Securitization and Economic Activity: The Credit Composition Channel

35 Pages Posted: 22 Jun 2015

See all articles by Ata Can Bertay

Ata Can Bertay

Sabancı University; Tilburg University - European Banking Center

Di Gong

University of International Business and Economics (UIBE) - School of Banking and Finance

Wolf Wagner

Erasmus University Rotterdam (EUR)

Date Written: June 2015

Abstract

Using an international panel, we analyze the relationship between country-level securitization and economic activity. Our findings suggest that securitization is negatively related to various proxies of economic activity - even prior to the crisis of 2007-2009. We explain this finding by securitization spurring consumption at the expense of investment and capital formation. Consistent with this, we find that securitization of household loans is negatively associated with economic activity, whereas business securitization displays a weak positive association with it, and that household securitization increases an economy's consumption-investment ratio. Our results inform recent initiatives aiming at reviving securitization markets, as they indicate that the impact of securitization crucially depends on the underlying collateral.

Keywords: business securitization, economic growth, household securitization, securitization

JEL Classification: G01, G21, O16, O40

Suggested Citation

Bertay, Ata Can and Gong, Di and Wagner, Wolf, Securitization and Economic Activity: The Credit Composition Channel (June 2015). Available at SSRN: https://ssrn.com/abstract=2621548

Ata Can Bertay (Contact Author)

Sabancı University ( email )

Orhanli
Istanbul, Tuzla 34956
Turkey

HOME PAGE: http://www.atabertay.com

Tilburg University - European Banking Center ( email )

PO Box 90153
Tilburg, 5000 LE
Netherlands

Di Gong

University of International Business and Economics (UIBE) - School of Banking and Finance ( email )

No.10, Huixindong Street
Chaoyang District
Beijing, 100029
China

Wolf Wagner

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
0
Abstract Views
795
PlumX Metrics