The role of securitization in bank liquidity and funding management

Journal of Financial Economics - Tập 100 - Trang 663-684 - 2011
Elena Loutskina1
1The Darden School of Business Administration, University of Virginia, 100 Darden Boulevard, Charlottesville, VA 22903, United States

Tài liệu tham khảo

Acharya, V.V., Schnabl, P. Do global banks spread global imbalances? The case of asset-backed commercial paper during the financial crisis of 2007–09. International Monetary Fund, Economic Review, forthcoming. Ambrose, 2002, Measuring potential GSE funding advantages, Journal of Real Estate Finance and Economics, 25, 129, 10.1023/A:1016569507838 Anderson, 1982, Formulation and estimation of dynamic models using panel data, Journal of Econometrics, 18, 47, 10.1016/0304-4076(82)90095-1 Arellano, 1991, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies, 58, 277, 10.2307/2297968 Ashcraft, 2006, New evidence on the lending channel, Journal of Money, Credit, and Banking, 38, 751, 10.1353/mcb.2006.0037 Bernanke, 1990, On the predictive power of interest rates and interest rate spreads, New England Economic Review (November–December), Federal Reserve Bank of Boston, 51 Bernanke, 1992, The federal funds rate and the channels of monetary transmission, American Economic Review, 82, 901 Bernanke, 1995, Inside the black box: the credit channel of monetary policy transmission, Journal of Economic Perspectives, 9, 27, 10.1257/jep.9.4.27 Bernanke, 1998, Measuring monetary policy, Quarterly Journal of Economics, 9, 869, 10.1162/003355398555775 Black, 1981, The impact of the GNMA pass-through program on FHA mortgage costs, Journal of Finance, 36, 457, 10.2307/2327031 Campello, 2002, Internal capital markets in financial conglomerates: evidence from small bank responses to monetary policy, Journal of Finance, 57, 2773, 10.1111/1540-6261.00512 Demyanyk, Y., Van Hemert, O. Understanding the subprime mortgage crisis. Review of Financial Studies, forthcoming. Diamond, 1983, Bank runs, deposit insurance, and liquidity, Journal of Political Economy, 91, 401, 10.1086/261155 Diamond, 2000, A theory of bank capital, Journal of Finance, 55, 2431, 10.1111/0022-1082.00296 Ehrmann, M., Gambacorta, L., Martinez-Pages, J., Sevestre, P., Worms, A., 2001. Financial systems and the role of banks in monetary policy transmission in the euro area. Working Paper Series No. 105, European Central Bank, Frankfurt, Germany. Estrella, 2002, Securitization and efficacy of monetary policy, FRBNY Economic Policy Review, 243 Frame, 2005, Fussing and fuming about Fannie and Freddie: how much smoke, how much fire?, Journal of Economic Perspectives, 159, 10.1257/0895330054048687 Gorton, G.B., Souleles, N.S., 2005. Special purpose vehicles and securitization. NBER Working Paper Series, vol. w11190. Greenspan, A., 2010. The crisis. Unpublished Working Paper. Heuson, A., Passmore, W., Sparks, R., 2000. Credit scoring and mortgage securitization: implications for mortgage rates and credit availability. Finance and Economics Discussion Series No. 2000-44, Board of Governors of the Federal Reserve System, Washington, DC. Holmstrom, 1998, Private and public supply of liquidity, Journal of Political Economy, 106, 1, 10.1086/250001 Houston, 1997, Capital market frictions and the role of internal capital markets in banking, Journal of Financial Economics, 46, 135, 10.1016/S0304-405X(97)81511-5 Hubbard, 2002, Are there bank effects in borrowers' costs of funds? Evidence from a matched sample of borrowers and banks, Journal of Business, 75, 559, 10.1086/341635 Ivashina, 2010, Bank lending during the financial crisis of 2008, Journal of Financial Economics, 97, 319, 10.1016/j.jfineco.2009.12.001 Jayaratne, 2000, Capital market frictions and deposit constraints at banks, Journal of Money Credit and Banking, 32, 74, 10.2307/2601093 Kashyap, 1994, Monetary policy and bank lending, 221 Kashyap, 1995, The impact of monetary policy on banks' balance sheets, Carnegie-Rochester Conference Series on Public Policy, 42, 151, 10.1016/0167-2231(95)00032-U Kashyap, 2000, What do a million observations on banks say about the transmission of monetary policy?, American Economic Review, 90, 407, 10.1257/aer.90.3.407 Kashyap, 2002, Banks as liquidity providers: an explanation for the coexistence of lending and deposit-taking, Journal of Finance, 57, 33, 10.1111/1540-6261.00415 Keys, B.J., Mukherjee, T.K., Seru, A., Vig, V. Did securitization lead to lax screening? Evidence from subprime loans. Quarterly Journal of Economics, forthcoming. Kolari, 1998, The effect of securitization on the mortgage market yield: a cointegration analysis, Real Estate Economics, 26, 677, 10.1111/1540-6229.00761 Loutskina, 2009, Securitization and the declining impact of bank finance on loan supply: evidence from mortgage acceptance rates, Journal of Finance, 64, 861, 10.1111/j.1540-6261.2009.01451.x Loutskina, E., Strahan, P.E. Informed and uninformed investment in housing: the downside of diversification. Review of Financial Studies, forthcoming. Mian, 2009, The consequences of mortgage credit expansion: evidence from the 2007 mortgage default crisis, Quarterly Journal of Economics, 124, 1449, 10.1162/qjec.2009.124.4.1449 Nothaft, 2002, Debt spreads between GSEs and other corporations, Journal of Real Estate Finance and Economics, 25, 151, 10.1023/A:1016521624676 Passmore, Wayne, 2004. The GSE implicit subsidy and value of government ambiguity. Unpublished Working Paper, Board of Governors of the Federal Reserve System, Washington, DC. Parlour, 2008, Loan sales and relation banking, Journal of Finance, 63, 1291, 10.1111/j.1540-6261.2008.01358.x Piskorski, T., Seru, A., Vig, V. Securitization and distressed loan negotiation: evidence from the subprime mortgage crisis. Journal of Financial Economics, forthcoming. Purnannandam, A. Originate-to-distribute model and the subprime mortgage crisis. Review of Financial Studies, forthcoming. Rajan, U., Seru, A., Vig, V., 2010, The failure of models that predict failure: distance, incentives and default. Unpublished Working Paper, University of Chicago, Chicago IL. Sharpe, S.A., 1995. Bank capitalization, regulation, and credit crunch: a critical review of the research findings. Working Paper No. 95-20, Federal Reserve Board, Washington, DC. Strongin, 1995, The identification of monetary policy disturbances: explaining the liquidity puzzle, Journal of Monetary Economics, 35, 463, 10.1016/0304-3932(95)01197-V