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Blickle, Kristian - 2020

We make use of Shared National Credit Program (SNC) data to examine syndicated loans in which the lead arranger retains no stake. We find that the lead arranger sells its entire loan share for 27 percent of term loans and 48 percent of Term B loans, typically shortly after syndication. In...

Persistent link: https://www.econbiz.de/10012834837

Rollover Risk as Market Discipline : A Two-Sided Inefficiency

Eisenbach, Thomas M. - 2016

Why does the market discipline that banks face seem too weak during good times and too strong during bad times? Using a global games approach in a general equilibrium setting, this paper shows that rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic...

Persistent link: https://www.econbiz.de/10013007699

COVID Response : The Primary Dealer Credit Facility

Martin, Antoine; McLaughlin, Susan - 2021

The Federal Reserve established a new Primary Dealer Credit Facility (PDCF) in March 2020, to allow primary dealers to support smooth market functioning and facilitate the availability of credit to businesses and households, in the face of deteriorating conditions in the market for triparty repo...

Persistent link: https://www.econbiz.de/10013211412

Liquidity hoarding

Gale, Douglas; Yorulmazer, Tanju - 2011

Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in … the market equilibrium is constrained inefficient, with too little liquidity and inefficient hoarding. Our model features … a precautionary as well as a speculative motive for hoarding liquidity, but the inefficiency of liquidity provision can …

Persistent link: https://www.econbiz.de/10011893168

MBS Ratings and the Mortgage Credit Boom

Ashcraft, Adam B. - 2010

We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post),...

Persistent link: https://www.econbiz.de/10013143047

The Effect of State Pension Cut Legislation on Bank Values

Cohen, Lee J. - 2014

This study provides an empirical analysis of the impact of Wisconsin and Ohio pension cut legislation on values of banks operating in Wisconsin and Ohio, banks operating in other states in which pension cut legislation was being considered as Wisconsin and Ohio went through its legislative...

Persistent link: https://www.econbiz.de/10013051645

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09

Adrian, Tobias - 2012

The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...

Persistent link: https://www.econbiz.de/10013113163

Basel III : Long-Term Impact on Economic Performance and Fluctuations

Angelini, Paolo - 2011

in the level of steady-state output, relative to the baseline. The impact of the new liquidity regulation is of a similar …

Persistent link: https://www.econbiz.de/10013128984

Are Credit Default Swaps Associated with Higher Corporate Defaults?

Peristiani, Stavros - 2011

Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton's contingent claims approach, we estimate the probability of default for U.S. nonfinancial firms. Our analysis does not generally find a...

Persistent link: https://www.econbiz.de/10013124670

Payment Changes and Default Risk : The Impact of Refinancing on Expected Credit Losses

Tracy, Joseph S. - 2012

This paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit performance. This relationship is important for the design of an internal refinance program such as the Home Affordable Refinance Program (HARP). We use a competing risk model to...

Persistent link: https://www.econbiz.de/10013105432

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