Do risk premia protect from banking crises?

Gersbach H, Wenzelburger J (2004) Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld.
Bielefeld: Universität Bielefeld.

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This paper studies the question to what extent premia for macroeconomic risks in banking are sufficient to avoid banking crises. We investigate a competitive banking system embedded in an overlapping generation model subject to repeated macroeconomic shocks. We show that even if banks fully incorporate macroeconomic risks in their pricing of loans, a banking system may enter bankruptcy with a probability of one. A major cause for this default is that risk premia of a competitive banking system may become too small if the capital base is low.
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Gersbach H, Wenzelburger J. Do risk premia protect from banking crises?. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Bielefeld: Universität Bielefeld; 2004.
Gersbach, H., & Wenzelburger, J. (2004). Do risk premia protect from banking crises? (Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld). Bielefeld: Universität Bielefeld.
Gersbach, H., and Wenzelburger, J. (2004). Do risk premia protect from banking crises? Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld.
Gersbach, H., & Wenzelburger, J., 2004. Do risk premia protect from banking crises?, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld.
H. Gersbach and J. Wenzelburger, Do risk premia protect from banking crises?, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld, 2004.
Gersbach, H., Wenzelburger, J.: Do risk premia protect from banking crises? Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Universität Bielefeld, Bielefeld (2004).
Gersbach, Hans, and Wenzelburger, Jan. Do risk premia protect from banking crises?. Bielefeld: Universität Bielefeld, 2004. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld.
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