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A model of bank asset and liability ...

Park, Ki Young.

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A model of bank asset and liability management with loan commitments.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	A model of bank asset and liability management with loan commitments./
作者:	Park, Ki Young.
面頁冊數:	98 p.
附註:	Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1839.
Contained By:	Dissertation Abstracts International67-05A.
標題:	Economics, General. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3219564
ISBN:	9780542711398

A model of bank asset and liability management with loan commitments.
Park, Ki Young.

A model of bank asset and liability management with loan commitments. - 98 p.

Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1839.

Thesis (Ph.D.)--The University of Chicago, 2006.

This paper develops a simple model of bank asset and liability management with loan commitments, in which a bank faces a liquidity management problem due to stochastic loan commitment take-down. Consistent with the model's implications, our empirical research finds: (1) the use of loan commitments increased after interstate banking deregulation, which suggests that a bank's ability of tapping uninsured funds through cheaper external financing or internal capital markets is critical to its decision on the amount of loan commitments to be issued, (2) the ratio of C&I (Commercial and Industrial) loans to total loans increases with the amount of C&I loan commitments (as a share to total loans) during contractionary periods and this tendency is more pronounced for banks with more limited access to external financing. Following the model's implication, it suggests that banks tend to reduce the amount of its term loans to be issued in an attempt to deal with tighter financial constraints, caused by increased loan take-down. That is, loan commitments crowd out term loans during periods of financial distress, indicating the disproportionate impact on the borrowers of loan commitments and term loans, and (3) as a natural extension of the previous implication, the states with more intensive use of loan commitments suffer less from external shocks, displaying smaller economic fluctuations during contractionary periods. Neither state-specific industry structures nor other bank balance sheet variables can explain away this finding. Implications for the increased macroeconomic stability of U.S. economy from mid 80's, bank lending channel and risk-based capital regulations are discussed.

ISBN: 9780542711398Subjects--Topical Terms:

1017424
Economics, General.

A model of bank asset and liability management with loan commitments.
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245 1 2 $a A model of bank asset and liability management with loan commitments.
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500 $a Adviser: Randall S. Kroszner.
502 $a Thesis (Ph.D.)--The University of Chicago, 2006.
520 $a This paper develops a simple model of bank asset and liability management with loan commitments, in which a bank faces a liquidity management problem due to stochastic loan commitment take-down. Consistent with the model's implications, our empirical research finds: (1) the use of loan commitments increased after interstate banking deregulation, which suggests that a bank's ability of tapping uninsured funds through cheaper external financing or internal capital markets is critical to its decision on the amount of loan commitments to be issued, (2) the ratio of C&I (Commercial and Industrial) loans to total loans increases with the amount of C&I loan commitments (as a share to total loans) during contractionary periods and this tendency is more pronounced for banks with more limited access to external financing. Following the model's implication, it suggests that banks tend to reduce the amount of its term loans to be issued in an attempt to deal with tighter financial constraints, caused by increased loan take-down. That is, loan commitments crowd out term loans during periods of financial distress, indicating the disproportionate impact on the borrowers of loan commitments and term loans, and (3) as a natural extension of the previous implication, the states with more intensive use of loan commitments suffer less from external shocks, displaying smaller economic fluctuations during contractionary periods. Neither state-specific industry structures nor other bank balance sheet variables can explain away this finding. Implications for the increased macroeconomic stability of U.S. economy from mid 80's, bank lending channel and risk-based capital regulations are discussed.
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