The impact of securitization on credit rationing: Empirical evidence

Carbo-Valverde, S. and Degryse, H. and Rodriguez-Fernandez, F. (2015) The impact of securitization on credit rationing: Empirical evidence. Journal of Financial Stability, 20. pp. 36-50. DOI: 10.1016/j.jfs.2015.06.004

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We study whether banks� involvement into different types of securitization activity � asset backed securities (ABS) and covered bonds � in Spain influences credit supply before and during the financial crisis. While both ABS and covered bonds were hit by the crisis, the former were hit more severely. Employing a disequilibrium model to identify credit rationing, we find that firms with banks that were more involved in securitization see their credit constraints more relaxed in normal periods. In contrast, only greater covered bonds issuance reduces credit rationing during crisis periods whereas ABS aggravates these firms� credit rationing in crisis periods. Our results are in line with the theoretical predictions that a securitization instrument that retains risk (covered bond) may induce a more prudent risk behavior of banks than an instrument that provides risk transferring (ABS).

Item Type: Article
Subjects: Research Publications
Departments: College of Business, Law, Education and Social Sciences > Bangor Business School
Date Deposited: 01 Oct 2015 02:33
Last Modified: 01 Oct 2015 02:33
ISSN: 1572-3089
URI: http://e.bangor.ac.uk/id/eprint/5495
Identification Number: DOI: 10.1016/j.jfs.2015.06.004
Publisher: Elsevier
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