Loan Sales and Bank Liquidity Management: Evidence from a U.S. Credit Register
利用美国银团贷款监管登记数据，研究发现2007-08年危机期间依赖批发融资的银行更可能通过出售贷款退出银团，且其出售的贷款在二级市场价格下跌更显著。
We examine how banks use loan sales to manage liquidity during periods of marketwide stress and the associated spillovers to market prices. We track the dynamics of loan share ownership in the secondary market using data from a U.S. supervisory register of syndicated loans. Controlling for loan quality using loan-year fixed effects, we find that banks reliant on wholesale funding were more likely to exit syndicates through sales during 2007/08. This effect is stronger for banks dependent on short-term funding and holding fewer liquid securities. In addition, secondary market prices decrease significantly more for loans funded by liquidity-strained banks. Received November 16, 2015; editorial decision January 9, 2017 by Editor Itay Goldstein.