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Мишин Арсений Олегович

Факультет экономических наук

Профиль на hse.ru ↗ тел.: +7(495) 772-95-90 | 27774
Публикаций
2
Языков
1
Наград
2
Конференций
5
Профиль Публикации (2) Курсы (6)

Профессиональные интересы

макроэкономикамакроэкономика финансовых рынковмакропруденциальное регулированиеоткрытая макроэкономика

Должности

  • Доцент — Факультет экономических наук, Департамент теоретической экономики

Био

  • · Начал работать в НИУ ВШЭ в 2020 году.

Образование

  • 2020 · PhD: Джорджтаунский университет
  • 2015 · Магистратура: Джорджтаунский университет,
  • 2013 · Специалитет: Национальный исследовательский университет "Высшая школа экономики", специальность «Экономика», квалификация «Бакалавр экономики»

Опыт работы

  • · 2020: Доцент, Национальный исследовательский университет Высшая школа экономики, Сентябрь

Награды и поощрения

  • · Благодарность департамента теоретической экономики НИУ ВШЭ (январь 2025)
  • · Лучший преподаватель — 2024

Конференции (5)

Показать все
  • · 2023: 57th Annual Conference of the CEA (Виннипег). Доклад: Dynamic bank capital regulation in the presence of shadow banks
  • · 2023: 29th International Conference Computing in Economics and Finance (Ницца). Доклад: Dynamic bank capital regulation in the presence of shadow banks
  • · 2023: 1st Annual Conference of the Banco Central do Brasil (Brasília). Доклад: Dynamic bank capital regulation in the presence of shadow banks
  • · 2021: 27th International Conference on Computing in Economics and Finance (CEF 2021) (Токио). Доклад: A Static Capital Buffer is Hard To Beat
  • · 2021: Апрельская конференция НИУ ВШЭ (Москва). Доклад: Discussant

Идентификаторы исследователя

Публикации (2)

Dynamic bank capital regulation in the presence of shadow banks

2023 · ARTICLE · en

Regulated banks expand relative to shadow banks in recessions and when credit spreads are high, while regulated banks shrink relative to shadow banks in expansions and when credit spreads are low. Motivated by these facts, I build a quantitative general equilibrium model with endogenous risk taking to study how competitive interactions between regulated banks and shadow banks affect optimal dynamic capital requirements. Limited liability and deposit insurance can lead regulated banks to provide socially inefficient risky loans when the returns on safer loans decline. Competition for scarcer funding can further lower the net returns on safe loans, making it more attractive for regulated banks to exploit the shield of limited liability with risky loans. Higher capital requirements can reduce inefficient risk at the cost of lower liquidity provision and some migration of credit from regulated banks to shadow banks. Accounting for the interactions of regulated and shadow banks can change the magnitude and direction of the optimal response of capital requirements to shocks that drive the business cycle. Moreover, Basel-III style rules that differentiate between the type of bank loans are much better at mimicking the Ramsey optimal capital requirements than standard rules that aggregate loans. The performance of such dynamic rules can be further improved once they are combined with a small static capital buffer.

DOI ↗ PDF ↗

Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules

2020 · PREPRINT · en

We build a quantitatively relevant macroeconomic model with endogenous risk-taking. In our model, deposit insurance and limited liability can lead banks to make risky loans that are socially inefficient. This excessive risk-taking can be triggered by aggregate or sectoral shocks that reduce the return on safer loans. Excessive risk-taking can be avoided by raising bank capital requirements, but unnecessarily tight requirements lower welfare by limiting liquidity producing bank deposits. Consequently, optimal capital requirements are dynamic (or state contingent). We provide examples in which a Ramsey planner would raise capital requirements: (1) during a downturn caused by a TFP shock; (2) during an expansion caused by an investment-specific shock; and (3) during an increase in market volatility that has little effect on the business cycle. In practice, the economy is driven by a constellation of shocks, and the Ramsey policy is probably beyond the policymaker's ken; so, we also consider implementable policy rules. Some rules can mimic the optimal policy rather well but are not robust to all the calibrations we consider. Basel III guidance calls for increasing capital requirements when the credit to GDP ratio rises, and relaxing them when it falls; this rule does not perform well. In fact, slightly elevated static capital requirements generally do about as well as any implementable rule.

DOI ↗ PDF ↗

Курсы (6)