Does asset encumbrance affect bank risk? Evidence from covered bonds
利用欧洲上市银行担保债券的手工数据集，研究发现资产抵押对银行风险的影响取决于债权人市场约束程度和银行流动性缓冲，提醒政策干预可能带来的副作用。
Theories suggest that asset encumbrance, the ring-fencing of certain assets for protected debtholders, can affect banks’ risk-taking and lead to funding instability. We test these hypotheses using a unique, hand-collected dataset on outstanding covered bonds issued by a sample of listed European banks. Our results suggest that the effect of asset encumbrance on risk depends on the proportion of debtholders exerting market discipline and on the bank's liquidity buffers. We deal with concerns regarding omitted variables and reverse causality using several fixed effects estimations and an instrumental variables approach. Our findings can alert policymakers about potential side effects of policy interventions that can induce an increase of asset encumbrance in banks.