| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24224 |
| 来源ID | Working Paper 24224 |
| Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints | |
| Matthias Fleckenstein; Francis A. Longstaff | |
| 发表日期 | 2018-01-22 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Recent theory suggests that balance sheet frictions and constraints faced by financial intermediaries can have major asset pricing implications. We propose a new measure of the impact of these constraints on intermediary funding costs that is based on the implied cost of renting intermediary balance sheet space. On average, balance sheet constraints add 81 basis points to intermediary funding costs, but the impact often exceeds 200 basis points during a crisis. We find that these balance sheet costs have real effects on intermediary investment decisions and asset holdings. Increases in balance sheet costs are associated with short-term increases in the use of derivatives, but longer-term declines in risk-taking by financial institutions. Balance sheet costs introduce a wedge between on- and off-balance-sheet investments which may help resolve a number of asset pricing puzzles. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w24224 |
| 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/581897 |
| 推荐引用方式 GB/T 7714 | Matthias Fleckenstein,Francis A. Longstaff. Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints. 2018. |
| 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 | ||
| w24224.pdf（537KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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