Analysis of the impact of mortgage backed securitization on financial stability of the Spanish banking system

作者:Otero Gonzalez Luis; Ezcurra Perez Miguel; Martorell Cunil Onofre; Mulet Forteza Carlos
来源:Spanish Journal of Finance and Accounting, 2013, 42(160): 513-533.

摘要

The aim of this work is to analyze the impact of mortgage securitization on financial stability and credit risk of the Spanish financial institutions. In this sense, we have developed a database with the help of Bankscope containing the consolidated financial statements of 87 Spanish credit institutions over the period 2004-2009, and all issuances of mortgage-backed securities held in that period. The result of our work shows how securitization has had a negative impact on financial stability. In addition, the positive effect on risk-weighted assets and negative on the Z-Score and the default rate leads us to conclude that the impact is the consequence of an indirect caused by a riskier credit policy.

  • 出版日期2013-12