383
Views
0
CrossRef citations to date
0
Altmetric
Articles

Securitization and financial solvency: empirical evidence from Portugal

ORCID Icon, ORCID Icon, ORCID Icon & ORCID Icon
Pages 155-166 | Received 03 May 2017, Accepted 20 Jun 2018, Published online: 05 Jul 2018

References

  • Affinito, M., and E. Tagliaferri. 2010. “Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy.” Journal of Financial Stability 6: 189–202.
  • Almeida, A. M., and M. T. Crespo. 2010. “Assessing Securitization Activity in Portugal. Compilation and Measurement Issues.” Stadistic Department Banco de Portugal, Eurosystem. Accessed 8 September 2016. http://www.oecd.org/std/na/45164657.pdf.
  • Almeida, A. M., and M. T. Crespo. 2011. “Assessing Securitisation Activity in Portugal. Compilation and Measurement Issues.” Banco de Portugal, Supplement 1/2011 to the Statistical Bulletin, October 2011.
  • Almeida, A. M., M. T. Crespo, and S. F. Santa. 2012. “Compilation and Measurement Issues for the Financial Sector: The Cases for FISIM and Securitisation in Portugal.” Banco de Portugal. Statistics Department.
  • Altman, E. I. 1968. “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.” The Journal of Finance 23: 589–610. doi: 10.2307/2978933.
  • Altunbas, Y., L. Gambacorta, and D. Marques-Ibanez. 2009. “Securitisation and the Bank Lending Channel.” European Economic Review 53: 996–1009.
  • Amaral Loureiro, J. P. 2013. “O fenómeno da titularizaçao en Portugal. Motivaçoes para implementaçao no sector bancario.” Traballo final mestrado en Finanzas, Lisboa School of Economics & Management. Accessed 7 September 2016. https://www.repository.utl.pt/bitstream/10400.5/6255/1/DM-JPAL-2013.pdf.
  • Arellano, M., and S. Bond. 1991. “Some Tests of Specification for Panel Data: Monte Carlo Evidence and Application to Employment Equations.” The Review of Economic Studies 58: 277–297. http://www.jstor.org/stable/2297968.
  • Arellano, M., and O. Bover. 1995. “Another Look at the Instrumental Variable Estimation of Error-Component Models.” Journal of Econometrics 68: 29–51. doi: 10.1016/0304-4076(94)01642-D.
  • Bannier, C. E., and D. N. Hänsel. 2006. “ Determinants of Banks’ Engagement in Loan Securitization.” Working Paper Series, Finance & Accounting, 171.
  • Battaglia, F., and A. Gallo. 2013. “Securitization and Systemic Risk: An Empirical Investigation on Italian Banks Over the Financial Crisis.” International Review of Financial Analysis 30: 274–286.
  • Battaglia, F., A. Gallo, and M. Mazzuca. 2014. “Securitized Banking and the Euro Financial Crisis: Evidence From the Italian Banks Risk-Taking.” Journal of Economics and Business 76: 85–100.
  • Battaglia, F., and M. Mazzuca. 2011. “The Effects of Securitization on Banks’ performance. Evidence from Italy.” Working paper. Accessed 16 January 2013. http://ssrn.com/abstract=1911178.
  • Benmelech, E., J. Dlugosz, and V. Ivashina. 2012. “Securitization Without Adverse Selection: The Case of CLOs.” Journal of Financial Economics 106: 91–113.
  • Ben Salah, N., and H. Fedhila. 2012. “Effects of Securitization on Credit Risk and Banking Stability: Empirical Evidence from American Commercial Banks.” International Journal of Economics and Finance 4: 194–207. doi: 10.5539/ijef.v4n5p194.
  • Blundell, R., and S. Bond. 1998. “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.” Journal of Econometrics 87: 115–143. doi: 10.1016/S0304-4076(98)00009-8.
  • Calem, P. S., and M. LaCour-Little. 2004. “Risk-based Capital Requirements for Mortgage Loans.” Journal of Banking & Finance 28: 647–672.
  • Carbo-Valverde, S., H. Degryse, and F. Rodríguez-Fernández. 2015. “The Impact of Securitization on Credit Rationing: Empirical Evidence.” Journal of Financial Stability 20: 36–50.
