%0 Journal Article %T Risk Shifting with Fuzzy Capital Constraints %+ Centre de recherche de la Banque Centrale européenne %+ Centre de recherche de la Banque de France %+ Observatoire français des conjonctures économiques (Sciences Po) (OFCE) %+ Département d'économie (Sciences Po) (ECON) %A Dubecq, Simon %A Mojon, Benoit %A Ragot, Xavier %< avec comité de lecture %Z 2441/2q1e9plnf29ceoqhedvb45oeio %@ 1815-4654 %J International Journal of Central Banking %I Bank for International Settlements %V 11 %N 1 %P 71 - 101 %8 2015-01 %D 2015 %K Risk shifting %K Capital requirements %Z Humanities and Social Sciences/Economics and FinanceJournal articles %X We construct a model where risk shifting can be moder-ated by capital requirements. Imperfect information about the level of capital per unit of risk, however, introduces uncertaintyabout the risk exposure of intermediaries. Over-estimation ofthe capital held by financial intermediaries, or the extent ofregulatory arbitrage, may induce households to wrongly infer from higher asset prices that the fundamentals of risky assets have improved. This mechanism can notably explain the lowrisk premia paid by U.S. financial intermediaries between 2000 and 2007 in spite of their increased exposure to risk through higher leverage. Moreover, the lower the level of the risk-free interest rate, the more risk is under-estimated %G English %2 https://sciencespo.hal.science/hal-03473718/document %2 https://sciencespo.hal.science/hal-03473718/file/2015-dubeck-rgot-mojon-risk-shifting-with-fuzzy-capital-constraints.pdf %L hal-03473718 %U https://sciencespo.hal.science/hal-03473718 %~ SHS %~ SCIENCESPO %~ CNRS %~ AO-ECONOMIE %~ OFCE %~ ECON-SCPO %~ SCPO_OA %~ SCPO-REPEC