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Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk

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journal contribution
posted 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.

History

School

  • Business and Economics

Department

  • Business

Published in

Journal of International Money and Finance

Volume

72

Pages

48 - 74

Publisher

Elsevier BV

Version

AM (Accepted Manuscript)

Rights holder

© Elsevier Ltd.

Publisher statement

This paper was accepted for publication in the journal Journal of International Money and Finance and the definitive published version is available at https://doi.org/10.1016/j.jimonfin.2016.12.003.

Publication date

2016-12-29

Copyright date

2016

ISSN

0261-5606

Language

en

Depositor

Prof Hong Liu. Deposit date: 4 February 2020

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