Who Borrows from the Lender of Last Resort?

• 成果类型: Article
• 署名作者: Drechsler, Itamar; Drechsel, Thomas; Marques-Ibanez, David; Schnabl, Philipp
• 署名单位: National Bureau of Economic Research; European Central Bank; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12421
• 发表日期: 2016
• 页码: 1933-1974
• 关键词: Banking; crises

摘要

We analyze lender of last resort (LOLR) lending during the European sovereign debt crisis. Using a novel data set on all central bank lending and collateral, we show that weakly capitalized banks took out more LOLR loans and used riskier collateral than strongly capitalized banks. We also find that weakly capitalized banks used LOLR loans to buy risky assets such as distressed sovereign debt. This resulted in a reallocation of risky assets from strongly to weakly capitalized banks. Our findings cannot be explained by classical LOLR theory. Rather, they point to risk taking by banks, both independently and with the encouragement of governments, and highlight the benefit of unifying LOLR lending and bank supervision.