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作者：Allen, Franklin; Carletti, Elena; Gale, Douglas
作者单位：University of Pennsylvania; European University Institute; New York University
摘要：We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. in such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading...
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作者：Keys, Benjamin J.; Mukherjee, Tanmoy; Seru, Amit; Vig, Vikrant
作者单位：University of Chicago; University of Michigan System; University of Michigan; University of London; London Business School
摘要：We examine the consequences of existing regulations on the quality of mortgage loans originations in the originate-to-distribute (OTD) market. The information asymmetries in the OTD market can lead to moral hazard problems on the part of lenders. We find, using a plausibly exogenous source of variation in the ease of securitization, that the quality of loan origination varies inversely with the amount of regulation: more regulated lenders originate loans of worse quality. We interpret this res...
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作者：Jaffee, Dwight M.
作者单位：University of California System; University of California Berkeley
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作者：Benmelech, Efraim; Dlugosz, Jennifer
作者单位：Harvard University; National Bureau of Economic Research; Harvard University
摘要：Collateralized loan obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried up. Similar to other structured finance products, investors in CLOs rely heavily on credit rating provided by the rating agencies, yet little is known about CLO rating practices. This paper attempts to fi...
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作者：Skreta, Vasiliki; Veldkamp, Laura
作者单位：New York University
摘要：Many identify inflated credit ratings as one contributor to the recent financial-market turmoil. We develop an equilibrium model of the market for ratings and use it to examine possible origins of and cures for ratings inflation. In the model, asset issuers can shop for ratings-observe multiple ratings and disclose only the most favorable-before auctioning their assets. When assets are simple, agencies' ratings are similar and the incentive to ratings shop is low. When assets are sufficiently ...
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作者：Ashcraft, Adam B.
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作者：Mathis, Jerome; McAndrews, James; Rochet, Jean-Charles
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Federal Reserve System - USA; Federal Reserve Bank - New York; Universite Federale Toulouse Midi-Pyrenees (ComUE)
摘要：Credit rating agencies (CRAs) are accused of bearing a strong responsibility for contributing to the subprime crisis by having been deliberately too lax in the ratings of some structured products. In response to this accusation, CRAs argue that such an attitude would be too dangerous for them, since their reputation is at stake. The objective of this article is to examine the validity of this argument within a formal model: Are reputation concerns sufficient to discipline rating agencies.? We ...
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作者：Spatt, Chester
作者单位：Carnegie Mellon University; National Bureau of Economic Research; Carnegie Mellon University
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作者：Berndt, Antje; Gupta, Anurag
作者单位：Carnegie Mellon University; University System of Ohio; Case Western Reserve University
摘要：Bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model. We show that the borrowers whose loans are sold in the secondary market underperform their peers by about 9% per year (risk-adjusted) over the three-year period following the initial sale of their loans. Therefore, either banks are originating and selling loans of lower quality borrowers based on unobservable private information (adverse selection), and/or loan sales lead to diminished ...
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作者：Duffee, Greg
作者单位：Johns Hopkins University
