The explosive growth of the US ABCP market between 2004 and 2007: an integrated empirical analysis

Article


Lysandrou, P., Shabani, M. and D’Avino, C. 2020. The explosive growth of the US ABCP market between 2004 and 2007: an integrated empirical analysis. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2020.10.026
AuthorsLysandrou, P., Shabani, M. and D’Avino, C.
Abstract

In common with other sectors of the shadow banking system, the US asset backed commercial paper market experienced unusually rapid growth between 2004 and 2007. Several studies of this development have focussed attention on investor pressures on the banks to expand the rate of ABCP issuance over this period. By contrast, other studies have focussed attention on the incentives that motivated the banks to expand ABCP supply. This paper provides an integrated empirical analysis of the demand-pull and supply-push factors that drove the pre-crisis growth of the ABCP market. In addition to showing the joint importance of these two factors, our results also show the extent to which the European shadow bank conduits dominated US ABCP issuance over the 2004 to 2007 period and the extent to which these conduits increasingly resorted to long term securities as collateral for ABCP programs.

JournalThe Quarterly Review of Economics and Finance
ISSN1062-9769
Year2020
PublisherElsevier
Accepted author manuscript
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Anyone
Digital Object Identifier (DOI)https://doi.org/10.1016/j.qref.2020.10.026
Publication dates
Online10 Nov 2020
Publication process dates
Accepted29 Oct 2020
Deposited18 Nov 2020
Copyright holder© 2020 Board of Trustees of the University of Illinois
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