Liquidity risk and syndicate structure

• 成果类型: Article
• 署名作者: Gatev, Evan; Strahan, Philip E.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Boston College; Simon Fraser University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.10.004
• 发表日期: 2009
• 页码: 490-504
• 关键词: liquidity; risk management; Syndicated lending

摘要

We decompose syndicated loan risk into credit, market, and liquidity risk and test how these shape syndicate structure. Commercial banks dominate relative to non-banks in loan syndicates that expose lenders to liquidity risk. This dominance is most pronounced when borrowers have high levels of creditor market risk. We then tie commercial banks' advantage in liquidity risk to access to transactions deposits by comparing investments a cross-banks. The results suggest that risk-management considerations matter most for participants relative to lead arrangers. Links from transactions deposits to liquidity exposure, for instance, are more than 50% larger at participants than at lead arrangers. (C) 2009 Elsevier B.V. All rights reserved.