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

Zhizhen Chen, Frank Hong Liu, Kwaku Opong, Mingming Zhou

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)48-74
Number of pages27
JournalJournal of International Money and Finance
Volume72
Early online date29 Dec 2016
DOIs
Publication statusPublished - Apr 2017

Keywords

  • Securitization
  • bank risk
  • bank failure
  • Heckman self-selection
  • survival analysis

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