Publications
Dwyer, Gerald P., Gilevska, B., Nieto, Maria, J. and Samartín, M. 2023. The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets. Journal of International Financial Markets, Institutions and Money. Vol(87), 101800.
https://doi.org/10.1016/j.intfin.2023.101800.
(https://www.sciencedirect.com/science/article/pii/S1042443123000689).
Working Papers
On-balance sheet securitized assets and banking risks: Implications for the quality of liquid assets
(with Rebel A. Cole)
We study securitized assets in their role of liquid assets on banks’ balance sheets . We focus on the effects of two distinct categories of securitized assets: residential mortgage-back securities (rMBS) and other mortgage-back securities (oMBS). The rMBS consists of a large number of small home mortgage loans which are backed by the residential houses as collateral, such that the default risk associated with them is quite low. On the other hand, oMBS is a category of securitized assets backed by real estate loans other than residential mortgages. Hence, both the rMBS and oMBS represent securitized assets by structure but they differ in the underlying asset used to backed them up. In order to examine if the difference in the underlying assets plays role in developing bank’s interconnectedness exposure we measure them as a two different categories of securitized assets. We employ two different methodologies to examine the effects of securitized assets on banking risks: regulatory discontinuity analysis and a quantile regression. Our findings classify the other MBS as bank’s interconnectedness generators. They develop bank’s interconnectedness with the system exposing banks to a new source of risk rather than only affecting bank’s total risk. Overall, the findings in this paper indicate how the changes in banks’ balance sheets characteristics contribute to generate risks that jeopardize the banking sector and, overall, the financial system.
We examine the aggregate securitization levels on U.S. banks’ balance sheets and its spillovers to systematic and idiosyncratic risks. We empirically show that securitization leads to changes in the composition of risk in banks’ asset portfolios: it diversifies idiosyncratic risk at the expense of higher systematic risk. For this purpose we use the aggregate securitization levels for an individual bank reported on banks’ balance sheets in schedule HC-S of the consolidated financial statements for bank holding companies, FR Y-9C. Furthermore, we distinguish between the effects of the on-balance sheet securitization levels and off-balance sheet securitization levels and we find that both contribute to increasing banks' systematic risk at the expense of its idiosyncratic risk.