[雙語翻譯]銀行盈利能力外文翻譯--理清證券化對銀行盈利能力的影響（英文）

1、Contents lists available at ScienceDirectResearch in International Business and Financejournal homepage: www.elsevier.com/locate/ribafFull Length ArticleDisentangling the impact of securitization on bank profitabilityMoh

2、amed Bakousha,b,?, Rabab Abouarabb, Simon Wolfeaa Southampton Business School, University of Southampton, Highfield, Southampton, SO17 1BJ, UK b Faculty of Commerce, Kafrelsheikh University, Elguish St, Kafrelsheikh, 335

3、11, EgyptA R T I C L E I N F OJEL classification:G21C31Keywords:SecuritizationBank profitabilityBank riskRegulatory capitalLiquidityCost of fundingA B S T R A C TWe empirically evaluate the channels through which securit

4、ization impacts bank profitability. Tothis end, we analyze the role played by bank risk, cost of funding, liquidity and regulatory capitalin explaining the relationship between securitization and bank profitability. We f

5、ind that se-curitization activities tend to boost profitability. We also show that bank risk, cost of funding,liquidity and regulatory capital individually and jointly act as transmission channels in the se-curitization-

6、profitability relationship. In addition, we break down the securitization effects onbank profitability into direct and indirect effects and identify the contribution of each individualtransmission channel in the overall

7、impact on bank profitability. Our findings have several im-plications for banks, financial markets, and regulators.1. IntroductionSecuritization has fundamentally altered the way in which financial intermediation is orga

8、nized as it has provided banks withvarious incentives to improve efficiency and performance. The bank may aim to improve its cost of funding (Pennacchi, 1988), toimprove its risk management (Cebenoyan and Strahan, 2004),

9、 or to improve its profitability (Affinito and Tagliaferri, 2010). Al-though theory suggests that securitization benefits both issuing banks and investors, empirical evidence does not uniformly supportthese theoretical c

10、onclusions. In addition, securitization was blamed for being a primary cause of the 2008 US mortgage crisis whereit acted as the vehicle for the increase in lower-quality subprime debt.In the aftermath of the 2008 credit

11、 crisis, securitization markets became subject to intensive regulatory reforms which implied thecurbing of certain higher risk activities. These reforms led to significant impairment in securitization markets as shown by

12、 the largedecline in securitization issuance in both the US and Europe (Association for Financial Markets in Europe (AFME), 2017). Thisimpairment has contributed to the decline in bank’s revenues from capital market-rela

13、ted activities –including securitization–compared to commercial banking activities. It has also contributed to keeping the post-crisis bank profitability subdued (Bank forInternational Settlements (BIS), 2018). Neverthel

14、ess, there have been several attempts to revive securitization markets to boostbanking efficiency and risk sharing in capital markets (Mersch, 2017). These attempts require a deep revision of the securitizationeffects on

15、 both banks and financial markets to avoid any unintended consequences for bank performance and stability.In this paper, we empirically evaluate the impact of securitization on bank profitability. Our main contribution i

16、s to analyze thechannels through which securitization impacts bank profitability. In so doing, we argue that the impact of securitization on bankprofitability is transmitted through four main channels, namely bank risk,

17、cost of funding, liquidity and regulatory capital. That is,securitization affects these four variables which in turn affect bank profitability. To test this argument, we break the relationshipbetween securitization and b

18、ank profitability down into four individual intermediate relationships, then test them empirically. Thishttps://doi.org/10.1016/j.ribaf.2018.09.013Received 27 April 2018; Received in revised form 21 September 2018; Accep

19、ted 23 September 2018? Corresponding author.E-mail address: m.bakoush@soton.ac.uk (M. Bakoush).Research in International Business and Finance xxx (xxxx) xxx–xxx0275-5319/ © 2018 Elsevier B.V. All rights reserved.Ple

20、ase cite this article as: Bakoush, M., Research in International Business and Finance, https://doi.org/10.1016/j.ribaf.2018.09.013Furthermore, in the run up to the 2008 credit crisis, more sophisticated forms of securit

21、ization were developed such as CollateralizedMortgage Obligations (CMO). Securitization activities played a pivotal role for the housing market in the run up to the credit crisis of2008 as the Asset Backed Securities (AB

22、S) and covered bonds provided between 20 and 60 per cent of the funding for new residentialmortgage loans originated in mature economies (International Monetary Fund (IMF), 2009).Historically, the MBS activities have den

23、ominated the securitization market. The total volume of outstanding MBS in the USincreased from $347 million in 1970 to nearly $8.92 trillion at the end of 2016, while the ABS market moved from $1.2 billion in1985 to nea

24、rly $1.33 trillion at the end of 2016 (Securities Industry and Financial Markets Association (SIFMA), 2016). Also, it isworth noting that the outstanding securitization amounts reached a peak of $11 trillion at the end o

