An Investigation of Some Macro-Financial Linkages of Securitization
IMF Working Papers, February 1, 2009
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Bibliographic details
- Authors: Xin Long, Mangal Goswami, Andreas Jobst
- Published: February 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451871739.001
Overview and research question
- Examines whether financial innovation through securitization has altered macro-financial linkages with policy implications for monetary transmission and financial stability.
- Focus countries: United States (mature market) and South Africa (emerging market).
- Authors: Xin Long, Mangal Goswami, Andreas Jobst.
- Publication date: February 1, 2009.
- Series: Working Paper No. 2009/026, Issue: 026, Volume: 2009, Pages: 46.
- DOI: https://doi.org/10.5089/9781451871739.001
- ISBN: 9781451871739
- ISSN: 1018-5941
Key empirical findings
- Securitization activity has dampened the interest rate elasticity of real output via the balance sheet channel.
- Securitization has decreased the interest rate pass-through from policy rates to market rates.
- Securitization activity helps cushion the immediate impact of interest rate shocks on loan origination.
- The cushioning effect on loan origination may be particularly effective in emerging market (EM) countries with poorly developed capital markets that provide few alternatives to bank lending.
Policy implications and considerations
- The rise of securitization has been attributed by policy-makers to amplifying the scale of the credit crisis and affecting money markets and financial sector stability.
- Changes in monetary policy conduct and the transmission of interest rates to the real economy should account for securitization-induced alterations in:
- Interest rate elasticity of output (via balance sheet channel).
- Interest rate pass-through from policy rates to market rates.
- Policymakers in EM countries should weigh securitization's role in cushioning loan origination against potential systemic and monetary transmission complications.
Subjects and keywords covered
- Subjects: Central bank policy rate, Financial institutions, Financial services, Financial statements, Mortgages, Public financial management (PFM), Real interest rates, Securitization.
- Keywords: Africa, asset class, asset securitization, bank balance, bank balance sheet, Central bank policy rate, credit channel, financial innovation, Financial statements, interest rate, interest rate channel, interest rate elasticity, interest rate pass-through, macro-financial linkages, monetary policy, monetary transmission, mortgage market, mortgage rate, mortgage securitization, Mortgages, output gap, Real interest rates, Securitization, securitization activity, securitization market, securitization mechanism, securitization ratio, structured finance, transmission mechanism, WP
IMF Working Paper: "An Investigation of Some Macro-Financial Linkages of Securitization" (Working Paper No. 2009/026, February 1, 2009).