Competition and Bank Risk the Role of Securitization and Bank Capital

Author/Editor:

Yener Altunbas ; David Marques-Ibanez ; Michiel van Leuvensteijn ; Tianshu Zhao

Publication Date:

July 2, 2019

Electronic Access:

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

We examine how bank competition in the run-up to the 2007–2009 crisis affects banks’ systemic risk during the crisis. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher competition at the industry level lead to higher realized systemic risk. The results suggest that the use of securitization exacerbates the effects of market power on the systemic dimension of bank risk, while capitalization partially mitigates its impact.

Series:

Working Paper No. 19/140

Subject:

English

Publication Date:

July 2, 2019

ISBN/ISSN:

9781498318501/1018-5941

Stock No:

WPIEA2019140

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

39

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