Přehled o publikaci

The paper tries to grasp the phenomenon of procyclical behavior of oligopolistic banking sector using game theory models. The simulation is based on a Bayesian game that models the environment of a conflict situation with imperfect information. The result implies that the dominant bank strategy, regardless of the actions of other players, is very aggressive strategy with low risk aversion and therefore the choice of riskier and potentially more profitable portfolio in times of economic prosperity. In addition to the known causes of procyclicality comes into play also the oligopolist rivalry. Conclusion the paper provides is a starting point in the form of open banking cartels (co-operating oligopoly) to coordinate strategy. The goal may be appropriate choice of credit expansion of the banking system (credit restrictions vice versa) with an acceptable profit and risk for banks and manageable terms for borrowers suitable for the economic cycle.