Adverse Selection with Heterogeneously Informed Agents Staff working paper 2018-7 Mohammad Davoodalhosseini A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D4, D40, D8, D82, D83, G, G0, G01, G1, G10, G2, G20 Research Theme(s): Financial markets and funds management, Market structure, Financial system, Financial stability and systemic risk, Models and tools, Economic models
Constrained Efficiency with Adverse Selection and Directed Search Staff working paper 2017-15 Mohammad Davoodalhosseini Constrained efficient allocation (CE) is characterized in a model of adverse selection and directed search (Guerrieri, Shimer, and Wright (2010)). CE is defined to be the allocation that maximizes welfare, the ex-ante utility of all agents, subject to the frictions of the environment. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D83, E, E2, E24, G, G1, J, J3, J31, J6, J64 Research Theme(s): Financial markets and funds management, Market structure, Financial system, Financial system regulation and oversight, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Asset Encumbrance, Bank Funding and Financial Fragility Staff working paper 2016-16 Kartik Anand, Prasanna Gai, James Chapman, Toni Ahnert In this piece we show that a limit on the level of asset encumbrance and minimum capital requirements are effective tools for minimizing the incentive for banks to take excessive risk. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, G, G0, G01, G2, G21, G28 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Financial system regulation and oversight
A Microfounded Design of Interconnectedness-Based Macroprudential Policy Staff working paper 2016-6 Jose Fique To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D85, G, G2, G21, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Models and tools, Economic models