| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12168 |
| DP12168 Asset encumbrance and bank risk: First evidence from public disclosures in Europe | |
| Albert Banal-Estanol; Dmitry Khametshin | |
| 发表日期 | 2017-07-20 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Asset encumbrance refers to the existence of bank balance sheet assets being subject to arrangements that restrict the bank’s ability to freely transfer or realise them. Asset encumbrance has recently become a much discussed subject and policymakers have been actively addressing what some consider to be excessive levels of asset encumbrance. Despite its importance, the phenomenon of asset encumbrance remains poorly understood. We build a novel dataset of asset encumbrance metrics based on information provided in the banks’ public disclosures for the very first time throughout 2015. We provide descriptive evidence of asset encumbrance levels by country, credit quality, and business model using different encumbrance metrics. Our empirical results point to the existence of an association between CDS premia and asset encumbrance that is negative, not positive. That is, on average encumbrance is perceived to be beneficial. Still, certain bank-level variables play a mediating role in this relationship. For banks that have high exposures to the central bank, high leverage ratio, and/or are located in southern Europe, asset encumbrance is less beneficial and could even be detrimental in absolute terms. |
| 主题 | Financial Economics |
| 关键词 | Asset encumbrance Collateral Bank risk Credit default swaps |
| URL | https://cepr.org/publications/dp12168 |
| 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/540980 |
| 推荐引用方式 GB/T 7714 | Albert Banal-Estanol,Dmitry Khametshin. DP12168 Asset encumbrance and bank risk: First evidence from public disclosures in Europe. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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