  • Casu, B., A. Clare, A. Sarkisyan, and S. Thomas. 2013. “Securitization and Bank Performance.” Journal of Money Credit Banking 45: 1617–1658.
  • Cebenoyan, S., and L. Strahan. 2004. “What Drives Bank Competition? Some International Evidence.” Journal of Money Credit and Banking 36: 563–583. http://www.jstor.org/stable/3838954.
  • Čihák, M., A. Maechler, K. Schaeck, and S. Stolz. 2012. “Who Disciplines Bank Managers?” Review of Finance 16: 197–243. doi: 10.1093/rof/rfr010.
  • Dell’Ariccia, G., D. Igan, and L. Laeven. 2012. “Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market.” Journal of Money Credit and Banking 44: 367–384.
  • Demirgüç-Kunt, A., and E. Detragiache. 2011. “Basel Core Principles and Bank Risk: Does Compliance Matter?” Journal of Financial Stability 7: 179–190. doi: 10.1016/j.jfs.2010.03.003.
  • Dionne, G., and T. M. Harchaoui. 2003. “Banks’ Capital, Securitization and Credit Risk: An Empirical Evidence for Canada.” HEC Working Paper 03-01.
  • ECB. 2014. “ The Impaired EU Securitisation Market: Causes, Roadblocks and How To Deal with them.” https://www.ecb.europa.eu/pub/pdf/other/ecb-boe_impaired_eu_securitisation_marketen.pdf.
  • European Union. 2015. “ Regulation of the European Parliament and of the Council Laying Down Common Rules on Securitisation and Creating a European Framework for Simple and Transparent Securitisation and Amending Directives 2009/65/EC, 2009/138/EC, 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012.” http://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:52015SC0185&from=EN.
  • Franke, G., and J. P. Krahnen. 2006. “Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations.” In The Risks of Financial Institutions, edited by M. Carey, and R. M. Stulz, 603–633. Chicago: University of Chicago Press.
  • Goderis, B., I. Marsh, J. Vall Castello, and W. Wagner. 2007. Bank Behaviour with Access to Credit Risk Transfer Markets. Helsinki: Bank of Finland.
  • Gorton, G. B., and G. G. Pennacchi. 1995. “Banks and Loan Sales: Marketing Nonmarketable Assets.” Journal of Monetary Economics 35: 379–401. doi: 10.1016/0304-3932(95)01199-X.
  • Gómez-Churruca, R., and O. I. Cerqueira de Gouveia. 2015. “Revitalizando el mercado de titulizaciones en Europa”. Observatorio de divulgación financiera. Nota técnica, 19. Disponible en https://www.iefweb.org/es/finanzas/visordocumentospdf/46.
  • Greenbaum, S. I., and A. V. Thakor. 1987. “Bank Funding Modes: Securitization Versus Deposits.” Journal of Banking and Finance 11: 379–401. doi: 10.1016/0378-4266(87)90040-9.
  • Hänsel, D. N., and J. P. Krahnen. 2007. “Does Credit Securitization Reduce Bank Risk? Evidence from the European CDO Market.” SSRN working paper. Accessed 2 December 2010. http://ssrn.com/abstract=967430.
  • Jiangli, W., and M. Pritsker. 2008. “The Impacts of Securitization on US Bank Holding Companies2.” Federal Reserve Bank of Chicago Proceedings, 377–393.
  • Jiangli, W., M. Pritsker, and P. Paupach. 2007. “Banking and Securitization”. Working Paper, FDIC, Federal Reserve Board and Deutsche Bundesbank.
  • Kara, A., D. Marques-Ibanez, and S. Ongena. 2016. “Securitization and Lending Standards: Evidence from the European Wholesale Loan Market.” Journal of Financial Stability 26: 107–127.
  • Kara, A., A. Ozkan, and Y. Altunbas. 2016. “Securitisation and Banking Risk: What Do We Know So Far?” Review of Behavioral Finance 8: 2–16.
  • Keys, B. J., T. K. Mukherjee, A. Seru, and V. Vig. 2010. “Did Securitization Lead to Lax Screening: Evidence from Subprime Loans 2001–2006.” Quarterly Journal of Economics 125: 307–362.
