The effect of US bank holding companies’ exposure to asset-backed commercial paper conduits on the information opacity and systemic risk

Mariolia Kozubovska

Research in International Business and Finance, 2017, vol. 39, issue PA, 530-545

Abstract: This paper analyzes information opacity and systemic risk for the U.S. Bank Holding Companies (BHCs) in the context of the asset-backed commercial paper (ABCP) between 2001:Q2 and 2012:Q4. Banks which set up costly ABCP conduits might have benefited from the regulatory capital relief and from providing financing alternatives to their clients. However, BHCs faced costs in terms of the increase in information opacity through the provision of the credit enhancements and liquidity lines to their own and third-party sponsored ABCP conduits, which in turn increased BHCs’ systemic risk.

Keywords: Asset-backed commercial paper; Bank opacity; Financial crisis; Securitization; Systemic risk (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pa:p:530-545

DOI: 10.1016/j.ribaf.2016.09.013

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