The Effect of Asset Encumbrance on Bank Behavior: Evidence from the Introduction of Covered Bonds in Norway
利用挪威2007年引入担保债券的自然实验，研究发现银行将贷款从抵押贷款转向企业贷款，增加了信用风险，但流动性改善降低了整体风险溢价。
Abstract We use the introduction of covered bonds in Norway in 2007 together with administrative and supervisory data at the bank and loan level to investigate the effect of asset encumbrance, that is, pledging assets as collateral, on the composition of bank balance sheets and bank risk. We show that covered bonds—despite being collateralized with mortgages—lead to a shift in bank lending from mortgages to corporate loans. The marginal corporate borrower is young and low-rated, suggesting that overall credit risk increases. At the same time, we find that balance sheet liquidity increases. Overall, the beneficial effects of increased liquidity on bank risk outweighs any negative effects of increased credit risk, ultimately reducing risk premia on total and unsecured funding. The effects are driven by banks with initially low net holdings of liquid assets and low firm credit risk in their lending portfolios.