  • Krahnen, J. P., and C. Wilde. 2006. “Risk Transfer with CDOs and Systemic Risk in Banking.” CFS Working Paper No. 2006/04.
  • Laeven, L., and R. Levine. 2009. “Bank Governance, Regulation and Risk Taking.” Journal of Financial Economics 93: 259–275. doi: 10.3386/w14113.
  • Lockwood, L. J., R. C. Rutherford, and M. J. Herrera. 1996. “Wealth Effects of Asset Securitization.” Journal of Banking and Finance 20: 151–164. doi: 10.1016/0378-4266(94)00101-4.
  • Loutskina, E. 2011. “The Role of Securitization in Bank Liquidity and Funding Management.” Journal of Financial Economics 100: 663–284.
  • López-Andión, C., I. Iglesias-Casal, M. C. López-Penabad, and J. M. Maside-Sanfiz. 2015. “The Solvency of Financial Institutions in Spain: Lessons from Securitization.” Applied Economics 47 (44): 4741–4753. doi: 10.1080/00036846.2015.1034841.
  • Martin-Oliver, A., and J. Saurina. 2007. “Why do Banks Securitize Assets?” In XV Spanish Finance Forum Conference Proceedings. Palma de Mallorca: Spanish Finance Association.
  • Mian, A., and A. Sufi. 2009. “The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis.” Quarterly Journal of Economics 124: 1449–1496.
  • Michalak, T., and A. Uhde. 2012. “Credit Risk Securitization and Bank Soundness: Evidence from the Micro-level for Europe.” Quarterly Review of Economics and Finance 52: 272–285. https://ssrn.com/abstract=1383469.
  • Nadauld, T. D., and M. S. Weisbach. 2012. “Did Securitization Affect the Cost of Corporate Debt?” Journal of Financial Economics 105: 332–352.
  • Otero González, L., M. Ezcurra Pérez, O. Martorell Cunil, and C. Mulet Forteza. 2013. “Análisis del Impacto de la Titulización Hipotecaria en la Estabilidad Financiera del Sistema Bancario Español.” Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 42 (160): 513–533. doi: 10.1080/02102412.2013.11102928.
  • Otero González, L. A., L. I. Rodríguez Gil, O. Martorell Cunill, and O. J. M. Merigó Lindahl. 2016. “The Effect of Financial Innovation on European Banks’s Risk.” Journal of Business Research 69: 4781–4786.
  • Parlour, C. A., and G. Plantin. 2008. “Loan Sales and Relationship Banking.” The Journal of Finance LXIII (3): 1291–1314.
  • Pinto, J., and M. Marques. 2007. “O movimento de Titularização de Activos em Portugal.” Cadernos do Mercado de Valores Mobiliários 26: 8–45. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2368617.
  • Purnanandam, A. 2011. “Originate-to-distribute Model and the Subprime Mortgage Crisis.” The Review of Financial Studies 24: 1881–1915.
  • Sarkisyan, A., and B. Casu. 2012. “Credit and Liquidity Support in Securitizations and Implications for Bank Solvency.” Lamfalussy Fellowship Program sponsored by the ECB. Accessed 11 January 2013. http://inscripciones.adeit-uv.es/econgres/finanzas_2012-13/barbara_cassu.pdf.
  • Shaffer, S. 2013. “Reciprocal Deposits and Incremental Bank Risk.” Applied Economics 45: 4857–4860. doi:10.1080/00036846.2013.806784.
  • Shivdasani, A., and Y. Wang. 2011. “Did Structured Credit Fuel the LBO Boom?” Journal of Finance 66: 1291–1328.
  • Uhde, A., and U. Heimeshoff. 2009. “Consolidation in Banking and Financial Stability in Europe: Empirical Evidence.” Journal of Banking and Finance 33: 1299–1311. doi: 10.1016/j.jbankfin.2009.01.006.
  • Uzun, H., and E. Webb. 2007. “Securitization and Risk: Empirical Evidence on US Banks.” The Journal of Risk Finance 8: 11–23. doi: 10.1108/15265940710721046.
  • Wagner, W. 2007. “The Liquidity of Bank Assets and Banking Stability.” The Journal of Banking and Finance 31: 121–139. doi: 10.1016/j.jbankfin.2005.07.019.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.