The Rise of Shadow Banking: Evidence from Capital Regulation

• 成果类型: Article
• 署名作者: Irani, Rustom M.; Iyer, Rajkamal; Meisenzahl, Ralf R.; Peydro, Jose-Luis
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Imperial College London; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa106
• 发表日期: 2021
• 页码: 2181
• 关键词: Macroprudential policy; Liquidity management; Financial stability; loan sales; credit; fragility; selection

摘要

We investigate the connections between bank capital regulation and the prevalence of lightly regulated nonbanks (shadow banks) in the U.S. corporate loan market. For identification, we exploit a supervisory credit register of syndicated loans, loan-time fixed effects, and shocks to capital requirements arising from surprise features of the U.S. implementation of Basel III. We find that less-capitalized banks reduce loan retention, particularly among loans with higher capital requirements and at times when capital is scarce, and nonbanksstep in. This reallocation is associated with important adverse effects during the 2008 crisis: loans funded by nonbanks with fragile liabilities are less likely to be rolled over and experience greater price volatility.