---
_id: '34802'
abstract:
- lang: eng
text: "Purpose\r\nAcademic research has intensively analyzed the relationship between
market concentration or market power and banking stability but provides ambiguous
results, which are summarized under the concentration-stability/fragility view.
We provide empirical evidence that the mixed results are due to the difficulty
of identifying reliable variables to measure concentration and market power.\r\n\r\nDesign/methodology/approach\r\nUsing
data from 3,943 banks operating in the European Union (EU)-15 between 2013 and
2020, we employ linear regression models on panel data. Banking market concentration
is measured by the Herfindahl–Hirschman Index (HHI), and market power is estimated
by the product-specific Lerner Indices for the loan and deposit market, respectively.\r\n\r\nFindings\r\nOur
analysis reveals a significantly stability-decreasing impact of market concentration
(HHI) and a significantly stability-increasing effect of market power (Lerner
Indices). In addition, we provide evidence for a weak (or even absent) empirical
relationship between the (non)structural measures, challenging the validity of
the structure-conduct-performance (SCP) paradigm. Our baseline findings remain
robust, especially when controlling for a likely reverse causality.\r\n\r\nOriginality/value\r\nOur
results suggest that the HHI may reflect other factors beyond market power that
influence banking stability. Thus, banking supervisors and competition authorities
should investigate market concentration and market power simultaneously while
considering their joint impact on banking stability."
author:
- first_name: Sarah
full_name: Herwald, Sarah
last_name: Herwald
- first_name: Simone
full_name: Voigt, Simone
last_name: Voigt
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Herwald S, Voigt S, Uhde A. The conditional impact of market consolidation
and market power on banking stability – Evidence from Europe. Journal of Risk
Finance. 2024;25(3):510-536. doi:https://doi.org/10.1108/JRF-03-2023-0075
apa: Herwald, S., Voigt, S., & Uhde, A. (2024). The conditional impact of market
consolidation and market power on banking stability – Evidence from Europe. Journal
of Risk Finance, 25(3), 510–536. https://doi.org/10.1108/JRF-03-2023-0075
bibtex: '@article{Herwald_Voigt_Uhde_2024, title={The conditional impact of market
consolidation and market power on banking stability – Evidence from Europe}, volume={25},
DOI={https://doi.org/10.1108/JRF-03-2023-0075},
number={3}, journal={Journal of Risk Finance}, author={Herwald, Sarah and Voigt,
Simone and Uhde, André}, year={2024}, pages={510–536} }'
chicago: 'Herwald, Sarah, Simone Voigt, and André Uhde. “The Conditional Impact
of Market Consolidation and Market Power on Banking Stability – Evidence from
Europe.” Journal of Risk Finance 25, no. 3 (2024): 510–36. https://doi.org/10.1108/JRF-03-2023-0075.'
ieee: 'S. Herwald, S. Voigt, and A. Uhde, “The conditional impact of market consolidation
and market power on banking stability – Evidence from Europe,” Journal of Risk
Finance, vol. 25, no. 3, pp. 510–536, 2024, doi: https://doi.org/10.1108/JRF-03-2023-0075.'
mla: Herwald, Sarah, et al. “The Conditional Impact of Market Consolidation and
Market Power on Banking Stability – Evidence from Europe.” Journal of Risk
Finance, vol. 25, no. 3, 2024, pp. 510–36, doi:https://doi.org/10.1108/JRF-03-2023-0075.
short: S. Herwald, S. Voigt, A. Uhde, Journal of Risk Finance 25 (2024) 510–536.
date_created: 2022-12-22T07:28:25Z
date_updated: 2024-05-14T12:13:51Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1108/JRF-03-2023-0075
intvolume: ' 25'
issue: '3'
jel:
- G15
- G21
- G38
keyword:
- market concentration
- market power
- banking stability
- European banking
language:
- iso: eng
page: 510 - 536
publication: Journal of Risk Finance
publication_status: published
status: public
title: The conditional impact of market consolidation and market power on banking
stability – Evidence from Europe
type: journal_article
user_id: '36049'
volume: 25
year: '2024'
...
