Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk
journal contributionposted on 05.02.2020, 10:06 by Zhizhen Chen, Hong LiuHong Liu, Kwaku Opong, Mingming Zhou
Based on a sample of U.S. commercial banks from 2002 to 2012, this paper shows that bank loan securitization has a significant and positive impact on both Z-scores and the likelihood of bank failure, indicating a short-term risk reduction and a long-term risk increase effect. We also find disparate impacts between mortgage and non-mortgage securitization. Loan sale activities are found to have a similar impact to securitization.
- Business and Economics