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Market power and bank systemic risk: Role of securitization and bank capital

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  • Altunbas, Yener
  • Marques-Ibanez, David
  • van Leuvensteijn, Michiel
  • Zhao, Tianshu

Abstract

We examine how market power in the run-up to the 2007–2009 crisis affected banks’ systemic risk during the crisis, and whether this effect was influenced by two key factors: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that more market power prior to the crisis is connected to larger levels of realized systemic risk during the crisis. The use of securitization exacerbated the effect of market power on systemic risk, while capitalization partially mitigated it.

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  • Altunbas, Yener & Marques-Ibanez, David & van Leuvensteijn, Michiel & Zhao, Tianshu, 2022. "Market power and bank systemic risk: Role of securitization and bank capital," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Handle: RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000516
    DOI: 10.1016/j.jbankfin.2022.106451
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    More about this item

    Keywords

    Market power; Bank risk; Securitization; Capitalization;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis

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