---
_id: '13147'
abstract:
- lang: eng
text: Employing a unique and hand-collected sample of 648 true sale loan securitization
transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland
over the period from 1997 to 2010, this paper empirically analyzes the relationship
between true sale loan securitization and the issuing banks’ non-performing loans
to total assets ratios. Overall, we provide evidence for a negative impact of
securitization on NPL exposures suggesting that banks predominantly used securitization
as an instrument of credit risk transfer and diversification. In addition, the
analysis at hand reveals a time-sensitive relationship between securitization
and NPL exposures. While we observe an even stronger NPL-reducing effect through
securitization during the non-crisis periods, the effect reverses during and after
the global financial crisis suggesting that banks were forced to provide credit
enhancement and employ securitization as a funding management tool. Along with
the results from a variety of sensitivity analyses our study provides important
implications for the recent debate on reducing NPL exposures of European banks
by revitalizing the European securitization market.
article_type: original
author:
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Wengerek ST, Hippert B, Uhde A. Risk allocation through securitization – Evidence
from non-performing loans. The Quarterly Review of Economics and Finance.
2022;Vol. 86 (11):48-64. doi:https://doi.org/10.1016/j.qref.2022.06.005
apa: Wengerek, S. T., Hippert, B., & Uhde, A. (2022). Risk allocation through
securitization – Evidence from non-performing loans. The Quarterly Review of
Economics and Finance, Vol. 86 (11), 48–64. https://doi.org/10.1016/j.qref.2022.06.005
bibtex: '@article{Wengerek_Hippert_Uhde_2022, title={Risk allocation through securitization
– Evidence from non-performing loans}, volume={Vol. 86 (11)}, DOI={https://doi.org/10.1016/j.qref.2022.06.005},
journal={The Quarterly Review of Economics and Finance}, publisher={Elsevier},
author={Wengerek, Sascha Tobias and Hippert, Benjamin and Uhde, André}, year={2022},
pages={48–64} }'
chicago: 'Wengerek, Sascha Tobias, Benjamin Hippert, and André Uhde. “Risk Allocation
through Securitization – Evidence from Non-Performing Loans.” The Quarterly
Review of Economics and Finance Vol. 86 (11) (2022): 48–64. https://doi.org/10.1016/j.qref.2022.06.005.'
ieee: 'S. T. Wengerek, B. Hippert, and A. Uhde, “Risk allocation through securitization
– Evidence from non-performing loans,” The Quarterly Review of Economics and
Finance, vol. Vol. 86 (11), pp. 48–64, 2022, doi: https://doi.org/10.1016/j.qref.2022.06.005.'
mla: Wengerek, Sascha Tobias, et al. “Risk Allocation through Securitization – Evidence
from Non-Performing Loans.” The Quarterly Review of Economics and Finance,
vol. Vol. 86 (11), Elsevier, 2022, pp. 48–64, doi:https://doi.org/10.1016/j.qref.2022.06.005.
short: S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and
Finance Vol. 86 (11) (2022) 48–64.
date_created: 2019-09-06T08:59:28Z
date_updated: 2022-12-23T11:27:53Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2022.06.005
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Securitization
language:
- iso: eng
page: 48-64
publication: The Quarterly Review of Economics and Finance
publication_status: published
publisher: Elsevier
status: public
title: Risk allocation through securitization – Evidence from non-performing loans
type: journal_article
user_id: '36049'
volume: Vol. 86 (11)
year: '2022'
...
---
_id: '5163'
abstract:
- lang: eng
text: "Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed\r\nEuropean banks across the EU-13 plus
Switzerland over the period from 1997 to 2010, this paper empirically analyzes\r\nthe
impact of securitization on the issuing banks’ effective tax rates. Our analysis
reveals that banks may reduce their\r\ntax expense through securitization via
a direct and indirect channel suggesting that tax avoidance may be a further\r\nmotive
for banks to engage in the securitization business. These baseline findings remain
robust under various\r\nrobustness checks, especially when implementing structural
equation models and controlling for a reverse causality\r\nbetween the banks’
tax burden and their incentive to securitize. Finally, various sensitivity analyses
provide further\r\nimportant results and implications for tax policies, banking
regulation and the ongoing process of revitalizing the\r\nEuropean securitization
market."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. 2021;79:411-421. doi:10.1016/j.qref.2020.07.008
apa: Uhde, A. (2021). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance, 79, 411–421. https://doi.org/10.1016/j.qref.2020.07.008
bibtex: '@article{Uhde_2021, title={Tax avoidance through securitization}, volume={79},
DOI={10.1016/j.qref.2020.07.008},
journal={The Quarterly Review of Economics and Finance}, author={Uhde, André},
year={2021}, pages={411–421} }'
chicago: 'Uhde, André. “Tax Avoidance through Securitization.” The Quarterly
Review of Economics and Finance 79 (2021): 411–21. https://doi.org/10.1016/j.qref.2020.07.008.'
ieee: A. Uhde, “Tax avoidance through securitization,” The Quarterly Review of
Economics and Finance, vol. 79, pp. 411–421, 2021.
