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Empirical investigation of securitisation drivers: the case of Italian banks

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  • Mariarosaria Agostino
  • Maria Mazzuca

Abstract

This paper explores the determinants of securitisation by Italian banks over the period 1999-2006, investigating the funding, specialisation, and regulatory capital arbitrage hypotheses. According to our evidence, when we consider all securitisation types together, Italian banks seem to have securitised out of funding motives, to diversify and optimise their available funding channels. When we separately consider securitisations backed by residential mortgages and those backed by non-performing loans, we find that the main factors affecting the former type of securitisation are the need for funding and capital arbitrage motivation, whereas the latter appear to have been affected to a lesser extent by a need for funding and to have also been slightly conditioned by a desire to specialise.

Suggested Citation

  • Mariarosaria Agostino & Maria Mazzuca, 2011. "Empirical investigation of securitisation drivers: the case of Italian banks," The European Journal of Finance, Taylor & Francis Journals, vol. 17(8), pages 623-648.
    • Handle: RePEc:taf:eurjfi:v:17:y:2011:i:8:p:623-648
    DOI: 10.1080/1351847X.2010.505727
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    Citations

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    Cited by:

    1. Bertay, Ata Can & Gong, Di & Wagner, Wolf, 2017. "Securitization and economic activity: The credit composition channel," Journal of Financial Stability, Elsevier, vol. 28(C), pages 225-239.
    2. Battaglia, Francesca & Gallo, Angela, 2013. "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 274-286.
    3. Milcheva, Stanimira & Falkenbach, Heidi & Markmann, Holger, 2019. "Bank liquidity management through the issuance of bonds in the aftermath of the global financial crisis," Research in International Business and Finance, Elsevier, vol. 48(C), pages 32-47.
    4. Miguel Á. Peña-Cerezo & Arturo Rodríguez-Castellanos & Francisco J. Ibáñez-Hernández, 2019. "Multi-tranche securitisation structures: more than just a zero-sum game?," The European Journal of Finance, Taylor & Francis Journals, vol. 25(2), pages 167-189, January.
    5. Bertay, A.C., 2014. "Essays on the impact of government policy, internationalization and financial innovation on financial stability," Other publications TiSEM 709fc70f-59d5-4fdc-a029-3, Tilburg University, School of Economics and Management.
    6. Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria, 2014. "Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking," Journal of Economics and Business, Elsevier, vol. 76(C), pages 85-100.
    7. Deku, Solomon Y. & Kara, Alper & Zhou, Yifan, 2019. "Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 245-254.

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