Working Paper: CEPR ID: DP10664
Authors: Ata Can Bertay; Di Gong; Wolf Wagner
Abstract: Using an international panel, we analyze the relationship between country-level securitization and economic activity. Our findings suggest that securitization is negatively related to various proxies of economic activity ? even prior to the crisis of 2007-2009. We explain this finding by securitization spurring consumption at the expense of investment and capital formation. Consistent with this, we find that securitization of household loans is negatively associated with economic activity, whereas business securitization displays a weak positive association with it, and that household securitization increases an economy?s consumption-investment ratio. Our results inform recent initiatives aiming at reviving securitization markets, as they indicate that the impact of securitization crucially depends on the underlying collateral.
Keywords: business securitization; economic growth; household securitization; securitization
JEL Codes: G01; G21; O16; O40
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| securitization over GDP (F65) | GDP per capita growth (O49) |
| securitization over GDP (F65) | gross capital formation (E22) |
| securitization over GDP (F65) | new firm density growth (L26) |
| household securitization over GDP (G59) | GDP per capita growth (O49) |
| business securitization over GDP (G32) | GDP per capita growth (O49) |