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, vol. 79, 2021, pp. 411–21, doi:10.1016/j.qref.2020.07.008.
short: A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.
date_created: 2018-10-31T09:55:40Z
date_updated: 2022-01-06T07:01:40Z
department:
- _id: '186'
- _id: '188'
doi: 10.1016/j.qref.2020.07.008
intvolume: ' 79'
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- Credit risk transfer
- Effective tax rates
- European banking
language:
- iso: eng
page: 411-421
publication: The Quarterly Review of Economics and Finance
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '81176'
volume: 79
year: '2021'
...
---
_id: '29316'
abstract:
- lang: eng
text: Employing a unique and hand-collected dataset of securitization transactions
by European banks, this paper analyzes the relationship between true sale loan
securitization and the issuing banks’ non-performing loans to total assets ratios
(NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase
of securitizations suggesting that banks (partly) securitized NPLs as the most
risky junior tranche. In contrast, we find the reverse effect during the crises
period indicating that issuing banks demonstrated `skin in the game'. A variety
of sensitivity analyses provides further important implications for the vital
debate on reducing NPL exposures and regulating securitization markets.
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
last_name: Wengerek
citation:
ama: Hippert B, Uhde A, Wengerek ST. Risk Allocation through Securitization -
Evidence from Non-Performing Loans.; 2021.
apa: Hippert, B., Uhde, A., & Wengerek, S. T. (2021). Risk allocation through
securitization - Evidence from non-performing loans.
bibtex: '@book{Hippert_Uhde_Wengerek_2021, title={Risk allocation through securitization
- Evidence from non-performing loans}, author={Hippert, Benjamin and Uhde, André
and Wengerek, Sascha Tobias}, year={2021} }'
chicago: Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. Risk Allocation
through Securitization - Evidence from Non-Performing Loans, 2021.
ieee: B. Hippert, A. Uhde, and S. T. Wengerek, Risk allocation through securitization
- Evidence from non-performing loans. 2021.
mla: Hippert, Benjamin, et al. Risk Allocation through Securitization - Evidence
from Non-Performing Loans. 2021.
short: B. Hippert, A. Uhde, S.T. Wengerek, Risk Allocation through Securitization
- Evidence from Non-Performing Loans, 2021.
date_created: 2022-01-13T11:19:28Z
date_updated: 2024-04-17T13:36:05Z
department:
- _id: '186'
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Risk Allocation
- Securitization
language:
- iso: eng
status: public
title: Risk allocation through securitization - Evidence from non-performing loans
type: working_paper
user_id: '36049'
year: '2021'
...
---
_id: '17522'
abstract:
- lang: eng
text: Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland
over the period from 1997 to 2010, this paper empirically analyzes the impact
of securitization on the issuing banks’ effective tax rates. Our analysis reveals
that banks may reduce their tax expense through securitization via a direct and
indirect channel suggesting that tax avoidance may be a further motive for banks
to engage in the securitization business. These baseline findings remain robust
under various robustness checks, especially when implementing structural equation
models and controlling for a reverse causality between the banks’ tax burden and
their incentive to securitize. Finally, various sensitivity analyses provide further
important results and implications for tax policies, banking regulation and the
ongoing process of revitalizing the European securitization market.
article_type: original
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. Published online 2020. doi:10.1016/j.qref.2020.07.008
apa: Uhde, A. (2020). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance. https://doi.org/10.1016/j.qref.2020.07.008
bibtex: '@article{Uhde_2020, title={Tax avoidance through securitization}, DOI={10.1016/j.qref.2020.07.008},
journal={The Quarterly Review of Economics and Finance}, author={Uhde, André},
year={2020} }'
chicago: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020. https://doi.org/10.1016/j.qref.2020.07.008.
ieee: 'A. Uhde, “Tax avoidance through securitization,” The Quarterly Review
of Economics and Finance, 2020, doi: 10.1016/j.qref.2020.07.008.'
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020, doi:10.1016/j.qref.2020.07.008.
short: A. Uhde, The Quarterly Review of Economics and Finance (2020).
date_created: 2020-08-01T07:20:33Z
date_updated: 2024-04-17T13:35:56Z
department:
- _id: '19'
doi: 10.1016/j.qref.2020.07.008
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- Credit risk transfer
- Effective tax rates
- European banking
language:
- iso: eng
publication: The Quarterly Review of Economics and Finance
publication_identifier:
issn:
- 1062-9769
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '36049'
year: '2020'
...
