EconPapers    
Economics at your fingertips  
 

Securitization and asset prices

Yunus Aksoy () and Henrique Basso ()

No 1526, Working Papers from Banco de España, Working Papers Homepage

Abstract: We investigate the link between securitization and asset prices and show that increases in the growth rate of the volume of ABS issuance lead to a sizable decline in bond and equity premia. Furthermore, we show that in a model where banks select their portfolio of assets and create synthetic securities, the compensation for undertaking risk decreases as securitization increases. The pooling and tranching of credit assets relaxes both the funding and the risk constraints banks face allowing them to increase balance sheet holdings. Accordingly, the drop in risk premium may be unrelated to a decline in actual risk.

Keywords: pooling and tranching; equity; government bonds; bank portfolio; risk premia (search for similar items in EconPapers)
JEL-codes: E44 G12 G2 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2015-09
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /15/Fich/dt1526e.pdf First version, September 2015 (application/pdf)

Related works:
Working Paper: Securitization and Asset Prices (2015) Downloads
Working Paper: Securitization and Asset Prices (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1526

Access Statistics for this paper

More papers in Working Papers from Banco de España, Working Papers Homepage Contact information at EDIRC.
Bibliographic data for series maintained by María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España ().

 
Page updated 2018-11-10
Handle: RePEc:bde:wpaper:1526