The Effects of Asset Securitization on Banks' Performances (Case Study: Bank Saderat Iran 2005-2015)

Asrar Pazhouhi (), Hossein Marzban (), Zahra Dehghan Shabani () and Javad Moradi ()
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Asrar Pazhouhi : Faculty of Economics, Management and Social Sciences, Shiraz University
Hossein Marzban : Faculty of Economics, Management and Social Sciences, Shiraz University
Zahra Dehghan Shabani : Faculty of Economics, Management and Social Sciences, Shiraz University
Javad Moradi : Faculty of Economics, Management and Social Sciences, Shiraz University

Journal of Money and Economy, 2020, vol. 15, issue 1, 1-24

Abstract: The purpose of this study is to investigate the effects of "Asset Securitization" on banks' performances. Asset securitization is generally defined as the "financial process by which an owner of an asset, such as a portfolio of loans, receives cash upfront in exchange for the future cash flows from the asset without selling the asset in a normal contractual sales agreement." (Menzi et al., 2018). Asset securitization has not been applied in Iranian banks so far. Therefore, we have devised an approach to examine the variation in performance in the presence or the absence of a securitized portfolio by using a "Propensity Score Matching" method. In this study, the effect of "Asset Securitization" is hypothetically assessed for Bank Saderat Iran. To show the meaningfulness of the difference between two states, "variance equality F-test" as well as "couplet-test" is used. The results show that "Asset Securitization" has a positive and meaningful effect on the net profit of the Bank Saderat Iran. Moreover, to study the relationship between profitability and non-performing loans, the Bayesian Vector Autoregressive model is applied, and the results show that non-performing loans harm the bank's profitability.

Keywords: Asset Securitization; Banks' Operation Criteria; Matching Estimator Approach; Couple t-Test (search for similar items in EconPapers)
JEL-codes: E37 E47 G21 G23 (search for similar items in EconPapers)
Date: 2020
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