| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18270 |
| 来源ID | Working Paper 18270 |
| Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities? | |
| Craig B. Merrill; Taylor D. Nadauld; René M. Stulz; Shane Sherlund | |
| 发表日期 | 2012-08-02 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital requirements and accounting rules at financial institutions contributed to the selling of RMBS at fire sale prices. For financial institutions subject to credit-sensitive capital requirements, capital requirements increase as an asset's credit becomes impaired. When accounting rules require such an asset's value to be marked-to-market and the fair value loss to be recognized in earnings, a capital-constrained firm can improve its capital position by selling the credit-impaired asset even if it has to accept a liquidity discount to do so. Using a sample of 5,014 repeat transactions of non-agency RMBS by insurance companies from 2006 to 2009, we show that insurance companies that became more capital-constrained because of operating losses (uncorrelated with RMBS credit quality) and also recognized fair value losses sold comparable RMBS at much lower prices than other insurance companies during the crisis. |
| 主题 | Financial Economics ; Financial Institutions ; Corporate Finance ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w18270 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575946 |
| 推荐引用方式 GB/T 7714 | Craig B. Merrill,Taylor D. Nadauld,René M. Stulz,et al. Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18270.pdf（845KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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