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Determinants of loan securitization in European banking

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  • Farruggio, Christian
  • Uhde, André

Abstract

Analyzing 75 securitizing and non-securitizing stock-listed banks in the EU-13 plus Switzerland over the period from 1997 to 2010, this paper provides empirical evidence that loan securitization in Europe is a composite decision based on bank-specific as well as market- and country-specific determinants. In addition, we find that these determinants remarkably change when separately investigating securitization transactions during the pre-crisis and crisis period. Moreover, results from several subsample regressions reveal that determinants of loan securitizations in Europe depend on the transaction type, the underlying asset portfolio and the regulatory and institutional environment under which banks operate.

Suggested Citation

  • Farruggio, Christian & Uhde, André, 2015. "Determinants of loan securitization in European banking," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 12-27.
  • Handle: RePEc:eee:jbfina:v:56:y:2015:i:c:p:12-27
    DOI: 10.1016/j.jbankfin.2015.01.015
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    1. repec:eee:jimfin:v:81:y:2018:i:c:p:76-87 is not listed on IDEAS
    2. repec:taf:jsustf:v:8:y:2018:i:1:p:1-25 is not listed on IDEAS
    3. repec:eee:riibaf:v:41:y:2017:i:c:p:90-104 is not listed on IDEAS
    4. Nils Boesel & C.J.M. Kool & S. Lugo, 2016. "Do European Banks with a Covered Bond Program still issue Asset-Backed Securities for funding?," Working Papers 16-03, Utrecht School of Economics.

    More about this item

    Keywords

    Securitization; Determinants; European banking;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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