When requesting a correction, please mention this item's handle: RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1390-1402. You can help correct errors and omissions. " Autoregressions in small samples, priors about observables and initial conditions,"Īll material on this site has been provided by the respective publishers and authors. Marcet, Albert & Jarociński, Marek, 2010." The Local to Unity Dynamic Tobit Model," " Distribution of the Least Squares Estimator in a First-Order Autoregressive Model,"ĩ610004, University Library of Munich, Germany. " Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023." Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," " Asymptotic theory for near integrated processes driven by tempered linear processes," Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020." Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model,"Įconometric Reviews, Taylor & Francis Journals, vol. " Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity,"ġ665R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.ġ665R2, Cowles Foundation for Research in Economics, Yale University, revised Feb 2012.ġ665, Cowles Foundation for Research in Economics, Yale University. " Time Series Regression with a Unit Root,"Įconometrica, Econometric Society, vol. " Folklore Theorems, Implicit Maps, and Indirect Inference,"Įconometrica, Econometric Society, vol. " Asymptotic theory for linear diffusions under alternative sampling schemes,"Įconomics Letters, Elsevier, vol. " Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation,"Įconometrica, Econometric Society, vol. Present at AsianFA 2022, AFR International Conference of Economics and Finance 2022, AMES 2022 Tokyo, ESAM 2022, LSE CFM WiP Seminar 2020-2021, Macro Finance Society Workshop (Poster Session) 2022, UZH Macro PhD Workshop 2022." Adaptive Estimation of Autoregressive Models with Time-Varying Variances,"ġ585, Cowles Foundation for Research in Economics, Yale University.ġ585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006. This channel suggests that banks over-accumulate equity capital in terms of allocative efficiency, based on which I discuss implications on regulations. I use the model to understand how bank concentration affects misallocation through the interaction between bank concentration and bank capital when the financial market is incomplete, which I refer to as the “bank capital channel”. The model implies that increasing bank concentration leads to an increase in bank capital and a possibly non-binding capital constraint. Based on the stylized facts, I develop a tractable dynamic model with heterogeneous financially constrained entrepreneurs and an imperfectly competitive banking sector. bank concentration, together with the bank capital, have been rising over the last thirty years. “Bank Concentration, Bank Capital, and Misallocation.” SSRN VersionĪbstract: U.S. Present at LSE CFM WiP seminar 2022, MMF 2022, PhD Macro Workshop Xiamen University 2022, China Economics Annual Conference 2022 (Scheduled), SWFA Conference 2023, CES North American Conference (Rising Star Session) 2023, AMES 2023 (Scheduled). I discuss how efficiency and stability can be enhanced simultaneously. support the model predictions: first, the relationship between bank concentration and loan rate is non-monotonic second, the effect of bank concentration on the loan rate is positive when the bank capital ratio is low. Two pieces of micro-level evidence in the U.S. The two mechanisms also jointly establish a non-monotonic relationship between bank concentration and allocative efficiency. Considering the risk shifting mechanism and the non-binding capital constraint, the model suggests that there is non-monotonic relationship between bank concentration and the loan rate. To explain the equilibrium characterization, I propose two mechanisms, a net margin mechanism and a risk shifting mechanism, whose direction depends on banks’ optimal decisions regarding loan quantity and the accumulation of excess bank capital. When the bank capital ratio exceeds the minimum requirement, reducing bank concentration leads to more entrepreneurs’ risk taking otherwise, the concentration-risk relationship is ambiguous. “Clarifying the Relationship Between Bank Concentration and Risks: Role of Bank Capital.” ( Job Market Paper) SSRN VersionĪbstract: How does bank capital affect the relationship between bank concentration and risk taking? I develop a tractable dynamic model with heterogeneous financially constrained entrepreneurs and an imperfectly competitive banking sector.
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