Securities trading by banks and credit supply: micro-evidence from the crisis
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- dc.contributor.author Abbassi, Puriya
- dc.contributor.author Iyer, Rajkamal
- dc.contributor.author Peydró, José-Luis
- dc.contributor.author Rodríguez Tous, Francesc
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:27:00Z
- dc.date.available 2020-05-25T09:27:00Z
- dc.date.issued 2016-06
- dc.date.modified 2020-05-25T09:25:54Z
- dc.description.abstract We analyze securities trading by banks during the crisis and the associated spillovers to the supply of credit. We use a proprietary data set that has the investments of banks at the security level for 2005 2012 in conjunction with the credit register from Germany. We find that during the crisis banks with higher trading expertise (trading banks) increase their investments in securities, especially in those that had a larger price drop, with the strongest impact in low-rated and long-term securities. Moreover, trading banks reduce their credit supply, and the credit crunch is binding at the firm level. All of the effects are more pronounced for trading banks with higher capital levels. Finally, banks use central bank liquidity and government subsidies like public recapitalization and implicit guarantees mainly to support trading of securities. Overall, our results suggest an externality arising from fire sales in securities markets on credit supply via the trading behavior of banks.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1654
- dc.identifier.citation Journal of Financial Economics, 121:3, 569-94.
- dc.identifier.uri http://hdl.handle.net/10230/44746
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1654
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword banking
- dc.subject.keyword investments
- dc.subject.keyword bank capital
- dc.subject.keyword credit supply
- dc.subject.keyword public subsidies
- dc.title Securities trading by banks and credit supply: micro-evidence from the crisis
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper