Essays on the Role of Banks in the Macroeconomy.

摘要

This dissertation consists of four essays that explore the interaction between banks and the supply of safe assets in the macroeconomy.;The first essay, "Banks as Safety Multipliers: A Theory of Safe Assets Creation", argues that the role of banks is to multiply safety. The optimal risk-sharing arrangement between risk-neutral banks and risk-averse investors is implemented with banks issuing debt securities. To guarantee their safety, banks hold on their balance sheets long-term public debt, whose return is negatively correlated to macroeconomic shocks. I show that lowering the supply of safe public debt induces banks to shrink their balance sheet, which hurts the supply of safe private debt. The decentralized equilibrium is constrained inefficient, as agents do not internalize the benefits of issuing long-term securities. I document that the supply of bank debt is positively correlated to the supply of public debt in Europe, where risk-averse investors heavily rely on banks to create safe assets.;The second essay, "Leverage and Reputational Fragility in Credit Markets", develops a bargaining model of short-term secured debt markets. It characterizes the equilibrium leverage chosen by borrowers differing in the strength of their reputation and their long-term relationships. I show that borrowers with higher reputation and with more stable funding relationships are more levered and more profitable, but also more fragile to aggregate shocks, as reputation endogenously vanishes when net worth gets closer to zero. Reputation acts as a stabilization mechanism in good times, but as an amplification in bad times. I find that these predictions are confirmed on the repo market, a predominant source of financing for US banks.;The third essay, "Measuring Liquidity Mismatch in the Banking Sector", shows that banks issue liabilities that are more liquid than their assets. We define and construct a liquidity mismatch index (LMI) for 2870 banks. The aggregate LMI worsens from -;The fourth essay, "Optimal Eurobond Design", explores joint-liability issuance by a group of countries. We show that issuing jointly decreases welfare because of a non-cooperative game that leads to over-borrowing. Joint liabilities at best implement a transfer across asymmetric countries. However, if safe assets are scarce in the economy, pooling and tranching sovereign debt cater to a safety premium and then lead to a Pareto improvement.