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- W2141557892 abstract "Many shadow banks rely heavily on bank-sponsored private credit and liquidity support, not government guarantees. The nancial crisis demonstrated that bank capital regulation cannot be eective without explicitly considering these facilities. Using a continuous time model with maturity mismatch and bank moral hazard, I study the impact of credit and liquidity guarantees on bank capital structure. I focus on a particular type of shadow banking called asset-backed commercial paper (ABCP). When banks provide credit guarantees to ABCP conduits, assuming that the validity of the guarantees is ensured by rating agencies, the commercial paper becomes risk free and is always priced at par. Rolling over the commercial paper is thus costless, so that frequently rolling over the short term ABCP to fund long term assets|a maturity mismatch| has no impact on bank value. Regulators can eliminate a bank’s moral hazard by imposing a simple capital ratio requirement. However, the capital ratio requirement is no longer valid if banks use liquidity guarantees in their ABCP conduit funding because the funding maturity becomes important. Moreover, a liquidity guarantee becomes as costly as a credit guarantee when the maturity shortens. Using Moody’s ABCP conduit data, I conrm that shorter ABCP maturity causes the bank’s return to be more sensitive to the conduit credit loss. Thus, when banks have signicant" @default.
- W2141557892 created "2016-06-24" @default.
- W2141557892 creator A5029339469 @default.
- W2141557892 date "2015-01-01" @default.
- W2141557892 modified "2023-09-27" @default.
- W2141557892 title "Off-Balance Sheet Financing and Bank Capital Regulation: Lessons from Asset-Backed Commercial Paper" @default.
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- W2141557892 doi "https://doi.org/10.2139/ssrn.2565242" @default.
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