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    Securitisation and asset prices

    Aksoy, Yunus and Basso, Henrique (2015) Securitisation and asset prices. Working Paper. Banco de Espana.

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    Abstract

    We investigate the link between securitization and asset prices and show that increases in the growth rate of the volume of ABS issuance lead to a sizable decline in bond and equity premia. Furthermore, we show that in a model where banks select their portfolio of assets and create synthetic securities, the compensation for undertaking risk decreases as securitization increases. The pooling and tranching of credit assets relaxes both the funding and the risk constraints banks face allowing them to increase balance sheet holdings. Accordingly, the drop in risk premium may be unrelated to a decline in actual risk.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: Banco de Espana Working Papers No: 1526. ISSN: 1579-8666
    Keyword(s) / Subject(s): pooling and tranching, equity, government bonds, bank portfolio, risk premia
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Yunus Aksoy
    Date Deposited: 25 May 2016 14:31
    Last Modified: 06 Dec 2016 14:49
    URI: http://eprints.bbk.ac.uk/id/eprint/15315

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