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作者：Griffin, John M.; Maturana, Gonzalo
作者单位：University of Texas System; University of Texas Austin; Emory University
摘要：ZIP codes with high concentrations of originators who misreported mortgage information experienced a 75% larger relative increase in house prices from 2003 to 2006 and a 90% larger relative decrease from 2007 to 2012 compared with other ZIP codes. Several causality tests show that high fractions of dubious originators in a ZIP code lead to large price distortions. Originators with high misreporting gave credit to borrowers with high ex ante risk, yet further understated the borrowers' true ris...
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作者：Adelino, Manuel; Schoar, Antoinette; Severino, Felipe
作者单位：Duke University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Dartmouth College
摘要：This paper highlights the importance of middle-class and high-FICO borrowers for the mortgage crisis. Contrary to popular belief, which focuses on subprime and poor borrowers, we show that mortgage originations increased for borrowers across all income levels and FICO scores. The relation between mortgage growth and income growth at the individual level remained positive throughout the pre-2007 period. Finally, middle-income, high-income, and prime borrowers all sharply increased their share o...
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作者：Jiang, Liangliang; Levine, Ross; Lin, Chen
作者单位：Lingnan University; University of California System; University of California Berkeley; University of Hong Kong
摘要：Did regulatory reforms that lowered barriers to competition increase or decrease the quality of information that banks disclose to the public? By integrating the gravity model of investment with the state-specific process of bank deregulation that occurred in the United States from the 1980s through the 1990s, we develop a bank-specific, time-varying measure of deregulation-induced competition. We find that an intensification of competition reduced abnormal accruals of loan loss provisions and...
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作者：Liu, Xuewen
作者单位：Hong Kong University of Science & Technology
摘要：We model the interplay between trade in the interbank market and creditor runs on financial institutions. We show that the feedback between them can amplify a small shock into interbank market freezing with liquidity evaporating. Credit crunches of the interbank market drive up the interbank rate. For an individual institution, a higher interbank rate - meaning a higher funding cost - results in more severe coordination problems among creditors in debt rollover decisions. Creditors thus behave...
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作者：Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of St Gallen
摘要：The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison acro...
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作者：Adelino, Manuel; Ferreira, Miguel A.
作者单位：Duke University; Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR)
摘要：We study the causal effect of bank credit rating downgrades on the supply of bank lending. The identification strategy exploits the asymmetric impact of sovereign downgrades on the ratings of banks at the sovereign bound relative to banks that are not at the bound as a result of rating agencies' sovereign ceiling policies. This asymmetric effect leads to greater reductions in ratings-sensitive funding and lending of banks at the bound relative to other banks. Results for foreign borrowers and ...
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作者：Boyson, Nicole M.; Fahlenbrach, Ruediger; Stulz, Rene M.
作者单位：Northeastern University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University System of Ohio; Ohio State University; National Bureau of Economic Research; University of Pennsylvania
摘要：We investigate why only some banks use regulatory arbitrage. We predict that banks wanting to be riskier than allowed by capital regulations (constrained banks) use regulatory arbitrage, while others do not. We find support for this hypothesis using trust-preferred securities issuance, a form of regulatory arbitrage available to almost all U.S. banks from 1996 to Dodd-Frank. We also find support for predictions that constrained banks are riskier, perform worse during the crisis, and use multip...
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作者：Kisin, Roni; Manela, Asaf
作者单位：Washington University (WUSTL)
摘要：We estimate the shadow cost of capital requirements using data on a costly loophole that allowed banks to relax these constraints. This loophole-liquidity guarantees to asset-backed commercial paper conduits-was exploited by the largest banks before the crisis of 2008. We show theoretically that a bank's use of the loophole reveals its private compliance cost, which takes into account both the costs of issuing equity and the effectiveness of capital regulation. We find that increasing capital ...
