Market Power and Bank Systemic Risk: Role of Securitization and Bank Capital

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  • Yener Altunbas
  • David Marques-Ibanez
    European Central Bank
  • Michiel van Leuvensteijn
    Dutch Ministry of Social Affairs and Employment
  • Tianshu Zhao
    Birmingham Business School
We examine how market power in the run-up to the 2007-2009 crisis affected banks’ systemic risk during the crisis, and whether this effect was influenced by two key factors: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that more market power prior to the crisis is connected to larger levels of realized systemic risk during the crisis. The use of securitization exacerbated the effect of market power on systemic risk, while capitalization partially mitigated it.

Keywords

  • market power, bank risk, securitization, capitalization
Original languageEnglish
Article number106451
JournalJournal of Banking and Finance
Volume138
Early online date1 Mar 2022
DOIs
Publication statusPublished - May 2022

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