2012年-IMF国际货币组织全球_Banks39_Liability_Structure_and_Mortgage_Lending_During_the_Financial_Crisis_43页_1mb

Summary of "Banks' Liability Structure and Mortgage Lending During the Financial Crisis"

Core Content

This paper investigates how the liability structure of banks—specifically their reliance on wholesale versus retail funding—affected their supply of mortgage credit during the 2008 financial crisis in the United States. The authors use detailed loan-level data from 2005 to 2008, combined with bank balance sheet information, to analyze the impact of liquidity shocks on credit supply. The study aims to understand the role of wholesale funding in the sharp decline in mortgage lending and its implications for overall credit supply at the regional level.

Main Viewpoints

• Wholesale Funding Vulnerability: Banks that relied more heavily on wholesale funding (uninsured short-term liabilities) experienced a more significant contraction in mortgage credit supply during the crisis compared to those using retail deposits (insured, more stable liabilities).
• Demand vs. Supply Factors: While the demand for mortgage credit declined evenly across all banks, the supply response varied depending on the bank's liability structure. The authors focus on mortgage lending to isolate supply-side effects and minimize the influence of demand-side factors.
• Empirical Strategy: The study uses a linear probability model (LPM) to estimate the impact of core deposit to asset (CD/A) ratios on rejection rates. It also employs matching techniques to control for observable differences between wholesale and retail banks.
• MSA-Level Analysis: The paper explores how the concentration of wholesale-funded banks in a Metropolitan Statistical Area (MSA) correlates with the overall decline in mortgage credit supply, suggesting that wholesale funding played a critical role in the aggregate contraction of credit during the crisis.

Key Information

Data and Methodology

• Data Sources:
  • Mortgage applications data from the Home Mortgage Disclosure Act (HMDA), covering 2005–2008.
  • Bank financial data from the Call Report, including balance sheet metrics such as CD/A ratio, liquidity, leverage, and profitability.
• Sample Restrictions:
  • Focus on depository institutions (banks) and their affiliates.
  • Exclude banks with fewer than 50 mortgage loans per year to ensure data quality.
  • Restrict to 295 MSAs, representing about 80% of total HMDA mortgage originations in 2005.
• Variables:
  • Dependent Variable: Rejection rate of mortgage applications.
  • Independent Variable: CD/A ratio, used as a proxy for retail funding reliance.
  • Control Variables: Borrower characteristics (income, gender, race), loan features (loan-to-income ratio), and regional variables (MSA-level median income, housing supply elasticity).

Empirical Findings

• Rejection Rate Impact: A one standard deviation decrease in the CD/A ratio was associated with an increase in the rejection rate by about 3 percentage points during the crisis.
• Time Variation in Liquidity: The TED Spread (difference between 3-month LIBOR and 3-month Treasury rates) was used to measure liquidity shocks. It spiked significantly during the crisis, especially after August 2007, indicating a severe market liquidity squeeze.
• MSA-Level Effects: The average CD/A ratio in an MSA was found to be a strong and significant predictor of the decline in mortgage credit supply during the crisis.
• Robustness:
  • Results hold even after controlling for bank size, liquidity, leverage, and profitability.
  • The findings remain consistent in a reduced sample of matched applications, where observable characteristics between wholesale and retail banks are balanced.
  • The relationship between CD/A and rejection rates is robust even when considering only the least risky loan applications.

Conclusion

The study concludes that the reliance on wholesale funding significantly contributed to the contraction in mortgage credit supply during the financial crisis. The findings highlight the importance of liquidity in shaping bank lending behavior, particularly in times of financial stress. The authors also emphasize the need for a better understanding of the risks associated with wholesale funding and its implications for macro-prudential policies.

Implications and Contributions

• Financial Stability: The paper underscores the risks of wholesale funding to financial stability, as these funds are more susceptible to liquidity shocks.
• Lending Channel: It contributes to the literature on the bank lending channel, demonstrating how liquidity conditions influence credit supply.
• Policy Relevance: The results have implications for regulatory oversight and the design of macro-prudential policies to mitigate the impact of liquidity crises on credit availability.

Appendices and Supporting Materials

• Data Appendix: Provides detailed information on the merging process of HMDA data with bank financial data.
• Tables and Figures:
  • Table 1: Summary statistics of mortgage applications and rejection rates.
  • Table 2–8: Results of LPM, logit models, and MSA-level estimations.
  • Figures 1–6: Visual representations of mortgage originations, rejection rates, and liquidity indicators (e.g., TED Spread, CD/A distribution).

References

The paper cites several key studies in the field of financial economics, including:

• Allen, Babus, and Carletti (2010)
• Gatev and Strahan (2006)
• Huang and Ratnovski (2011)
• Ivashina and Scharfstein (2010)
• Mian and Sufi (2009)
• Peek and Rosengren (2000)

These references support the theoretical and empirical foundation of the paper, particularly in the context of liquidity, credit supply, and financial stability.