Collateral Damage
Collateral Damage
复制标题
DOI：
10.2139/ssrn.3114224
复制
发表时间：
2018-01
期刊：
影响因子：
--
通讯作者：
Gary B. Gorton;Toomas Laarits
中科院分区：
文献类型：
--
作者：
Gary B. Gorton;Toomas Laarits
金融危机是指短期债务持有人开始质疑支持该债务的抵押品的事件。因此，金融体系的弹性取决于抵押品的质量。我们通过考察短期债务的便利收益率来证明高质量抵押品的短缺，该收益率总结了短期安全债务的供给和需求，并考虑了高质量抵押品的可用性。然后，我们将展示私人部门如何通过发行更多（无担保）期限较短的商业票据来做出回应。结果表明，与危机前相比，现在安全债务短缺，这意味着新影子银行体系成长的种子已经存在。
A financial crisis is an event in which the holders of short-term debt come to question the collateral backing that debt. So, the resiliency of the financial system depends on the quality of that collateral. We show that there is a shortage of high-quality collateral by examining the convenience yield on short-term debt, which summarizes the supply and demand for short-term safe debt, taking into account the availability of high-quality collateral. We then show how the private sector has responded by issuing more (unsecured) commercial paper at shorter maturities. The results suggest that there is a shortage of safe debt now compared to the pre-crisis period, implying that the seeds for a new shadow banking system to grow exist.