Final Demand for Structured Finance Securities

• 成果类型: Article
• 署名作者: Merrill, Craig B.; Nadauld, Taylor D.; Strahan, Philip E.
• 署名单位: University of Pennsylvania; Brigham Young University; Boston College; National Bureau of Economic Research
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2827
• 发表日期: 2019
• 页码: 390-412
• 关键词: finance; Financial institutions; securitization; Structured finance

摘要

Structured finance boomed during the run-up to the 2008 financial crisis. Highly rated, structured securities offered higher yield than other similarly rated bonds because of their concentration of systematic risk, but regulatory capital requirements did not account for this risk. As a result, regulated entities facing capital constraints had an incentive to invest in them. We show that life insurance companies exposed to unrealized losses from low interest rates in the early 2000s increased their holdings of highly rated securitized assets, consistent with regulatory arbitrage distorting the demand to hold these assets.