Securitization and business cycle: an agent-based perspective
| Autor: | Andrea Mazzocchetti, Andrea Teglio, Silvano Cincotti, Marco Raberto |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Consumption (economics)
Economics and Econometrics 050208 finance securitization business.industry business cycles agent-based modelling 05 social sciences Institutional investor Equity (finance) Financial system Settore SECS-P/02 - Politica Economica 0502 economics and business Risk-weighted asset Capital requirement Settore SECS-P/03 - Scienza delle Finanze Securitization Balance sheet 050207 economics business Settore SECS-P/01 - Economia Politica Mutual fund |
| Popis: | We study the effects of loans and mortgages securitisation on business cycles by using a large-scale agent-based stock-flow consistent macroeconomic model and simulator, that we enriched by including a financial vehicle corporation (FVC), that buys loans and mortgages from banks and issues ABSs and MBSs, and a mutual fund, that invests both in ABSs and MBSs. Households own the equity of the mutual fund in the form of equity shares. By means of securitisation, banks conduct regulatory capital arbitrage and reduce risk weighted assets in their balance sheet, in order to lend more loans and mortgages. Results show that different levels of securitisation propensity are able to affect credit and business cycles in different manners. On one side, securitisation increases banks lending activity, influencing positively investment and consumption. On the onther side, the increased amount of credit amplifies the negative shocks, due to higher loans write-offs probability, triggered by the boosted leding activity. Firms' bankruptcies impact the equity of banks, affecting their ability to grant new loans to consumption goods producers (CGPs), which need credit for their production activity, and mortgages to households, which are not able to purchase housing units. CGPs soon go bankrupt and households see their capital income reduced. The predominance of one effect on the other depends on the level of securitisation propensity and the time span considered. |
| Databáze: | OpenAIRE |
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