Short term safety or long term failure? Empirical evidence of the impact of securitization on bank risk

Chen, Z., Liu, F. H., Opong, K. and Zhou, M. (2017) Short term safety or long term failure? Empirical evidence of the impact of securitization on bank risk. Journal of International Money and Finance, 72, pp. 48-74. (doi:10.1016/j.jimonfin.2016.12.003)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Liu, Dr Hong and Opong, Professor Kwaku and Chen, Mr Zhizhen
Authors: Chen, Z., Liu, F. H., Opong, K., and Zhou, M.
College/School:College of Social Sciences > Adam Smith Business School
College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of International Money and Finance
Publisher:Elsevier
ISSN:0261-5606
ISSN (Online):1873-0639
Published Online:29 November 2016
Copyright Holders:Copyright © 2016 Elsevier Ltd.
First Published:First published in Journal of International Money and Finance 72:48-74
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

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