Aysan, Ahmet Faruk and Rengifo, Erick William and Ozsoz, Emre (2012): Securitization in Turkish banking system.
Download (199kB) | Preview
By using data from 8 depository institutions in Turkey we evaluate the drivers of securitization between 2004 and 2009. Our analysis shows that previous period securitization as well as bank equity, level of profits and asset size are important factors in a bank’s decision to securitize its loan portfolio. Banks’ on-balance sheet liquidity on the other hand is not a significant factor. We also use a binary probit model and predict with good certainty the timing of a bank’s securitization in capital markets. Again, bank size, profitability and equity are also explanatory variables in making these accurate predictions.
|Item Type:||MPRA Paper|
|Original Title:||Securitization in Turkish banking system|
|Keywords:||securitization; Turkey; banking|
|Subjects:||G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Emre Ozsoz|
|Date Deposited:||21. Feb 2012 21:45|
|Last Modified:||12. Feb 2013 19:03|
Affinito, M., and E. Tagliaferri (2010): “Why do (or did?) banks securitize their loans? Evidence from Italy,” Temi di discussione (Economic working papers) 741, Bank of Italy, Economic Research Department.
Arellano, M., and S. Bond (1991): “Some Tests of Specification for Panel Data:Monte Carlo Evidence and an Application to Employment Equations,” Review of Economic Studies, 58(2), 277–97.
Berger, A. N., R. J. Herring, and G. P. Szego (1995): “The role of capital in financial institutions,” Journal of Banking & Finance, 19(3-4), 393–430.
Dell'Ariccia, G., D. Igan, and L. Laeven (2008): “The U.S. subprime mortgage crisis: a credit boon gone bad?,” Proceedings, (May), 201–204.
DeMarzo, P. M. (2005): “The Pooling and Tranching of Securities: A Model of Informed Intermediation,” The Review of Financial Studies, 18(1), pp. 1–35.
Jobst, A. A. (2010): “Sovereign Securitization in Emerging Markets,” Journal of Structured Finance, Vol. 12, No. 3, 2006.
Jones, D. (2000): “Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues,” Journal of Banking & Finance, 24(1-2), 35–58.
Loutskina, E. (2010): “The Role of Securitization in Bank Liquidity and Funding Management,” Journal of Financial Economics (JFE), Forthcoming.
Parlour, C. A., and G. Plantin (2008): “Loan Sales and Relationship Banking,”The Journal of Finance, 3(3), 1291–1314.