Securitization and credit risk: Empirical evidence from an emerging economy

Helder de Mendonça () and Vívian Íris Barcelos

The North American Journal of Economics and Finance, 2015, vol. 32, issue C, 12-28

Abstract: This paper presents empirical evidence from the Brazilian experience for the analysis on securitization transactions and credit risk. Based on panel data framework that takes into account 60 financial institutions from October 2002 to September 2012, we observe if there is some effect of the securitization transactions on credit risk and also whether credit risk stimulates securitization. Our findings indicate that securitization transactions imply an increase in the credit risk whereas credit risk is not relevant to explain securitization in Brazil.

Keywords: Securitization assets; Credit risk; Financial system; Brazilian economy (search for similar items in EconPapers)
JEL-codes: G14 G21 G28 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:32:y:2015:i:c:p:12-28

DOI: 10.1016/j.najef.2015.01.002

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