Credit rating-based capital regulation induces financial institutions to take on additional systematic risk. In this paper, we uncover interconnected channels through which this systematic risk hoarding affects financial stability using a proprietary ECB bond holdings dataset. First, banks and insurance corporations effectively reduce their capital buffers by hoarding bonds with high systematic credit risk. Second, this hoarding increases the portfolio concentration of credit rating-constrained and unconstrained financial institutions. Third, in addition to the general tendency of regulated financial institutions to fire sale bonds after rating downgrades, we reveal even larger fire sales precisely when their regulatory advantages of reaching for systematic yield disappear. Using a shock in capital regulation, we establish this causal relationship between the severity of fire sales and the tendencies of regulatory-constrained financial institutions to seek bonds with high systematic credit risk. Such systematic risk hoarding reduces capital buffer by an additional 16% in economic downturns.

基于信用评级的资本监管导致金融机构承担额外的系统性风险。在本文中，我们使用欧洲央行专有的债券持有数据集揭示了这种系统性风险囤积影响金融稳定的相互关联的渠道。首先，银行和保险公司通过囤积系统性信用风险较高的债券，有效减少资本缓冲。其次，这种囤积行为增加了信用评级受限和不受信用评级约束的金融机构的投资组合集中度。第三，除了受监管的金融机构在评级下调后普遍倾向于抛售债券之外，我们还发现，当它们追求系统性收益率的监管优势消失时，抛售债券的规模会更大。利用资本监管的冲击，我们在抛售的严重程度与受到监管限制的金融机构寻求具有高系统性信用风险的债券的倾向之间建立了因果关系。在经济低迷时期，这种系统性的风险囤积会使资本缓冲额外减少 16%。