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Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk |
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| Institution: | 1. Adam Smith Business School, University of Glasgow, United Kingdom;2. University of Aberdeen Business School, University of Aberdeen, United Kingdom;3. School of Finance, Nankai University, China;1. Department of Management Science, National Chiao Tung University, No. 1001, University Rd., Hsinchu City 300, Taiwan (R.O.C.);2. Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Road, Taipei City 106, Taiwan (R.O.C.);3. Department of Finance and International Business, Fu Jen Catholic University, No. 510, Jhongjheng Rd., Sinjhuang Dist., New Taipei City 242, Taiwan (R.O.C.) |
| Abstract: | 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 |
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