Market Power and Bank Systemic Risk: Role of Securitization and Bank Capital
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In: Journal of Banking and Finance, Vol. 138, 106451, 05.2022.
Research output: Contribution to journal › Article › peer-review
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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 - 10.1016/j.jbankfin.2022.106451
DO - 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 -