---
_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. <i>Quarterly Review of Economics and Finance</i>.
    2012;52(3):272-285. doi:<a href="https://doi.org/10.1016/j.qref.2012.04.008">https://doi.org/10.1016/j.qref.2012.04.008</a>'
  apa: 'Michalak, T. C., &#38; Uhde, A. (2012).  Credit risk securitization and bank
    soundness: Evidence from the microlevel for Europe. <i>Quarterly Review of Economics
    and Finance</i>, <i>52</i>(3), 272–285. <a href="https://doi.org/10.1016/j.qref.2012.04.008">https://doi.org/10.1016/j.qref.2012.04.008</a>'
  bibtex: '@article{Michalak_Uhde_2012, title={ Credit risk securitization and bank
    soundness: Evidence from the microlevel for Europe}, volume={52}, DOI={<a href="https://doi.org/10.1016/j.qref.2012.04.008">https://doi.org/10.1016/j.qref.2012.04.008</a>},
    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.” <i>Quarterly Review
    of Economics and Finance</i> 52, no. 3 (2012): 272–85. <a href="https://doi.org/10.1016/j.qref.2012.04.008">https://doi.org/10.1016/j.qref.2012.04.008</a>.'
  ieee: 'T. C. Michalak and A. Uhde, “ Credit risk securitization and bank soundness:
    Evidence from the microlevel for Europe,” <i>Quarterly Review of Economics and
    Finance</i>, vol. 52, no. 3, pp. 272–285, 2012, doi: <a href="https://doi.org/10.1016/j.qref.2012.04.008">https://doi.org/10.1016/j.qref.2012.04.008</a>.'
  mla: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank
    Soundness: Evidence from the Microlevel for Europe.” <i>Quarterly Review of Economics
    and Finance</i>, vol. 52, no. 3, 2012, pp. 272–85, doi:<a href="https://doi.org/10.1016/j.qref.2012.04.008">https://doi.org/10.1016/j.qref.2012.04.008</a>.'
  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. <i>The Nexus between Monetary Policy, Banking Market Structure
    and Bank Risk Taking</i>. Paderborn University; 2011.
  apa: Michalak, T. C., &#38; Uhde, A. (2011). <i>The Nexus between Monetary Policy,
    Banking Market Structure and Bank Risk Taking</i>. 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. <i>The Nexus between Monetary Policy,
    Banking Market Structure and Bank Risk Taking</i>. Paderborn University, 2011.
  ieee: T. C. Michalak and A. Uhde, <i>The Nexus between Monetary Policy, Banking
    Market Structure and Bank Risk Taking</i>. Paderborn University, 2011.
  mla: Michalak, Tobias C., and André Uhde. <i>The Nexus between Monetary Policy,
    Banking Market Structure and Bank Risk Taking</i>. 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'
...