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Securitization and monetary transmission mechanism: evidence from italy (1999-2009)

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  • M. Lopreite

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    Abstract

    This paper investigates credit supply endogeneity in the Italian environment from 1999 to 2009. The study aims to shed more light on the relationship between securitization and the Italian monetary transmission mechanism during the two most recent financial crashes: the dot-com bubble burst (1998-1999) and the sub-prime mortgage crisis (2008-2009). Recently many works are focused on how securitization affects the relationship between credit channel and monetary policy. Altunbas et al. (2009) conclude that banks’ securitization increases loans supply insulating banking system from negative shocks of monetary policy. The empirical results show that securitization increases credit supply endogeneity reducing the effect of monetary policy on the Italian banking system.

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    File URL: http://swrwebeco.econ.unipr.it/RePEc/pdf/I_2012-04.pdf
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    Bibliographic Info

    Paper provided by Department of Economics, Parma University (Italy) in its series Economics Department Working Papers with number 2012-EP04.

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    Length: 21 pages
    Date of creation: 2012
    Date of revision:
    Handle: RePEc:par:dipeco:2012-ep04

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    1. Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," Working Papers id:248, eSocialSciences.
    2. Brent Ambrose & Michael LaCour-Little & Anthony Sanders, 2005. "Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?," Journal of Financial Services Research, Springer, Springer, vol. 28(1), pages 113-133, October.
    3. Michael Ehrmann & Andreas Worms, 2004. "Bank Networks and Monetary Policy Transmission," Journal of the European Economic Association, MIT Press, MIT Press, vol. 2(6), pages 1148-1171, December.
    4. R Blundell & Steven Bond, . "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
    5. Stephen Bond & Frank Windmeijer, 2002. "Finite Sample Inference for GMM Estimators in Linear Panel Data Models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data C6-3, International Conferences on Panel Data.
    6. Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2004. "Does bank capital affect lending behavior?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 13(4), pages 436-457, October.
    7. G. Dionne & T. M. Harchaoui, 2002. "Banks’ Capital, Securitization and Credit Risk : An Empirical Evidence for Canada," THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 2002-33, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    8. Mariacristina Piva & Marco Vivarelli, 2005. "Innovation and Employment: Evidence from Italian Microdata," Journal of Economics, Springer, Springer, vol. 86(1), pages 65-83, October.
    9. Richard Blundell & Steve Bond & Frank Windmeijer, 2000. "Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator," IFS Working Papers, Institute for Fiscal Studies W00/12, Institute for Fiscal Studies.
    10. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 126(1), pages 25-51, May.
    11. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Monetary policy in the media," Working Paper Series, European Central Bank 0679, European Central Bank.
    12. Luísa Farinha & Carlos Robalo Marques, 2002. "The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data A4-3, International Conferences on Panel Data.
    13. Carrera, Cesar, 2010. "The Bank Lending Channel in Peru: evidence and transmission mechanism," Working Papers, Banco Central de Reserva del Perú 2010-021, Banco Central de Reserva del Perú.
    14. Benjamin J. Keys & Tanmoy Mukherjee & Amit Seru & Vikrant Vig, 2010. "Did Securitization Lead to Lax Screening? Evidence from Subprime Loans," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 125(1), pages 307-362, February.
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