Central Bank Policy and the concentration of risk: Empirical estimates
利用银行资产负债表数据，提取银行风险承担参数的分布，通过反事实分析揭示货币政策在刺激经济与金融稳定之间的权衡，并证明宏观审慎政策能有效增强金融稳定。
Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary policymakers confront the trade-off between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability.