Abstract: Based on the bank risk-taking model, this paper studies the influence of asset transparency and regulatory arbitrage on the systemic risk of banks on the basis of asset transparency and systemic risk measurement. The results show that (1) asset transparency has an obvious constraint on banks' systemic financial risk-taking, and regulatory arbitrage will make banks more opaque and lead to the increase of systemic financial risk-taking. (2) regulatory arbitrage (via inter-bank deposit certificates) weakens the constraint effect of asset transparency and macroprudential policy or capital supervision on banks' systemic risk-taking. The transparency of assets strengthens the restraint effect of macroprudential policy or capital supervision on systemic risk. (3) There is risk contagion of heterogeneity between debt banks and creditor banks. Creditor banks, mainly large commercial banks, are more significantly affected by interbank arbitrage, while small and medium-sized banks of debtors are more significantly constrained by asset transparency.
Full text: Asset Transparency, Regulatory Arbitrage and Systemic Risks of Banks
