Department of Quantitative Economics, Facultade de C. Económicas e Empresariais, Universidade de Santiago de Compostela, Santiago de Compostela, Spain.
Department of Finance and Accounting, Facultade de C. Económicas e Empresariais, Universidade de Santiago de Compostela, Santiago de Compostela, Spain.
PLoS One. 2020 Feb 3;15(2):e0228141. doi: 10.1371/journal.pone.0228141. eCollection 2020.
This paper examines the financial stability of banks that issued securitizations in the European market from 2000 to 2017. We use novel event study methodology and find that securitization has a positive impact on European banks' systematic risk during the 2000 to 2007 period and that subsequent securitizations have not any impact on systematic risk. The increase in systematic risk is due to an increase in systemic risk and in banks' idiosyncratic risk. By dividing the sample into those countries on the periphery and those at the core of Europe, it is found that securitization only has an impact on the systematic risk during the pre-crisis period, and only when looking at the peripheral countries does this lead to an increase in systemic risk. For individual countries, there is an observable effect for Spain and the UK prior to the crisis. On controlling for the type of collateral, it is found that this effect occurs when dealing with mortgage-based securitizations.
本文考察了 2000 年至 2017 年间在欧洲市场发行证券化产品的银行的财务稳定性。我们使用新颖的事件研究方法发现，在 2000 年至 2007 年期间，证券化对欧洲银行的系统性风险有积极影响，而随后的证券化对系统性风险没有任何影响。系统性风险的增加是由于系统性风险和银行特质风险的增加所致。通过将样本分为欧洲外围国家和核心国家，我们发现证券化仅在前危机时期对系统性风险有影响，并且仅在外围国家才会导致系统性风险增加。对于个别国家，在危机之前，西班牙和英国可以观察到这种效应。在控制抵押品类型的情况下，发现这种效应发生在处理基于抵押贷款的证券化时。
