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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Yunus Aksoy |
| Date Deposited: | 25 May 2016 14:31 |
| Last Modified: | 02 Aug 2023 17:24 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15315 |
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