Securitisation and the Bank Lending Channel

39 Pages Posted: 3 Mar 2008

See all articles by Leonardo Gambacorta

Leonardo Gambacorta

Bank for International Settlements (BIS); Centre for Economic Policy Research (CEPR)

Yener Altunbas

University of Wales, Bangor

David Marques-Ibanez

European Central Bank (ECB)

Date Written: November 2007

Abstract

The dramatic increase in securitisation activity has modified the functioning of credit markets by reducing the fundamental role of liquidity transformation performed by financial intermediaries. We claim that the changing role of banks from originate and hold to originate, repackage and sell has also modified banks' abilities to grant credit and the effectiveness of the bank lending channel of monetary policy. Using a large sample of European banks, we find that the use of securitisation appears to shelter banks' loan supply from the effects of monetary policy. Securitisation activity has also strengthened the capacity of banks to supply new loans but this capacity depends upon business cycle conditions as well as upon banks' risk positions. In this respect the recent experience of the sub-prime mortgage loans crisis is very instructive.

Keywords: Asset securitisation, bank lending channel, monetary policy

JEL Classification: E44, E55

Suggested Citation

Gambacorta, Leonardo and Altunbas, Yener and Marques-Ibanez, David, Securitisation and the Bank Lending Channel (November 2007). Bank of Italy Temi di Discussione (Working Paper) No. 653; ECB Working Paper No. 838. Available at SSRN: https://ssrn.com/abstract=1032833 or http://dx.doi.org/10.2139/ssrn.1032833

Leonardo Gambacorta (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Yener Altunbas

University of Wales, Bangor ( email )

Bangor, Gwynedd, Wales LL57 2DG
United Kingdom

David Marques-Ibanez

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
49 6913 44 6460 (Phone)
49 6913 44 6460 (Fax)

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