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Securitization and CDS in U.S. bank lending

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  • Caterina Di Tommaso

Abstract

Using a sample of quarterly observations of U.S. bank holding companies (BHCs), we investigate the effect of securitization and CDS on credit supply. Furthermore, we test the hypothesis that securitization and CDS have a different effect on the U.S. bank's lending. The use of CDS and securitization boosts lending cyclicality, reduces the credit supply and amplifies the cyclicality of bank credit supply, particularly in period of financial stress. Furthermore, the worst effect on U.S. bank lending is caused by the use of CDS. We find empirical evidence of effects of CDS and securitization on the bank lending channel following changes in monetary policy.

Suggested Citation

  • Caterina Di Tommaso, 2022. "Securitization and CDS in U.S. bank lending," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1120-1133, January.
    • Handle: RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1120-1133
    DOI: 10.1002/ijfe.2204
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