How Do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007
In the August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We investigate how banks scrambled for liquidity in response to this freeze and its implications for the real economy. Commercial banks in the United States raised deposits and took advances from Federal Home Loan Banks (FHLBs). In contrast, foreign banks – with limited access to the deposit market and FHLB advances – lent less in the overnight interbank market and borrowed more from the Federal Reserve's Term Auction Facility (TAF) auctions. Relative to banks in the United States, relative to before the ABCP freeze and relative to their non-US dollar lending (difference-in-differences), foreign banks with ABCP exposure charged higher interest rates on syndicated loan packages denominated in dollars. The results point to an important funding risk in global banking, manifesting as currency shortages for banks engaged in maturity transformation in foreign countries
Year of publication: |
2015
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Authors: | Acharya, Viral V. |
Other Persons: | Afonso, Gara (contributor) ; Kovner, Anna (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Asset-Backed Securities | Asset-backed securities | Bankenliquidität | Bank liquidity | Internationale Bank | International bank | Liquidität | Liquidity | Commercial Paper | Commercial paper | Welt | World | Finanzkrise | Financial crisis |
Saved in:
freely available
Extent: | 1 Online-Ressource (51 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 15, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2024369 [DOI] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013037066