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 language | English |
---|---|
Pages (from-to) | 48-74 |
Number of pages | 27 |
Journal | Journal of International Money and Finance |
Volume | 72 |
Early online date | 29 Dec 2016 |
DOIs | |
Publication status | Published - Apr 2017 |
Keywords
- Securitization
- bank risk
- bank failure
- Heckman self-selection
- survival analysis