Banking Sector Fragility: Market Failure,Liquidity Crunch and Credit Shock.

详细信息   

• 作者：Tian ; Jianbo.
• 学历：Doctor
• 年：2010
• 关键词：liquidity risk ; easy credit ; subprime crisis ; bank
• 导师：Shawky, Hany,eadvisorJerison, Micheal,eadvisorShawky, Hanyecommittee memberJerison, Michealecommittee memberDieffenbanch, Bruceecommittee member
• 毕业院校：State University of New York
• Department：Economics
• ISBN：9781124381022
• CBH：3432939
• Country：USA
• 语种：English
• FileSize：4500045
• Pages：201

文摘

Using the weekly U.S. banks balance sheet from 1975:Q1 to 2010:Q2, this paper shows that the credit shift among banks balance sheet explains the chain of critical events led to the recent bank panic. The finding upgrades the risk management in several ways. Firstly, we found that there was no dramatic change in money supply currency, M1 and M2) in the 2000s. When under such capital supply constraint, banks had to cut off other assets in order to finance more real estate loans. This tradeoff force them to be cautious with mortgage issuance. Secondly, we also found that the shadow banking system was used as a trading platform mainly to share and eliminate idiosyncratic shocks among banks rather than to transfer credit risk from banking to other financial sectors. The ease of trading significantly increased banks asset flexibility, thus further encouraged them to aggressively replace their defensive assets with real estate loans for higher profit. Last but not least, banks failed to recognize the market limitation of the shadow banking system. After banks shifted too much credit to real estate loans, their ability to absorb the systematic shocks is severely compromised. Banks found themselves exposed to the combination of market risk, liquidity risk and credit risk. Since current risk management monitors these risks separately, it failed to signal any warning before such compound impact crashed both the shadow banking system and the global real economy.