G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15473
DP15473 Risk Mitigating versus Risk Shifting: Evidence from Banks Security Trading in Crises
José-Luis Peydró; ANDREA POLO; Enrico Sette
发表日期2020-11-19
出版年2020
语种英语
摘要We show that risk mitigating incentives dominate risk shifting incentives in fragile banks. Risk shifting could be particularly severe in banking since it is the most opaque industry and banks are one of the most leveraged corporations with very low skin in the game. To analyze this question, we exploit security trading by banks during financial crises, as banks can easily and quickly change their risk exposure within their security portfolio. However, in contrast with the risk shifting hypothesis, we find that less capitalized banks take relatively less risk after financial market stress shocks. We show this using the supervisory ISIN-bank-month level dataset from Italy with all securities for each bank. Our results are over and above capital regulation as we show lower reach-for-yield effects by less capitalized banks within government bonds (with zero risk weights) or within securities with the same rating and maturity in the same month (which determines regulatory capital). Effects are robust to controlling for the covariance with the existence portfolio, and less capitalized banks, if anything, reduce concentration risk. Further, effects are stronger when uncertainty is higher, despite that risk shifting motives may be then higher. Moreover, three separate tests – based on different accounting portfolios (trading book versus held to maturity), the distribution of capital and franchise value – suggest that bank own incentives, instead of supervision, are the main drivers. Results are confirmed if we consider other sources of balance sheet fragility and different measures of risk-taking. Finally, evidence from the recent COVID-19 shock corroborates findings from the Global Financial Crisis and the Euro Area Sovereign Crisis.
主题Financial Economics
关键词Risk shifting Bank capital Interbank funding Concentration risk Uncertainty Risk weights Held to maturity Trading book Covid-19
URLhttps://cepr.org/publications/dp15473
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/544469
推荐引用方式
GB/T 7714
José-Luis Peydró,ANDREA POLO,Enrico Sette. DP15473 Risk Mitigating versus Risk Shifting: Evidence from Banks Security Trading in Crises. 2020.
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