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Title: Essays on money, default and financial regulation
Author: Lin, Li
Awarding Body: University of Oxford
Current Institution: University of Oxford
Date of Award: 2013
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This is a collection of four papers, which study a range of topics related to money and finance and use different modeling techniques. The topics, nonetheless, are closely related to a main financial friction: default. The essay on default and monetary policy establishes "collateral default" as an additional monetary transmission mechanism. It studies the interactions between monetary policy, collateral prices and default decision. It shows hat default leads to suboptimal out come by causing inefficient allocations of capital goods. The essay on default and borrowing constraint studies the optimal Loan- to-Value ratio. It shows that the welfare of constrained borrower is not monotonically increasing in the LTV ratios . Moreover, there exist an over borrowing issue which necessitates government regulation on the amount of borrowing. The essay on default and banking regulation provides a DSGE model to study the impacts of Basel capital requirements on the real economy. It predicts banks' choice for the different regimes under the Basel framework. Finally, the essay on default and financial infrastructure studies the capital requirements on the over-the-counter derivative central counterparties (CCPs). It finds that the capital buffers of CCPs are highly sensitive to alternative model assumptions and inputs. Thus, it calls for detailed and prescriptive regulatory standards to avoid regulatory arbitrage land to sustain financial stability.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available