Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk
Frank Hong Liu,
Kwaku Opong and
Journal of International Money and Finance, 2017, vol. 72, issue C, 48-74
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.
Keywords: Securitization; Bank risk; Bank failure; Heckman self-selection; Survival analysis (search for similar items in EconPapers)
JEL-codes: G10 G20 G21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:72:y:2017:i:c:p:48-74
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