Drawing on the endogenous character of money and credit supply, an accounting model of three fundamental drivers of fragility (sudden stops) in a non-depository financial sector is here presented. Essentially, financial firms adopt a scheme of idiosyncratic liquidity risk management (ILRM): depository institutions (traditional banks) opt for an originate-to-hold approach; non-depository entities (shadow banks) for an originate-to- distribute approach. Building on a sequential accounting model of asset- backed securities (ABSs) distribution, three fragility drivers are singled out: excess issuance of collateralized debt; poor liquidity transformation; collateralized-debt rollover frequency excessive relative to issued ABSs liquidity. Policy implications are eventually sketched out.

Securitization, fragility, and regulation / Bianco, Antonio. - In: GLOBAL & LOCAL ECONOMIC REVIEW. - ISSN 1722-4241. - STAMPA. - 2:18(2014), pp. 79-108.

Securitization, fragility, and regulation

BIANCO, ANTONIO
2014

Abstract

Drawing on the endogenous character of money and credit supply, an accounting model of three fundamental drivers of fragility (sudden stops) in a non-depository financial sector is here presented. Essentially, financial firms adopt a scheme of idiosyncratic liquidity risk management (ILRM): depository institutions (traditional banks) opt for an originate-to-hold approach; non-depository entities (shadow banks) for an originate-to- distribute approach. Building on a sequential accounting model of asset- backed securities (ABSs) distribution, three fragility drivers are singled out: excess issuance of collateralized debt; poor liquidity transformation; collateralized-debt rollover frequency excessive relative to issued ABSs liquidity. Policy implications are eventually sketched out.
2014
Sudden stops, liquidity risk, originate-to-distribute, securitization, financial fragility, regulation
01 Pubblicazione su rivista::01a Articolo in rivista
Securitization, fragility, and regulation / Bianco, Antonio. - In: GLOBAL & LOCAL ECONOMIC REVIEW. - ISSN 1722-4241. - STAMPA. - 2:18(2014), pp. 79-108.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/924112
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