---
_id: '17401'
abstract:
- lang: eng
text: Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland
over the period from 1997 to 2010, this paper empirically analyzes the impact
of securitization on the issuing banks’ effective tax rates. Our analysis reveals
that banks may reduce their tax expense through securitization via a direct and
indirect channel suggesting that tax avoidance may be a further motive for banks
to engage in the securitization business. These baseline findings remain robust
under various robustness checks, especially when implementing structural equation
models and controlling for a reverse causality between the banks’ tax burden and
their incentive to securitize. Finally, various sensitivity analyses provide further
important results and implications for tax policies, banking regulation and the
ongoing process of revitalizing the European securitization market.
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. Published online 2020.
apa: Uhde, A. (2020). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance.
bibtex: '@article{Uhde_2020, title={Tax avoidance through securitization}, journal={The
Quarterly Review of Economics and Finance}, author={Uhde, André}, year={2020}
}'
chicago: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020.
ieee: A. Uhde, “Tax avoidance through securitization,” The Quarterly Review of
Economics and Finance, 2020.
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020.
short: A. Uhde, The Quarterly Review of Economics and Finance (2020).
date_created: 2020-07-20T06:29:36Z
date_updated: 2024-04-17T13:36:03Z
department:
- _id: '19'
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- credit risk transfer
- effective tax rates
- European banking
language:
- iso: eng
publication: The Quarterly Review of Economics and Finance
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '36049'
year: '2020'
...
---
_id: '5171'
abstract:
- lang: eng
text: "Employing a unique and hand-collected sample of 648 true sale loan securitization\r\ntransactions
issued by 57 stock-listed banks across the EU-12 plus Switzerland\r\nover the
period from 1997 to 2010, this paper empirically analyzes the relationship\r\nbetween
true sale loan securitization and the issuing banks' non-performing loan\r\nto
total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect\r\nduring
the boom phase of securitizations in Europe suggesting that banks in our\r\nsample
may (partly) securitize NPLs as the most risky junior tranche and do not\r\n(fully)
retain NPLs as a reputation and quality signal towards less informed investors\r\nin
imperfect capital markets. In contrast, we fi\fnd the reverse effect during the\r\ncrises
period in Europe indicating that issuing banks provided credit enhancement\r\nand
demonstrated `skin in the game'. Our baseline result remains robust when\r\ncontrolling
for endogeneity concerns and a potential persistence in the time series\r\nof
the NPL data. Moreover, results from a variety of sensitivity analysis reveal\r\nthat
the NPLR-reducing effect is stronger for opaque securitization transactions,\r\nfor
issuing banks exhibiting higher average levels of NPLRs and for banks operating\r\nfrom
non-PIIGS countries. In addition, a reduction of NPLRs through securitization\r\nis
observed for issued collateralized debt obligations, residential mortgage-backed\r\nsecurities,
consumer and other unspeci\fed loans as well as for non-frequently issuing,\r\nsystemically
less important and worse-rated banks. Our analysis offers essential\r\ninsights
into the loan risk allocation process through securitization and provides\r\nimportant
implications for the vital debate on reducing NPL exposures and the\r\nprocess
of revitalizing and regulating the European securitization market."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Uhde A, Wengerek ST. The Relationship between Credit Risk Transfer and Non-Performing
Loans. Evidence from European Banks.
apa: Uhde, A., & Wengerek, S. T. (n.d.). The relationship between credit
risk transfer and non-performing loans. Evidence from European banks.
bibtex: '@book{Uhde_Wengerek, title={The relationship between credit risk transfer
and non-performing loans. Evidence from European banks}, author={Uhde, André and
Wengerek, Sascha Tobias} }'
chicago: Uhde, André, and Sascha Tobias Wengerek. The Relationship between Credit
Risk Transfer and Non-Performing Loans. Evidence from European Banks, n.d.
ieee: A. Uhde and S. T. Wengerek, The relationship between credit risk transfer
and non-performing loans. Evidence from European banks. .
mla: Uhde, André, and Sascha Tobias Wengerek. The Relationship between Credit
Risk Transfer and Non-Performing Loans. Evidence from European Banks.
short: A. Uhde, S.T. Wengerek, The Relationship between Credit Risk Transfer and
Non-Performing Loans. Evidence from European Banks, n.d.
date_created: 2018-10-31T10:07:26Z
date_updated: 2024-04-17T13:34:47Z
department:
- _id: '186'
- _id: '188'
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Risk Allocation
- Securitization
language:
- iso: eng
publication_status: submitted
status: public
title: The relationship between credit risk transfer and non-performing loans. Evidence
from European banks
type: working_paper
user_id: '36049'
year: '2017'
...
