Securitisation and the bank lending channel

Yener Altunbas (), Leonardo Gambacorta () and David Marqués ()
Additional contact information
Yener Altunbas: Centre for Banking and Financial Studies, University of Wales, Bangor
David Marqués: European Central Bank, Monetary Policy Directorate
Authors registered in the RePEc Author Service: David Marqués Ibañez

No 653, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research Department

Abstract: The dramatic increase in securitisation activity has modified the functioning of credit markets by reducing the fundamental role of liquidity transformation performed by financial intermediaries. We claim that the changing role of banks from “originate and hold” to “originate, repackage and sell” has also modified banks’ abilities to grant credit and the effectiveness of the bank lending channel of monetary policy. Using a large sample of European banks, we find that the use of securitisation appears to shelter banks’ loan supply from the effects of monetary policy. Securitisation activity has also strengthened the capacity of banks to supply new loans but this capacity depends upon business cycle conditions as well as upon banks’ risk positions. In this respect the recent experience of the sub-prime mortgage loans crisis is very instructive.

Keywords: asset securitisation; bank lending channel; monetary policy (search for similar items in EconPapers)
JEL-codes: E44 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-ure
Date: Written 2007-11

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Related works:
Working Paper: Securitisation and the bank lending channel (2007)
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