在资产支持证券市场追求收益:来自德国银行投资的证据

Matthias Efing
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引用次数: 18

摘要

如果监管不能区分定价风险和特殊风险,就会激励投资者追求收益。通过研究德国银行资产负债表上的证券化风险敞口,我发现了与这一预测一致的证据。受到严格监管约束(资本充足率低)的银行更多地根据评级隐含的监管风险权重,有条件地投资于收益率较高的abs。受约束银行的资产支持证券投资往往在事后表现更差,抵押品违约和损失价值。银行成熟程度、市场力量或保留证券化的动机的差异,不太可能解释受到约束的银行进行风险更高的资产支持证券投资。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Reaching for Yield in the ABS Market: Evidence from German Bank Investments
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital adequacy ratios) invest more in higher yielding ABSs conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms of collateral delinquency and lose value. Differences in bank sophistication, market power, or incentives to retain securitizations are unlikely to explain the riskier ABS investments of constrained banks.
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