Securitization and Liquidity in Italian Banks. Evidence from the Recent Financial Crisis

Francesca Battaglia and Maria Mazzuca

Banca Impresa Società, 2012, issue 3, 419-450

Abstract: This paper investigates the impact of securitization on the liquidity of the originators.Using an ordered probit model, the empirical analysis focuses on a sample of Italianbanks over the period 2000-2009. The study considers bank's liquidity (dependentvariable) being influenced by several (independent) variables, including two of themaimed at capturing the securitization activity, and a set of control variables. In general,results show that securitization has a positive impact on the liquidity of the originatorbanks. When the analysis focuses on the pre-crisis period, the effects of securitizationare more relevant.

Keywords: securitization; liquidity; Italian banks; crisis; ordered probit model. (search for similar items in EconPapers)
Date: 2012
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