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Banking Sector Fragility: Market Fai...

Tian, Jianbo.

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Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock./
Author:	Tian, Jianbo.
Description:	200 p.
Notes:	Source: Dissertation Abstracts International, Volume: 72-02, Section: A, page: 0692.
Contained By:	Dissertation Abstracts International72-02A.
Subject:	Economics, Commerce-Business. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3432939
ISBN:	9781124381022

Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock.
Tian, Jianbo.

Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock. - 200 p.

Source: Dissertation Abstracts International, Volume: 72-02, Section: A, page: 0692.

Thesis (Ph.D.)--State University of New York at Albany, 2010.

Using the weekly U.S. banks' balance sheet from 1975:Q1 to 2010:Q2, this paper shows that the credit shift among banks' balance sheet explains the chain of critical events led to the recent bank panic. The finding upgrades the risk management in several ways. Firstly, we found that there was no dramatic change in money supply (currency, M1 and M2) in the 2000s. When under such capital supply constraint, banks had to cut off other assets in order to finance more real estate loans. This tradeoff force them to be cautious with mortgage issuance. Secondly, we also found that the shadow banking system was used as a trading platform mainly to share and eliminate idiosyncratic shocks among banks rather than to transfer credit risk from banking to other financial sectors. The ease of trading significantly increased bank's asset flexibility, thus further encouraged them to aggressively replace their defensive assets with real estate loans for higher profit. Last but not least, banks failed to recognize the market limitation of the shadow banking system. After banks shifted too much credit to real estate loans, their ability to absorb the systematic shocks is severely compromised. Banks found themselves exposed to the combination of market risk, liquidity risk and credit risk. Since current risk management monitors these risks separately, it failed to signal any warning before such compound impact crashed both the shadow banking system and the global real economy.

ISBN: 9781124381022Subjects--Topical Terms:

626649
Economics, Commerce-Business.

Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock.
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008 130515s2010 ||||||||||||||||| ||eng d
020 $a 9781124381022
035 $a (UMI)AAI3432939
035 $a AAI3432939
040 $a UMI $c UMI
100 1 $a Tian, Jianbo. $3 1680616
245 1 0 $a Banking Sector Fragility: Market Failure, Liquidity Crunch and Credit Shock.
300 $a 200 p.
500 $a Source: Dissertation Abstracts International, Volume: 72-02, Section: A, page: 0692.
500 $a Advisers: Hany Shawky; Micheal Jerison.
502 $a Thesis (Ph.D.)--State University of New York at Albany, 2010.
520 $a Using the weekly U.S. banks' balance sheet from 1975:Q1 to 2010:Q2, this paper shows that the credit shift among banks' balance sheet explains the chain of critical events led to the recent bank panic. The finding upgrades the risk management in several ways. Firstly, we found that there was no dramatic change in money supply (currency, M1 and M2) in the 2000s. When under such capital supply constraint, banks had to cut off other assets in order to finance more real estate loans. This tradeoff force them to be cautious with mortgage issuance. Secondly, we also found that the shadow banking system was used as a trading platform mainly to share and eliminate idiosyncratic shocks among banks rather than to transfer credit risk from banking to other financial sectors. The ease of trading significantly increased bank's asset flexibility, thus further encouraged them to aggressively replace their defensive assets with real estate loans for higher profit. Last but not least, banks failed to recognize the market limitation of the shadow banking system. After banks shifted too much credit to real estate loans, their ability to absorb the systematic shocks is severely compromised. Banks found themselves exposed to the combination of market risk, liquidity risk and credit risk. Since current risk management monitors these risks separately, it failed to signal any warning before such compound impact crashed both the shadow banking system and the global real economy.
520 $a Keywords: liquidity risk, easy credit, subprime crisis, bank run, defensive asset, shadow bank system, securitization
590 $a School code: 0668.
650 4 $a Economics, Commerce-Business. $3 626649
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, Theory. $3 1017575
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0505
690 $a 0508
690 $a 0511
690 $a 0770
710 2 $a State University of New York at Albany. $b Economics. $3 1024072
773 0 $t Dissertation Abstracts International $g 72-02A.
790 1 0 $a Shawky, Hany, $e advisor
790 1 0 $a Jerison, Micheal, $e advisor
790 1 0 $a Shawky, Hany $e committee member
790 1 0 $a Jerison, Micheal $e committee member
790 1 0 $a Dieffenbanch, Bruce $e committee member
790 $a 0668
791 $a Ph.D.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3432939