| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9457 |
| DP9457 How do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007 | |
| Viral Acharya; Anna Kovner; Gara Afonso | |
| 发表日期 | 2013-04-28 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | 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 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 before the ABCP freeze and relative to their non US dollar lending, foreign banks with ABCP exposure charged higher interest rates on syndicated loan packages denominated in dollars. The results point to a funding risk in global banking, manifesting as currency shortages for banks engaged in maturity transformation in foreign countries. |
| 主题 | Financial Economics |
| 关键词 | Credit crunch Abcp freeze Liquidity |
| URL | https://cepr.org/publications/dp9457 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538291 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Anna Kovner,Gara Afonso. DP9457 How do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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