Banks as patient fixed-income investors

• 成果类型: Article
• 署名作者: Hanson, Samuel G.; Shleifer, Andrei; Stein, Jeremy C.; Vishny, Robert W.
• 署名单位: Harvard University; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.06.015
• 发表日期: 2015
• 页码: 449-469
• 关键词: Commercial banking; shadow banking; Safe money-like claims

摘要

We examine the business model of traditional commercial banks when they compete with shadow banks. While both types of intermediaries create safe money-like claims, they go about this in different ways. Traditional banks create money-like claims by holding illiquid fixed-income assets to maturity, and they rely on deposit insurance and costly equity capital to support this strategy. This strategy allows bank depositors to remain sleepy: they do not have to pay attention to transient fluctuations in the market value of bank assets. In contrast, shadow banks create money-like claims by giving their investors an early exit option requiring the rapid liquidation of assets. Thus, traditional banks have a stable source of funding, while shadow banks are subject to runs and fire-sale losses. In equilibrium, traditional banks have a comparative advantage at holding fixed-income assets that have only modest fundamental risk but are illiquid and have substantial transitory price volatility, whereas shadow banks tend to hold relatively liquid assets. (C) 2015 Elsevier B.V. All rights reserved.