Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

Essays in banking theory

Tools
- Tools
+ Tools

Vadasz, Tamas (2018) Essays in banking theory. PhD thesis, University of Warwick.

[img]
Preview
PDF
WRAP_Theses_Vadasz_2018.pdf - Submitted Version - Requires a PDF viewer.

Download (2957Kb) | Preview
Official URL: http://webcat.warwick.ac.uk/record=b3405251~S15

Request Changes to record.

Abstract

In the first essay (joint with Dr. Kebin Ma) we analyse a possible informational impact of banking regulations. Banks can take costly actions (such as higher capitalization, liquidity holding, and advanced risk management) to fend off runs. While such actions directly affect bank risks, they also carry informational content as signals of the banks' fundamentals. A separating equilibrium due to such signalling, however, involves two types of inefficiency: the high type chooses excessively costly signals, whereas the low type is vulnerable to runs. This provides a novel rationale for financial regulations: by restricting banks' actions, regulators can maintain a pooling equilibrium where the cross-subsidy among types promotes financial stability. We build a theoretical model to illustrate the point and also obtain supporting evidence from the US capital and liquidity regulations.

The second essay (joint with Prof. John Thanassoulis) seeks to provide a theoretical explanation of the variety of pricing schemes and product bundling observed in personal current account (PCA) markets. The main motivating fact is the widespread proliferation of `free-if-in-credit' (FIIC) current accounts in certain countries (US, UK), in contrast to some other European countries (France, Italy, Hungary), where even basic current account services are subject to excessive monthly fees. Existing evidence is consistent with the possibility that FIIC current accounts are cross-subsidized by exploitative and complicated fee structures on connected products, in particular by the excessive usage of overdraft facilities. In this research we propose a novel approach to model competitive aftermarkets, and demonstrate how certain sources of market power, namely customer naiveté and adverse selection interact in equilibrium. This helps to better understand why some markets are more likely to develop FIIC pricing than others.

In the last chapter I demonstrate how illiquidity is determined endogenously during crises as a result of equilibrium behaviour of financial institutions subject to leverage constraints. I show in a simple and intuitive framework that asset liquidation decisions exhibit similar characteristic to a Prisoners' dilemma: although financial institutions are given the possibility to dampen the cost of fire-sale spillovers, the only Nash-equilibrium is where banks 'defect', and end up coordinating on selling the more liquid common asset, which in turn becomes illiquid. This reduces welfare compared to the socially optimal de-leveraging rule.

Item Type: Thesis or Dissertation (PhD)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Library of Congress Subject Headings (LCSH): Banks and banking, Bank accounts, Liquidity (Economics), Banking law
Official Date: September 2018
Dates:
DateEvent
September 2018UNSPECIFIED
Institution: University of Warwick
Theses Department: Warwick Business School
Thesis Type: PhD
Publication Status: Unpublished
Supervisor(s)/Advisor: Thanassoulis, John ; Ma, Kebin
Sponsors: Warwick Business School, Finance Group
Format of File: pdf
Extent: vii, 173 leaves :illustrations, charts
Language: eng

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us