TY - JOUR

T1 - Market Power and Bank Systemic Risk: Role of Securitization and Bank Capital

AU - Altunbas, Yener

AU - Marques-Ibanez, David

AU - van Leuvensteijn, Michiel

AU - Zhao, Tianshu

PY - 2022/5

Y1 - 2022/5

N2 - 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.

AB - 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.

KW - market power

KW - bank risk

KW - securitization

KW - capitalization

U2 - https://doi.org/10.1016/j.jbankfin.2022.106451

DO - https://doi.org/10.1016/j.jbankfin.2022.106451

M3 - Article

VL - 138

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

M1 - 106451

ER -