по
Journal Menu
> Issues > Rubrics > About journal > Authors > About the Journal > Requirements for publication > Editorial collegium > Editorial board > Peer-review process > Policy of publication. Aims & Scope. > Article retraction > Ethics > Copyright & Licensing Policy > Digital archiving policy > Open Access Policy > Open access publishing costs > Article Identification Policy > Plagiarism check policy
Journals in science databases
About the Journal

Публикация за 72 часа - теперь это реальность!
При необходимости издательство предоставляет авторам услугу сверхсрочной полноценной публикации. Уже через 72 часа статья появляется в числе опубликованных на сайте издательства с DOI и номерами страниц.
По первому требованию предоставляем все подтверждающие публикацию документы!
MAIN PAGE > Back to contents
Credit Risk Transmission: an Experimental Study of Limited Liability Effect
Burakov Dmitry Vladimirovich

PhD in Economics

senior lecturer of the Department of Money and Credit Relations and Monetary Policy at Financial University under the Government of the Russian Federation

125993, Russia, Moskva oblast', g. Moscow, Leningradskii prospekt, 49

dbur89@yandex.ru
Другие публикации этого автора
 

 

Abstract.

One of the main problems of modern banking is the issue of limited liability of credit institutions. The author of the present article discusses the relationship between liability of creditors and their willingness to take risks. Starting from the hypothesis of the existence of channels of credit risk transmission, the author sets a task to experimentally test the liability channel of creditors, according to which, tightening of creditors' responsibility leads to a reduced willingness to accapted risk due to the behavioural effect of endowment. The methodological basis of this research includes experimental research methods. To identify endowment effect and to assess its impact on willingness to take risk in terms of credit relations the author has developed a number of experimental settings. The first setting involves the comparison of the willingness to accept risk when making choice under risk and certainty. The second setting meant having the opportunity to make money, by solving a series of simple arithmetic equations before the experiment. Based on the study of changes in the level of responsibility of creditors, it can be assumed that the channel is an important element in transmission of credit risk in the movement and development of the credit sector. However efficiency of the mechanism of increasing monetary liability has limitations related to the increasing rate of income above the market average, as well as decision making in the frame of losses.

Keywords: risk, uncertainty, behavioral economics, bank, credit risk transmission, limited liablity, endowment effect, credit cycle, credit risk, lending

DOI:

10.7256/2409-7802.2016.2.18356

Article was received:

15-03-2016


Review date:

16-03-2016


Publish date:

23-06-2016


This article written in Russian. You can find full text of article in Russian here .

References
1.
Banerjee, A., Besley, T., 1990. Moral Hazard, Limited Liability and Taxation: A Principal-Agent Problem. Oxford Economic Papers New Series, 40(1), pp. 46-60.
2.
Barth, J., Caprio, G., Levine, R. Rethinking Bank Regultaion: Till Angels Govern, Cambridge University Press, 2008. P. 23.
3.
Basel Committee on Banking Supervision, 2010. Basel III: A Global Regulatory Framework for more resilient banks and banking systems. Bank for International Settlements. - 56 p.
4.
Becker, G.; Stigler, G. Law enforcement, malfeasance, and compensation of enforcers. Journal of Legal Studies. 1974, 3, pp.1-18.
5.
Brander, J.A., B.J. Spencer, 1989, “Moral Hazard and Limited Liability: Implications for the Theory of the Firm”, International Economic Review, 30(4), pp. 833-849.
6.
Gollier, Ch., P.-F. Koehl and J.-C. Rochet, 1997, “Risk-Taking Behavior with Limited Liability and Risk Aversion”, The Journal of Risk and Insurance, 64(2), pp. 347-370.
7.
Grossman, R.S. and M. Imai, 2011, “Contingent Capital and Bank Risk-Taking among British Banks before World War I”, Wesleyan Economic Working Paper No. 2011-003, Wesleyan University. - p. 33-37.
8.
Hayek, F. Monetary Theory and the Trade Cycle, 1929. -362 p.
9.
Homer, S.; Sylla, R. A History of Interest Rates, 3rd ed. New Brunswick, NJ: Rutgers University Press, 2005. - 743 p.
10.
Huck, S., Kirchsteiger, G., Oechssler, J. 2005. Learning to like what you have – explaining the endowment effect. Economic Journal, 115(505): 689-702.
11.
Kacperczyk, M., Schnabl Ph., 2011. Implicit Guarantees and Risk Taking: Evidence from Money Market Funds. NBER Working Paper No. 17321, NBER. - p.56.
12.
Kahneman, D.; Tversky, A. Prospect Theory: An Analysis of Decision Under Risk. Econometrica. 1979. Vol.47. - p. 44
13.
McCulloch, J. R., 1859. Partnerships, Limited and Unlimited Liability, Encyclopedia Britannica, 8th ed., XVII. - 143 p.
14.
Mises, L. The theory of money and credit, 1912. - 419 p.
15.
Rothbard, M. Man, Economy and State, 1962. - 383 p.
16.
Schich, S., Lindh, S., 2012. Implicit Guarantees for Bank Debt: Where Do We Stand? OECD Journal: Financial Market Trends, 1, Preprint Version, OECD. - p. 32.
17.
Selgin, G. The Theory of Free Banking: Money Supply under Competitive Note Issue. Lanham, MD.: Rowman & Littlefield, 1988.-461 p.
18.
Sinn, H.-W. 2001, “Risk taking, limited liability and the competition of bank regulators”, NBER Working Paper No. 8669, NBER. - 24 p.
19.
Smith, A., 1999 [1776]. An Inquiry into the Nature and Causes of the Wealth of Nations. Volume I (Books I to III) and Volume II (Books IV and V). Edited by Andrew Skinner. London: Penguin Books. - 183 p.
20.
Tversky, A., Kahneman, D. The Framing of Decisions and the Psychology of Choice, Science 211(4481), 1981, 453–458.
21.
Valencia, F., 2011. Monetary Policy, Bank Leverage, and Financial Stability. IMF Working Paper, International Monetary Fund. - 43 p.
22.
Wicksell, K. Interest and Prices. New York, Sentry Press, 1936. 367 p.
23.
Burakov D.V. Upravlenie tsiklichnost'yu dvizheniya kredita. M.: Rusains. 2015. - 286 s.
Link to this article

You can simply select and copy link from below text field.


Other our sites:
Official Website of NOTA BENE / Aurora Group s.r.o.
"History Illustrated" Website