiSystematic risk, bank moral hazard, and bailouts2018-01-23T00:00:00ZWe show that the impact of government bailouts (liquidity injections) on a representative bank's risk taking depends on the level of systematic risk of its loans portfolio. In a model where bank's output follows a geometric Brownian motion and the government guarantees bank's liabilities, we show first that more generous bailouts may or may not induce banks to take on more risk depending on the level of systematic risk; if systematic risk is high (low), a more generous bailout decreases (increases) bank's risk taking. Second, the optimal liquidity policy itself depends on systematic risk. Third, the relationship between bailouts and bank's risk taking is not monotonic. When systematic risk is low, the optimal liquidity policy is loose and more generous bailouts induce banks to take on more risk. If systematic risk is high and the optimal liquidity policy is tight, less generous bailouts induce banks to take on less risk. However, when high systematic risk makes a very tight liquidity policy optimal, a less generous bailout could increase bank's risk taking. While in this model there is only one representative bank, in an economy with many banks, a higher level of systematic risk could also be a source of systemic risk if a tighter liquidity policy induces correlated risk taking choices by banks.Systematic risk, bank moral hazard, and bailoutsFull texthttps://helda.helsinki.fi/bof/bitstream/123456789/15109/1/BoF_DP_1802.pdfMichele MorettoBruno M. ParigiMarcella LucchettaMarcella Lucchetta, Michele Moretto and Bruno M. Parigi2018-01-23Bank of Finland Research Discussion PapersG00G20G21Capital regulation, liquidity requirements and taxation in a dynamic model of banking
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_04_24_dkp_10.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Gianni de Nicolò, Andrea Gamba, Marcella LucchettaCapital regulation, liquidity requirements and taxation in a dynamic model of banking2012-05-29T12:35:00ZCapital regulation, liquidity requirements and taxation in a dynamic model of bankingFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_04_24_dkp_10.pdf?__blob=publicationFileMarcella LucchettaAndrea GambaGianni de NicolòGianni de Nicolò, Andrea Gamba, Marcella Lucchetta2012-04-24Deutsche Bundesbank Discussion PapersG21G28G33Capital regulation, liquidity requirements and taxation in a dynamic model of banking
http://www.bundesbank.de/download/volkswirtschaft/dkp/2012/201210dkp.en.pdf
Deutsche Bundesbank Discussion Papers by Gianni de Nicolò, Andrea Gamba, Marcella LucchettaCapital regulation, liquidity requirements and taxation in a dynamic model of banking2012-04-24T12:35:59ZCapital regulation, liquidity requirements and taxation in a dynamic model of bankingFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2012/201210dkp.en.pdfMarcella LucchettaAndrea GambaGianni de NicolòGianni de Nicolò, Andrea Gamba, Marcella Lucchetta2012-04-24Deutsche Bundesbank Discussion PapersG21G28G33