Advanced Search
MyIDEAS: Login to save this paper or follow this series

Off-balance sheet credit exposure and asset securitisation: what impact on bank credit supply?

Contents:

Author Info

  • Scopelliti, Alessandro Diego

Abstract

The present paper analyzes two important aspects in the amplification process of the recent financial crisis to the real economy, that is the securitisation of financial assets (and in particular of loans and mortgages) and the growth of bank off-balance sheet activities, for instance through the development of Special Purpose Vehicles, with specific attention to the US context. In particular, this work aims to examine whether and how the increase in off-balance sheet credit exposure to credit derivatives, mainly due to loan securitisation, may have affected the growth rate of loans over the past few years, also by distinguishing different categories of loans. For this purpose, we present the results of a panel fixed-effect estimation and of a panel VAR analysis, using quarterly data from the balance sheets of 39 US commercial banks and for a period between 1998 and 2008. The results show that a rise in off-balance credit exposure may have – after some time lags - a negative impact on the growth rate of bank lending, due to the potential and actual losses related to the off-balance sheet activities. However, the effects on the single categories of loans depend on their maturity: the negative effect due to an increase in off-balance sheet exposure is stronger for long-term loans, like mortgages or real estate loans, while some positive impact on bank lending may arise for short-term loans, such as commercial and industrial loans, because of the liquidity/maturity transformation function associated with securitisation activities. The results of the paper regarding the impact of an increase in off-balance sheet exposures on bank deleveraging process may have some relevant policy implications for the design of financial regulation, particularly in the area of shadow banking, supporting the current policy initiatives for the revision of risk weights in securitisation exposures as well as for the implementation of consolidation regimes concerning bank off-balance sheet activities.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/43890/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 43890.

as in new window
Length:
Date of creation: 18 Jan 2013
Date of revision:
Handle: RePEc:pra:mprapa:43890

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Bank Off-balance Sheet Activities; Securitisation; Shadow Banking; Bank Credit Supply; Panel VAR;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Mora, Nada & Logan, Andrew, 2010. "Shocks to bank capital: evidence from UK banks at home and away," Bank of England working papers 387, Bank of England.
  2. Aiyar, Shekhar, 2011. "How did the crisis in international funding markets affect bank lending? Balance sheet evidence from the United Kingdom," Bank of England working papers 424, Bank of England.
  3. Mody, Ashoka & Taylor, Mark P., 2004. "Financial predictors of real activity and the financial accelerator," Economics Letters, Elsevier, Elsevier, vol. 82(2), pages 167-172, February.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Christian Calmès & Raymond Théoret & François-Éric Racicot, 2014. "La titrisation aux États-Unis et au Canada," RePAd Working Paper Series, Département des sciences administratives, UQO UQO-DSA-wp032014, Département des sciences administratives, UQO.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43890. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.