Marktstruktur im Bankensektor und makroökonomische Stabilität

• Antragstellerinnen: Professorin Dr. Monika Schnitzer; Dr. Lena Tonzer, seit 12/2014
• Fachliche Zuordnung: Wirtschaftstheorie
• Förderung: Förderung von 2012 bis 2016
• Projektkennung: Deutsche Forschungsgemeinschaft (DFG) - Projektnummer 201767716

In this project, we analyze the links between risk at the bank-level (idiosyncratic risk), market structure in banking, and real or financial macroeconomic stability. For this purpose, we use the concept of "Granularity" to capture the fact that the size distribution in the banking sector is highly skewed. If firm sizes follow a power law distribution, i.e. if market structures are characterized by the coexistence of a few very large and many small financial institutions, idiosyncratic shocks do not cancel out but can have implications for aggregate volatility. Our research is motivated by the current regulatory debate in banking, which focuses on the origins of systemic risk, and which gives rise to many open questions related to financial stability. An important question is whether systemic risk arises primarily due to market concentration, unchecked financial innovation, or whether it results from macroeconomic or asset market volatility. Furthermore, an unresolved issue is how increased financial integration affects systemic risk. On the one hand, financial integration may increase financial stability by allowing for a better diversification of risk. On the other hand, it may decrease stability by raising the risk of financial contagion and by changing market structures in banking. Finally, it is unclear which regulatory policy contributes to or mitigates volatility in financial markets. This project falls into three main research modules: 1. How does market concentration in banking as captured by different bank size distributions affect bank stability and macroeconomic volatility (both, real and financial) by translating individual shocks to the aggregate level?2. What is the impact of international financial openness on the link between bank concentration and macroeconomic volatility?3. How is the link between banking market structure and aggregate volatility affected if the efficiency of banks is endogenously determined by investments in Improving screening technologies? Each of these questions will be analyzed theoretically, in a framework with heterogeneous banks, as well as empirically, using bank-level and aggregate data.

• DFG-Verfahren: Schwerpunktprogramme
• Teilprojekt zu: SPP 1578: Finanzmärkte und Gesamtwirtschaftliche Entwicklung
• Ehemalige Antragstellerin: Professorin Dr. Claudia-Maria Buch, bis 12/2014