This paper investigates the causes of the deterioration of the quality of the collateral backing the production of safe assets in the shadow banking system.
Based on a hand-collected dataset of bank-sponsored ABCP conduits’ collateral transactions, we document how increases in short-term interest rates flattening the interest term structure resulted in conduits reaching for yield to satisfy the increasing demand for money-like assets in the years leading to the financial crisis.
We find that ABCP conduits substituted safe collateral for lower-rated and more opaque structures (such as MBS and CDO), ultimately increasing their vulnerability to runs and the need to access TAF facility.
Dr. Angela Gallo joined Bayes Business School (formerly Cass) in 2016 as a Marie Skłodowska-Curie Fellow at the Centre for Banking Research.
Angela’s research interests are in the areas of banking, structured finance and corporate governance.
Her research has been published in peer-reviewed journals as Journal of Money, Credit and Banking, Journal of Corporate Finance and Corporate Governance: International Review.
She has also published in multi-disciplinary journals as Science Advances and PLOS One on crypto-related topics.
Angela has teaching experience at undergraduate and postgraduate level.
She has designed and delivered executive teaching for international banks and financial advisors.
She is Director for the MSc in Banking and International Finance and a member of Bayes Board of Studies.
The seminar will be held in English.
Major information: Andi Duqi (andi.duqi@unibo.it)