---
_id: '4396'
abstract:
- lang: eng
text: Analyzing 75 securitizing and non-securitizing stock-listed banks in the EU-13
plus Switzerland over the period from 1997 to 2010, this paper provides empirical
evidence that loan securitization in Europe is a composite decision based on bank-specific
as well as market- and country-specific determinants. In addition, we find that
these determinants remarkably change when separately investigating securitization
transactions during the pre-crisis and crisis period. Moreover, results from several
subsample regressions reveal that determinants of loan securitizations in Europe
depend on the transaction type, the underlying asset portfolio and the regulatory
and institutional environment under which banks operate.
author:
- first_name: Christian
full_name: Farruggio, Christian
last_name: Farruggio
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Farruggio C, Uhde A. Determinants of loan securitization in European banking.
Journal of Banking and Finance. 2015;56:12-27. doi:10.1016/j.jbankfin.2015.01.015
apa: Farruggio, C., & Uhde, A. (2015). Determinants of loan securitization in
European banking. Journal of Banking and Finance, 56, 12–27. https://doi.org/10.1016/j.jbankfin.2015.01.015
bibtex: '@article{Farruggio_Uhde_2015, title={Determinants of loan securitization
in European banking}, volume={56}, DOI={10.1016/j.jbankfin.2015.01.015 }, journal={Journal of Banking and Finance},
author={Farruggio, Christian and Uhde, André}, year={2015}, pages={12–27} }'
chicago: 'Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization
in European Banking.” Journal of Banking and Finance 56 (2015): 12–27.
https://doi.org/10.1016/j.jbankfin.2015.01.015
.'
ieee: 'C. Farruggio and A. Uhde, “Determinants of loan securitization in European
banking,” Journal of Banking and Finance, vol. 56, pp. 12–27, 2015, doi:
10.1016/j.jbankfin.2015.01.015
.'
mla: Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization
in European Banking.” Journal of Banking and Finance, vol. 56, 2015, pp.
12–27, doi:10.1016/j.jbankfin.2015.01.015
.
short: C. Farruggio, A. Uhde, Journal of Banking and Finance 56 (2015) 12–27.
date_created: 2018-09-14T11:26:52Z
date_updated: 2023-01-10T09:37:18Z
department:
- _id: '186'
- _id: '188'
doi: '10.1016/j.jbankfin.2015.01.015 '
intvolume: ' 56'
jel:
- G21
- G28
keyword:
- Securitization
- Determinants
- European banking
language:
- iso: eng
page: 12-27
publication: Journal of Banking and Finance
publication_status: published
status: public
title: Determinants of loan securitization in European banking
type: journal_article
user_id: '21810'
volume: 56
year: '2015'
...
---
_id: '4399'
abstract:
- lang: eng
text: Using a unique sample of 749 cash and synthetic securitization transactions
issued by 60 stock-listed bank holdings in the EU-13 plus Switzerland over the
period from 1997 to 2007 this paper provides empirical evidence that credit risk
securitization has a negative impact on the issuing banks’ financial soundness.
Baseline findings hold even when controlling for likely reverse causality by employing
instrumental variable techniques and substituting the accounting-based z-score
ratio by market-based indicators of bank risk. Moreover, investigating the relationship
between credit risk securitization and single z-score components in order to evaluate
significant transmission channels proposed by relevant theoretical literature,
we find a negative impact of securitization on bank profitability and capital
environment as well as a positive relationship between securitization and the
issuing bank's return volatility. Against the background of our empirical results
we underline that the decision by the Basel Committee to enhance the new Basel
III framework in the field of securitization is a step in the right direction.
author:
- first_name: Tobias C.
full_name: Michalak, Tobias C.
last_name: Michalak
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: 'Michalak TC, Uhde A. Credit risk securitization and bank soundness: Evidence
from the microlevel for Europe. Quarterly Review of Economics and Finance.
