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Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock.

机译：银行业的脆弱性：市场失灵，流动性紧缩和信贷冲击。

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摘要

Using the weekly U.S. banks' balance sheet from 1975:Q1 to 2010:Q2, this paper shows that the credit shift among banks' balance sheet explains the chain of critical events led to the recent bank panic. The finding upgrades the risk management in several ways. Firstly, we found that there was no dramatic change in money supply (currency, M1 and M2) in the 2000s. When under such capital supply constraint, banks had to cut off other assets in order to finance more real estate loans. This tradeoff force them to be cautious with mortgage issuance. Secondly, we also found that the shadow banking system was used as a trading platform mainly to share and eliminate idiosyncratic shocks among banks rather than to transfer credit risk from banking to other financial sectors. The ease of trading significantly increased bank's asset flexibility, thus further encouraged them to aggressively replace their defensive assets with real estate loans for higher profit. Last but not least, banks failed to recognize the market limitation of the shadow banking system. After banks shifted too much credit to real estate loans, their ability to absorb the systematic shocks is severely compromised. Banks found themselves exposed to the combination of market risk, liquidity risk and credit risk. Since current risk management monitors these risks separately, it failed to signal any warning before such compound impact crashed both the shadow banking system and the global real economy.;Keywords: liquidity risk, easy credit, subprime crisis, bank run, defensive asset, shadow bank system, securitization
机译：使用1975年第一季度至2010年第二季度的美国银行每周资产负债表，本文显示，银行资产负债表之间的信用转移说明了导致近期银行恐慌的一系列关键事件。该发现以多种方式升级了风险管理。首先，我们发现在2000年代货币供应量（货币，M1和M2）没有显着变化。在这种资本供应约束下，银行不得不削减其他资产，以筹集更多的房地产贷款。这种折衷迫使他们对抵押贷款的发行保持谨慎。其次，我们还发现影子银行系统被用作交易平台，主要是为了在银行之间共享和消除特殊冲击，而不是将信贷风险从银行转移到其他金融部门。贸易便利性极大地提高了银行的资产灵活性，从而进一步鼓励他们以房地产贷款积极替换其防御性资产，以获取更高的利润。最后但并非最不重要的一点是，银行没有意识到影子银行系统的市场局限性。在银行将过多的信贷转移到房地产贷款之后，它们吸收系统性冲击的能力受到严重损害。银行发现自己面临市场风险，流动性风险和信贷风险的综合风险。由于当前的风险管理分别监视这些风险，因此未能在这种复合影响使影子银行系统和全球实体经济崩溃之前发出任何警告。关键词：流动性风险，宽松信贷，次贷危机，银行挤兑，防御性资产，影子银行系统，证券化

著录项

  • 作者

    Tian, Jianbo.;

  • 作者单位

    State University of New York at Albany.;

  • 授予单位 State University of New York at Albany.;
  • 学科 Economics Commerce-Business.;Business Administration Banking.;Economics Theory.;Economics Finance.
  • 学位 Ph.D.
  • 年度 2010
  • 页码 200 p.
  • 总页数 200
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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