25、f 2007, exactly before the strike ofthe credit crisis of 2008. In addition, the growth in securitization activities was rapid in the run up to the global financial crisis, butcontracted sharply since the strike of the fi

26、nancial crisis in 2008 as shown by the large declines in the securitizations issuances. Forexample, Securitization issuance, including agency and non-agency mortgage-backed securities (MBS) and asset-backed securities(AB

27、S), totalled $2.2 trillion in 2016 which is equivalent to around two-thirds of the pre-crisis annual rate, and mainly driven by theagency MBS (Securities Industry and Financial Markets Association (SIFMA), 2016).3. Liter

28、ature review and hypotheses developmentThis paper is closely related to the strand of literature that studies the impact of securitization on bank profitability. In theory,securitization enables banks to convert illiquid

29、 assets quickly into cash and to remove liabilities associated with these assets fromtheir balance sheets. The cash proceeds from securitization can be used in different ways. For example, it can be used to replaceexisti

30、ng funding sources such as deposits, consequently, reducing interest expense accrued for these deposits, and leading to higherreported earnings (Ibanez and Scheicher, 2012). Additionally, banks can use these proceeds to

31、grant new loans that can be securitizedlater, thus repeating the same process and creating an asset-securitization pipeline structure (Wolfe, 2000). This structure allowsbanks to receive fee income for servicing the secu

32、ritized loans, and to improve their return on equity (ROE) effectively because thenew income can be supported by a smaller equity base. Moreover, proceeds from securitizations can be reinvested in loans directed tonew pr

33、ofitable projects, thus aligning the average rate of the bank’s loan portfolio with the market rate and increasing the bank’sincome from interest (Thomas, 1999).This paper also contributes to the empirical literature on

34、the effect of securitization on bank profitability. For example,Greenbaum and Thakor (1987) use an asymmetric information model which suggests that securitization allows banks to specialize inactivities of comparative ad

35、vantage while shifting the activities of comparative disadvantage. Moreover, Boot and Thakor (1993)show that in the presence of asymmetric information, securitization of assets enables the issuer to increase its expected

36、 revenue.Hansel and Bannier (2008) study the drivers of securitization in the US banking system and show that banks use loan securitization toaccess capital-market based businesses, thus, engage in riskier activities whi

37、ch provide them with fee income and improve theirexpected returns. Moreover, Jiangli and Pritsker (2008) use data on the US bank holding companies (BHC) to explore what wouldhappen had the mortgage securitizers taken the

38、ir securitized mortgages back on their balance sheet. Their findings suggest a verypositive impact on bank profitability for mortgage securitization, but not for non-mortgage securitization. Furthermore, Casu et al.(2013

39、) apply a propensity score matching approach to investigate the US banks performance. They compare between securitizers andnon-securitizers based on different performance indicators. They show that profitability is signi

40、ficantly and positively affected bysecuritization.The mechanism of securitization activities implies that it has implications for bank performance. We argue that securitizationaffects a set of bank-specific intermediate

41、variables which, in turn, affect bank profitability. These factors include bank risk, cost offunding, liquidity and regulatory capital. In the subsections below, we develop the necessary hypotheses to test this argument.

42、3.1. Bank risk channelSecuritization’s effect on bank risk is twofold (Instefjord, 2005). On the one hand, it may reduce bank risk by shifting credit risk tothe market and improving risk sharing opportunities. In support

43、 of this view, Cebenoyan and Strahan (2004) argue that aggressiveuse of securitization encourages banks to take more risk; however, the new risk is still outweighed by the credit risk initiallytransferred to investors. J

44、iangli and Pritsker (2008) show that securitization reduces insolvency risk. They provide evidence that,during the 2007–2009 credit crisis, mortgage credit and securitization markets disorders were due to excess supply i

45、n those markets.Affinito and Tagliaferri (2010) show that banks tend to keep high-quality loans while securitizing their worst loans. Similarly, Mianand Sufi (2009) show that in the run up to the credit crisis, US banks

46、managed to securitize their worst mortgage loans, thus reducingcredit risk.On the other hand, securitization may increase bank risk due to the increase in risk taking and recourse or other seller-providedcredit enhanceme

47、nts (Higgins and Mason, 2004). Ambrose et al. (2005) suggest a positive effect of securitization on bank credit riskdue to retaining riskier loans while selling safer ones in response to regulatory requirements. Calomiri

48、s and Mason (2004) and Casuet al. (2011) show that high amounts of outstanding securitizations reduced US banks risk appetite prior to the financial crisis. Theyattribute this to the recourse hypothesis implying an alrea

49、dy high credit risk. Moreover, Bedendo and Bruno (2012) provide evidencethat US banks intensively used securitization to obtain funds, in times of frozen liquidity markets during the financial crises, at theexpense of hi

50、gher overall bank risk. Similar evidence is provided for European banks in Uhde and Michalak (2010) and for Italianbanks in Battaglia and Gallo (2013).Bank risk is by far a major factor that affects profitability. The pr