Bank Opacity and Safe Asset Moneyness
研究发现，当银行股本回报率较低且资产负债表更不透明时，其提供的安全资产更具货币性。实证表明，高ROE导致货币市场基金撤资，而不透明性可缓解这一效应。
Abstract A bank is more effective as a supplier of money‐like safe assets when (i) its return on equity (ROE) is relatively lower and (ii) it is relatively more opaque about its balance sheet. A model is presented to support this, emphasizing that safe asset investors focus on the left tail of the collateral value distribution. Empirical tests on dealer banks and money market mutual funds' (MMFs') funding relationships confirm that higher ROE leads to MMF withdrawal due to lower moneyness of safe assets. Bank opacity mitigates the strength of this relationship, making it optimal for the banking system to maintain a certain level of opacity.