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)
|
Text
133419.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives. 1MB |
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, Professor Frank and Chen, Mr Zhizhen and Opong, Professor Kwaku |
| 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 |
University Staff: Request a correction | Enlighten Editors: Update this record
Altmetric
Altmetric