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

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• 作者：Mariolia Kozubovska ^{M.Kozubovska@napier.ac.uk}
• 关键词：Asset-backed commercial paper ; Bank opacity ; Financial crisis ; Securitization ; Systemic risk
• 刊名：Research in International Business and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：part_PA
• 页码：530-545
• 全文大小：804 K
• 卷排序：39

文摘

“Securitization itself is not the evil that should be disposed off; the opaqueness associated with securitization is” (Wu and Guo, 2013, p.2). The evidence on costs and benefits from engaging in off-balance sheet activities is not conclusive. BHCs that provided credit and liquidity enhancement to ABCP conduits were more opaque compared to the BHCs which had no exposure to ABCP programmes. Larger opacity significantly increases systemic risk. To enhance the efficiency of the financial system, better standardisation of securitisation transactions' and transparency is required.