Loan Sales and Bank Liquidity Management: Evidence from a US Credit Register

• 成果类型: Article
• 署名作者: Irani, Rustom M.; Meisenzahl, Ralf R.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx024
• 发表日期: 2017
• 页码: 3455
• 关键词: Financial intermediation; lending relationships; adverse-selection; Subprime crisis; RISK; MARKET; runs; securitization; arrangements; failures

摘要

We examine how banks use loan sales to manage liquidity during periods of marketwide stress and the associated spillovers to market prices. We track the dynamics of loan share ownership in the secondary market using data from a U.S. supervisory register of syndicated loans. Controlling for loan quality using loan-year fixed effects, we find that banks reliant on wholesale funding were more likely to exit syndicates through sales during 2007/08. This effect is stronger for banks dependent on short-term funding and holding fewer liquid securities. In addition, secondary market prices decrease significantly more for loans funded by liquidity-strained banks.