影子银行的审慎工具包

Kinda Hachem|Martin Kuncl The Prudential Toolkit with Shadow BankingKinda HachemandMartin Kuncl FederalReserve Bank of New York Staff Reports, no.1142March2025https://doi.org/10.59576/sr.1142 Abstract Several countries now require banks or money market funds to impose state-contingent costson short-term creditors to absorb financial stress. We study these requirements as part of thebroader prudentialtoolkit in a model with five key ingredients: banks may face an aggregatestress state with highwithdrawals; a fire-sale externality motivates a mix of non-contingentand state-contingent regulation;banks may use shadow technologies to circumvent regulation;parameters of the shadow technologiesmay be private information; and bailouts may occur.We characterize the optimal policy for variouscombinations of these ingredients and demonstratethat the threat of shadow activities constrains state-contingent regulation more than noncontingentregulation, especially when imperfect information andlimited commitment coexist.The planner triggers shadow activities with positive probability underimperfect information,and shadow activities that deplete resources in the stress state elicit larger bailoutsunder limitedcommitment, rendering the requirement of state-contingent costs a weak instrument. JEL classification:D62, E61, G01, G21, G28Keywords:pecuniary externality, bailout, bail-in, shadow banking, optimal regulation Hachem: Federal Reserve Bank of New York, UVA Darden(email:kinda.hachem@ny.frb.org).Kuncl:Bank of Canada(email:mkuncl@bankofcanada.ca).The authorsthank seminar participants at the Bankof Canada and Federal Reserve Bank of New York for helpfulcomments.Theyalso thank Michael Beeliand Tommy Decker for excellent research assistance. This paper presents preliminary findings and is being distributed to economists and other interestedreaders solely to stimulate discussion and elicit comments. The views expressed in this paper are those ofthe author(s) and do not necessarily reflect theposition of theBank of Canada,Federal Reserve Bank ofNew York,or the Federal Reserve System. Any errors or omissions are the responsibility of the author(s). 1Introduction Financial crises involve high social costs so banks are heavily regulated.Some regulations intro-duce state-contingency into the returns of short-term creditors while others do not. Examples ofnon-contingent regulation include liquidity and capital requirements, which aim to increase theresiliency of banks to outflows and losses so that depositors and other debt-holders are unaffected.Examples of state-contingent regulation include dynamic liquidity fees at institutional prime moneymarket funds when redemption volume is high (U.S.) and bail-ins of debt instruments at bankswhen capitalization is low (Europe). In both cases, state-contingent regulation introduces explicitvariability into investor payoffs to decrease outflows or absorb losses that would otherwise be large. A major impediment to designing effective regulation is the information gap between banks andregulators. Regulators only see what banks report, and banks can restructure activities within thediscretion allowed by accounting standards to provide reports that circumvent the corrective aim ofregulation. Bank-sponsored shadow banking is a form of regulatory circumvention. The literatureon shadow banking has boomed since the global financial crisis, focusing on activities that aremeant to circumvent largely non-contingent regulation; see Acharya et al. (2013) for a prominentexample on capital requirements and Hachem and Song (2021) for liquidity requirements. However,little is known about shadow activities that are meant to circumvent state-contingent regulation,including how these activities might impact the effectiveness of non-contingent regulation and howthey might affect the size of government bailouts. In this paper, we study the optimal mix of state-contingent and non-contingent regulationwhen banks may find it profitable to engage in regulatory circumvention.We characterize thismix as a function of the cost parameters of the shadow activities available to banks, the planner’sinformation about these parameters, and the planner’s ability to commit to a bailout policy. Thisallows us to speak to the optimal mix of regulation for a wide range of environments, from the mostto least favorable for the planner.We show that state-contingent regulation is more likely to beconstrained by the threat of shadow activities; the range of cost parameters over which the plannercannot implement the unconstrained optimum is larger than for non-contingent regulation. If theplanner has imperfect information, then shadow activities are triggered with positive probabilityand we show that the circumvention of state-contingent regulation interacts more aggressively with the size of the bailout in the absence of commitment, resulting in endogenously asymmetric welfarelosses from uncertainty about (or overestimation o