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首页> 外文期刊>Journal of Economic Dynamics and Control >Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes
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Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes

机译：与基于网络的，依赖于系统性风险的金融交易税相比，针对G-SIB的巴塞尔协议III的资本附加费在管理系统性风险方面效果不佳。

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摘要

In addition to constraining bilateral exposures of financial institutions, there exist essentially two options for future financial regulation of systemic risk: First, regulation could attempt to reduce the financial fragility of global or domestic systemically important financial institutions (G-SIBS or D-SIBs), as for instance proposed by Basel III. Second, it could focus on strengthening the financial system as a whole by reducing the probability of large-scale cascading events. This can be achieved by re-shaping the topology of financial networks. We use an agent-based model of a financial system and the real economy to study and compare the consequences of these two options. By conducting three computer experiments with the agent-based model we find that re-shaping financial networks is more effective and efficient than reducing financial fragility. Capital surcharges for G-SIBs could reduce systemic risk, but they would have to be substantially larger than those specified in the current Basel III proposal in order to have a measurable impact. This would cause a loss of efficiency. (C) 2017 Elsevier B.V. All rights reserved.
机译：除了限制金融机构的双边风险外，未来对系统风险的金融监管还存在两种选择：首先，监管可以尝试减少全球或国内具有系统重要性的金融机构（G-SIBS或D-SIB）的金融脆弱性。 ，例如巴塞尔协议III提出的。其次，它可以着重于通过减少大规模级联事件的可能性来加强整个金融体系。这可以通过重塑金融网络的拓扑结构来实现。我们使用金融系统和实体经济的基于代理的模型来研究和比较这两种选择的后果。通过使用基于代理的模型进行三个计算机实验，我们发现重塑金融网络比减少金融脆弱性更有效。 G-SIB的资本附加费可以降低系统性风险，但必须大大高于当前的《巴塞尔协议III》提议中规定的附加费，才能产生可​​衡量的影响。这将导致效率损失。 （C）2017 Elsevier B.V.保留所有权利。

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  • 来源
    《Journal of Economic Dynamics and Control》 |2017年第4期|230-246|共17页
  • 作者

    Poledna Sebastian; Bochmann Olaf; Thurner Stefan;

  • 作者单位

    IIASA, Schlosspl 1, A-2361 Laxenburg, Austria|Med Univ Vienna, Sect Sci Complex Syst, Spitalgasse 23, A-1090 Vienna, Austria;

    Oxford Martin Sch, Inst New Econ Thinking, Eagle House,Walton Well Rd, Oxford OX2 3ED, England|Univ Oxford, Math Inst, Woodstock Rd, Oxford OX2 6GG, England;

    IIASA, Schlosspl 1, A-2361 Laxenburg, Austria|Med Univ Vienna, Sect Sci Complex Syst, Spitalgasse 23, A-1090 Vienna, Austria|Santa Fe Inst, 1399 Hyde Pk Rd, Santa Fe, NM 87501 USA|Complex Sci Hub Vienna, Josefstadter Str 39, A-1080 Vienna, Austria;

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  • 正文语种 eng
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  • 关键词

    Basel III; Systemic risk; Resilience; Agent-based modeling; DebtRank; Banking regulation;

    机译：巴塞尔协议III;系统风险;弹性;基于Agent的建模;债务等级;银行监管;

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