讲座：Shadow Bank Funding and the Financial Crisis
题 目：Shadow Bank Funding and the Financial Crisis
嘉 宾：Chenxi Wang, Ph.D. candidate at New York University
主持人：钱军辉 教授 上海交通大学安泰经济与管理学院
时 间：2020 年 1 月 14 日（周二） 14:30-16:00
地 点：上海交通大学 徐汇校区包图 A407
At the epicenter of the 2008 financial crisis was the shadow banking system, which conducts liquidity and maturity transformation by investing in long-term assets and financing them through collateralized debts with very short maturities, such as asset-backed commercial paper (ABCP) and repurchase agreements (repo). In this paper, I differentiate between ABCP and repo based on their institutional details within a conventional New Keynesian model. ABCP are collateralized by risky assets and subject to banking panics, while repo are backed by safe assets and default-free. During an ABCP panic, repo remain as the only funding source, so banks shift their asset holdings from risky to safe assets. The model reproduces reasonably well the behavior of several interest rate spreads and key macro variables during the financial crisis, with lower term premium and higher credit spreads. The model is extended to incorporate reserves to analyze the impact of quantitative easing (QE). QE reduces the yields of long-term safe assets through a capital constraint channel by alleviating the distress of financial intermediaries and an asset scarcity channel by reducing the availability of safe collateral.
Chenxi Wang is a Ph.D. candidate at New York University.