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How do global banks scramble for liquidity? Evidence from the asset-backed commercial paper freeze of 2007
Acharya, Viral V.; Afonso, Gara; Kovner, Anna - Federal Reserve Bank of New York - 2013
In 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 corporate borrowing. Commercial …
Persistent link: https://www.econbiz.de/10010690282
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MEASURING SYSTEMIC RISK
Acharya, Viral V.; Brownlees, Christian; Engle, Robert; … - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe following sections are included:OverviewThe Dodd-Frank Wall Street Reform and Consumer Protection ActEvaluation of the Dodd-Frank ACTMarket-Based Measures of Systemic RiskInterconnectednessStress TestsTransparencyNYU Stern Systemic Risk RankingsSystemic Risk MethodologySystemic Risk...
Persistent link: https://www.econbiz.de/10011206372
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TAXING SYSTEMIC RISK
Acharya, Viral V.; Pedersen, Lasse; Philippon, Thomas; … - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe following sections are included:Systemic Risk and the Financial Crisis of 2007 to 2009Regulating Systemic RiskObstacle 1: Measuring Systemic RiskObstacle 2: Implementing the Tax on Systemic RiskObstacle 3: Is Moral Hazard Solved?The Dodd-Frank Wall Street Reform and Consumer...
Persistent link: https://www.econbiz.de/10011206586
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Liquidity Risk and Correlation Risk : A Clinical Study of the General Motors and Ford Downgrade of May 2005
Acharya, Viral V. - 2008
a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …
Persistent link: https://www.econbiz.de/10012725981
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Cash-in-The-Market Pricing and Optimal Resolution of Bank Failures
Acharya, Viral V. - 2007
but the total amount of available liquidity within the surviving banks falls. This results in 'cash-in-the-market' pricing … level of asset prices, there are too many banks to liquidate and inefficient users of assets who are liquidity-endowed may … regulator to bail out some failed banks. We show however that there exists a policy that involves liquidity assistance to …
Persistent link: https://www.econbiz.de/10012732140
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Too Many to Fail - An Analysis of Time-Inconsistency in Bank Closure Policies
Acharya, Viral V. - 2007
While the too-big-to-fail guarantee is explicitly a part of bank regulation in many countries, this paper shows that bank closure policies also suffer from an implicit too-many-to-fail problem: when the number of bank failures is large, the regulator finds it ex-post optimal to bail out some or...
Persistent link: https://www.econbiz.de/10012732193
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Limited Liability and Bank Herding
Acharya, Viral V. - 2006
We show that limited liability can induce profit-maximizing bank owners to herd with other banks. When bank loan returns have a systematic factor, the failure of one bank conveys adverse information about this systematic factor and increases the cost of borrowing for the surviving banks relative...
Persistent link: https://www.econbiz.de/10012735537
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Information Contagion and Bank Herding
Acharya, Viral V. - 2006
We show that the likelihood of information contagion induces profit-maximizing bank owners to herd with other banks. When bank loan returns have a common systematic factor, the cost of borrowing for a bank increases when there is adverse news on other banks, since such news, in turn, conveys...
Persistent link: https://www.econbiz.de/10012779178
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Too Many to Fail - an Analysis of Time-Inconsistency in Bank Closure Policies
Acharya, Viral V. - 2006
While the too-big-to-fail guarantee is explicitly a part of bank regulation in many countries, this paper shows that bank closure policies also suffer from an implicit too-many-to-fail problem: when the number of bank failures is large, the regulator finds it ex-post optimal to bail out some or...
Persistent link: https://www.econbiz.de/10012779529
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Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
Acharya, Viral V. - 2004
We study the effect of loan portfolio focus vs. diversification on the return and the risk of 105 Italian banks over the period 1993-1999 using data on bank-by-bank exposures to different industries and sectors. We find that diversification is not guaranteed to produce superior performance...
Persistent link: https://www.econbiz.de/10012785653