TY - JOUR
T1 - Market Power and Bank Systemic Risk: Role of Securitization and Bank Capital
AU - Yener Altunbas, Yener
AU - Marques-Ibanez, David
AU - van Leuvensteijn, Michiel
AU - Zhao, Tianshu
PY - 2022
Y1 - 2022
N2 - We examine how banks’ 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 bank characteristics: 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 exacerbates the effect of market power on systemic risk, while capitalization partially mitigates it.
AB - We examine how banks’ 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 bank characteristics: 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 exacerbates the effect of market power on systemic risk, while capitalization partially mitigates it.
KW - securitization: competition; market power; bank risk
U2 - https://doi.org/10.1016/j.jbankfin.2022.106451
DO - https://doi.org/10.1016/j.jbankfin.2022.106451
M3 - Article
JO - Journal of Banking & Finance
JF - Journal of Banking & Finance
SN - 0378-4266
ER -