2012;52(3):272-285. doi:https://doi.org/10.1016/j.qref.2012.04.008'
apa: 'Michalak, T. C., & Uhde, A. (2012). Credit risk securitization and bank
soundness: Evidence from the microlevel for Europe. Quarterly Review of Economics
and Finance, 52(3), 272–285. https://doi.org/10.1016/j.qref.2012.04.008'
bibtex: '@article{Michalak_Uhde_2012, title={ Credit risk securitization and bank
soundness: Evidence from the microlevel for Europe}, volume={52}, DOI={https://doi.org/10.1016/j.qref.2012.04.008},
number={3}, journal={Quarterly Review of Economics and Finance}, author={Michalak,
Tobias C. and Uhde, André}, year={2012}, pages={272–285} }'
chicago: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and
Bank Soundness: Evidence from the Microlevel for Europe.” Quarterly Review
of Economics and Finance 52, no. 3 (2012): 272–85. https://doi.org/10.1016/j.qref.2012.04.008.'
ieee: 'T. C. Michalak and A. Uhde, “ Credit risk securitization and bank soundness:
Evidence from the microlevel for Europe,” Quarterly Review of Economics and
Finance, vol. 52, no. 3, pp. 272–285, 2012, doi: https://doi.org/10.1016/j.qref.2012.04.008.'
mla: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank
Soundness: Evidence from the Microlevel for Europe.” Quarterly Review of Economics
and Finance, vol. 52, no. 3, 2012, pp. 272–85, doi:https://doi.org/10.1016/j.qref.2012.04.008.'
short: T.C. Michalak, A. Uhde, Quarterly Review of Economics and Finance 52 (2012)
272–285.
date_created: 2018-09-14T11:59:26Z
date_updated: 2023-01-10T09:32:07Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2012.04.008
intvolume: ' 52'
issue: '3'
jel:
- G21
- G28
keyword:
- Credit risk securitization Bank soundness European banking
language:
- iso: eng
page: 272-285
publication: Quarterly Review of Economics and Finance
publication_status: published
status: public
title: ' Credit risk securitization and bank soundness: Evidence from the microlevel
for Europe'
type: journal_article
user_id: '21810'
volume: 52
year: '2012'
...
---
_id: '36021'
abstract:
- lang: eng
text: 'Using a sample of stock-listed bank holding companies located in Western
Europe over the period from 1997 to 2008 this paper provides empirical evidence
that an increase in short-term interest rates as well as an extended period of
expansionary monetary policy has a negative impact on European stock-listed banks’
soundness as measured by the Expected Default Frequency. Against this background
and in order to evaluate interactions between the risk-taking channel of monetary
policy and the competitiveness of a country’s banking market we find a negative
impact of an increase in competition in the loan market – proxied by the Boone-indicator
– on financial soundness. Referring to the structural-conduct performance (SCP)
paradigm, this paper provides further evidence that an increase in concentration
in the banking market spurs financial soundness. '
author:
- first_name: Tobias C.
full_name: Michalak, Tobias C.
last_name: Michalak
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
citation:
ama: Michalak TC, Uhde A. The Nexus between Monetary Policy, Banking Market Structure
and Bank Risk Taking. Paderborn University; 2011.
apa: Michalak, T. C., & Uhde, A. (2011). The Nexus between Monetary Policy,
Banking Market Structure and Bank Risk Taking. Paderborn University.
bibtex: '@book{Michalak_Uhde_2011, title={The Nexus between Monetary Policy, Banking
Market Structure and Bank Risk Taking}, publisher={Paderborn University}, author={Michalak,
Tobias C. and Uhde, André}, year={2011} }'
chicago: Michalak, Tobias C., and André Uhde. The Nexus between Monetary Policy,
Banking Market Structure and Bank Risk Taking. Paderborn University, 2011.
ieee: T. C. Michalak and A. Uhde, The Nexus between Monetary Policy, Banking
Market Structure and Bank Risk Taking. Paderborn University, 2011.
mla: Michalak, Tobias C., and André Uhde. The Nexus between Monetary Policy,
Banking Market Structure and Bank Risk Taking. Paderborn University, 2011.
short: T.C. Michalak, A. Uhde, The Nexus between Monetary Policy, Banking Market
Structure and Bank Risk Taking, Paderborn University, 2011.
date_created: 2023-01-11T11:04:30Z
date_updated: 2024-04-17T13:35:15Z
department:
- _id: '186'
- _id: '188'
jel:
- E43
- E44
- E52
- G01
- G28
keyword:
- risk-taking channel
- competition
- concentration
- bank soundness
- European banking
language:
- iso: eng
publication_status: published
publisher: Paderborn University
status: public
title: The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking
type: working_paper
user_id: '21810'
year: '2011'
...