Market Power and Bank Systemic Risk: Role of Securitization and Bank Capital
Research output: Contribution to journal › Article › peer-review
Electronic versions
Documents
- Altunbas et al-2022
Accepted author manuscript, 686 KB, PDF document
Licence: CC BY-NC-ND Show licence
DOI
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 language | English |
|---|---|
| Article number | 106451 |
| Journal | Journal of Banking and Finance |
| Volume | 138 |
| Early online date | 1 Mar 2022 |
| DOIs | |
| Publication status | Published - May 2022 |
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