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The effect of US bank holding companies’ exposure to asset-backed commercial paper conduits on the information opacity and systemic risk

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  • Kozubovska, Mariolia

Abstract

This paper analyzes information opacity and systemic risk for the U.S. Bank Holding Companies (BHCs) in the context of the asset-backed commercial paper (ABCP) between 2001:Q2 and 2012:Q4. Banks which set up costly ABCP conduits might have benefited from the regulatory capital relief and from providing financing alternatives to their clients. However, BHCs faced costs in terms of the increase in information opacity through the provision of the credit enhancements and liquidity lines to their own and third-party sponsored ABCP conduits, which in turn increased BHCs’ systemic risk.

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  • Kozubovska, Mariolia, 2017. "The effect of US bank holding companies’ exposure to asset-backed commercial paper conduits on the information opacity and systemic risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 530-545.
    • Handle: RePEc:eee:riibaf:v:39:y:2017:i:pa:p:530-545
    DOI: 10.1016/j.ribaf.2016.09.013
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