Francesca Battaglia, Maria Mazzuca

Securitization and Liquidity in Italian Banks. Evidence from the Recent Financial Crisis

  • Abstract

Informations and abstract

Keywords: securitization; liquidity; Italian banks; crisis; ordered probit model.

This paper investigates the impact of securitization on the liquidity of the originators. Using an ordered probit model, the empirical analysis focuses on a sample of Italian banks over the period 2000-2009. The study considers bank's liquidity (dependent variable) being influenced by several (independent) variables, including two of them aimed at capturing the securitization activity, and a set of control variables. In general, results show that securitization has a positive impact on the liquidity of the originator banks. When the analysis focuses on the pre-crisis period, the effects of securitization are more relevant.

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