Data for: Equilibrium risk shifting and interest rate in an opaque financial system

Abstract of associated article: We analyse the risk-taking behaviour of heterogenous intermediaries that are protected by limited liability and choose both their amount of leverage and the risk exposure of their portfolio. Due to the opacity of the financial sector, outside providers of funds cannot distinguish “prudent” intermediaries from those “imprudent” ones that voluntarily hold high-risk portfolios and expose themselves to the risk of bankrupcy. We show how the number of imprudent intermediaries is determined in equilibrium jointly with the interest rate, and how both ultimately depend on the cross-sectional distribution of intermediaries' capital. One implication of our analysis is that an exogenous increase in the supply of funds to the intermediary sector lowers interest rates and raises the number of imprudent intermediaries. Another one is that easy financing may lead an increasing number of intermediaries to gamble for resurection following a bad shock to the sector's capital, again raising economywide systemic risk.

本文摘要：我们研究了受有限责任保护且在杠杆率和投资组合风险敞口方面进行选择的异质中介机构的冒险行为。鉴于金融行业的透明度不足，外部资金提供者难以区分那些谨慎的中介机构与那些自愿持有高风险投资组合并暴露于破产风险的非谨慎中介机构。我们展示了在不谨慎中介机构数量与利率的均衡中，如何确定不谨慎中介机构数量，以及这两者最终如何取决于中介机构资本横截面分布。我们分析的一个推论是，对中介行业资金供应的外生增加会降低利率并增加非谨慎中介机构数量。另一个推论是，宽松的融资条件可能导致越来越多的中介机构在行业资本遭受不良冲击后进行赌博式复苏，从而再次提升全经济范围内的系统性风险。