Capital flows, firm heterogeneity and asset securitization [Elektronische Ressource] : the role of finance / vorgelegt von Ivan Andreev Andreev

Ivan Andreev

Informations

• Publié par: ludwig-maximilians-universitat_munchen
• Publié le: 01 janvier 2010
• Nombre de lectures: 43
• Langue: English
• Poids de l'ouvrage: 1 Mo

Extrait

Capital Flows, Firm Heterogeneity
and Asset Securitization:
The Role of Finance
Inaugural-Dissertation
zur Erlangung des Grades
Doctor oeconomiae publicae (Dr. oec. publ.)
an der Volkswirtschaftlichen Fakult at
der Ludwig-Maximilians-Universit at
Munc hen
2010
vorgelegt von
Ivan Andreev Andreev
Referent: Professor Dr. Dalia Marin
Korreferent: Dr. Gerhard Illing
Promotionsabschlussberatung: 17. November 2010Acknowledgments
I wrote this thesis during my doctoral study at the Munich Graduate School
of Economics, University of Munich. Several people directly or indirectly
contributed to the completion of this thesis. Foremost, I am greatly indebted
to my supervisor Prof. Dalia Marin for her guidance. During the last 4 years
she continuously supported my research and gave me invaluable comments. I
am grateful to Prof. Gerhard Illing who accepted to be my second examiner.
I also thank Prof. Carsten Eckel who kindly agreed to be my third
Many thanks go to my colleagues at the Chair of International Economics,
Peter Beerman, Eliot Culp, Francesca Fabbri, Thorsten Hansen, Alexander
Raubold, Linda Rousova, Michael Seitz and Alexander Tarasov. Their valu-
able comments and support during my work at the chair contributed much to
this thesis. Further, I have bene ted from helpful comments and suggestions
of all the participants of the International Economics Workshop and the Re-
search Seminar at the University of Munich. I thank Christoph Breig and
the Chair for Finance and Banking at the University of Munich for kindly
providing me with access to the Worldscope database. I further appreciate
the IT support of Dirk R osing and Anton Vasilev. In addition, nancial
support from the Deutsche Forschungsgemeinschaft through SFB/TR15 is
gratefully acknowledged.
I thank my parents and my brother who waited patiently this thesis to be
nished. I am deeply grateful to my co-author and wife Desislava Andreeva
for encouraging me to keep the ball rolling.
Finally, I dedicate this thesis to my dear grandfather Ivan Iliev.Contents
Contents i
List of Figures iii
List of Tables v
List of Abbreviations viii
1 Introduction and Summary 1
Bibliography 7
2 Financial Development and the Composition and Direction
of Capital Flows: Evidence from Panel Data 8
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2 Related theoretical and empirical literature . . . . . . . . . . . 14
2.3 Data and summary statistics . . . . . . . . . . . . . . . . . . . 21
2.4 Financial development and capital ows . . . . . . . . . . . . 32
2.4.1 Empirical model and estimation strategy . . . . . . . . 32
2.4.2 Baseline results . . . . . . . . . . . . . . . . . . . . . . 39
2.4.3 Robustness . . . . . . . . . . . . . . . . . . . . . . . . 44
2.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
Bibliography 54
A Appendix to Chapter 2 . . . . . . . . . . . . . . . . . . . . . . 61
i3 Credit Constraints in Europe: Firm Productivity and Export
Status 66
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.2 Related literature and theoretical predictions of heterogeneous
rms models with credit constraints . . . . . . . . . . . . . . . 71
3.3 Data and summary statistics . . . . . . . . . . . . . . . . . . . 76
3.3.1 Firm-level data . . . . . . . . . . . . . . . . . . . . . . 76
3.3.2 Industry-level data . . . . . . . . . . . . . . . . . . . . 79
3.3.3 Country-level data . . . . . . . . . . . . . . . . . . . . 86
3.4 TFP estimation . . . . . . . . . . . . . . . . . . . . . . . . . . 88
3.5 TFP and nancial constraints . . . . . . . . . . . . . . . . . . 95
3.5.1 Baseline results . . . . . . . . . . . . . . . . . . . . . . 95
3.5.2 Robustness . . . . . . . . . . . . . . . . . . . . . . . . 106
3.6 Export status and nancial constraints . . . . . . . . . . . . . 114
3.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
Bibliography 131
B Appendix to Chapter 3 . . . . . . . . . . . . . . . . . . . . . . 141
4 The Empirics of Securitization by Banks: Determinants and
Incentive E ects 167
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
4.2 Related literature . . . . . . . . . . . . . . . . . . . . . . . . . 172
4.3 Data and summary statistics . . . . . . . . . . . . . . . . . . . 176
4.4 Determinants of securitization activity . . . . . . . . . . . . . 184
4.5 The extensive margin of securitization . . . . . . . . . . . . . 189
4.6 The intensive of securitization . . . . . . . . . . . . . . 199
4.7 Incentive e ects of securitization . . . . . . . . . . . . . . . . . 210
4.8 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222
Bibliography 223
C Appendix to Chapter 4 . . . . . . . . . . . . . . . . . . . . . . 228
iiList of Figures
1.1 Global patterns of nancial development . . . . . . . . . . . . 2
2.1 Evolution of net foreign assets for advanced economies . . . . 22
2.2 Ev of net foreign assets for emerging . . . . . 24
2.3 Evolution of net foreign assets for developing economies . . . . 25
2.4 Comparison of the quality of institutions across country groups 31
2.5 Trade integration over the period 1984-2004 . . . . . . . . . . 63
2.6 Financial integration over the period . . . . . . . . 64
3.1 TFP and asset tangibility by US SIC industry in Bulgaria
compared with the United Kingdom . . . . . . . . . . . . . . . 97
3.2 TFP and nancial dependence by US SIC industry in Bulgaria
compared with the United Kingdom . . . . . . . . . . . . . . . 98
3.3 TFP and asset tangibility by US SIC industry in Bulgaria
compared with the United Kingdom . . . . . . . . . . . . . . . 99
3.4 TFP and nancial dependence by US SIC industry in Bulgaria
compared with the United Kingdom . . . . . . . . . . . . . . . 100
3.5 Size distribution of exporters vs. non-exporters . . . . . . . . 117
3.6 Productivity distribution of exporters vs. non-exporters . . . . 118
4.1 Evolution of the amount outstanding of securitized assets in
the US during the period 1970-2007 . . . . . . . . . . . . . . . 169
4.2 Number of banks reporting securitization activity during the
quarters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
4.3 Bank size . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
4.4 Credit risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180
4.5 Bank pro tability . . . . . . . . . . . . . . . . . . . . . . . . . 181
4.6 Regulatory capital ratios . . . . . . . . . . . . . . . . . . . . . 182
iii4.7 Securitization exposure . . . . . . . . . . . . . . . . . . . . . . 183
4.8 Delinquencies on securitized and retained home equity lines . . 211
4.9 Seller-provided credit enhancements . . . . . . . . . . . . . . . 235
ivList of Tables
2.1 Cross-country di erences in nancial development . . . . . . . 27
2.2 FDI out ows and nancial development: basic sample . . . . . 40
2.3 Debt out ows and nancial development: basic . . . . 41
2.4 FDI out ows and nancial development: sample robustness . . 46
2.5 Debt out ows and nancial development: robustness . 47
2.6 Capital out ows and institutional quality during the period
1996-2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.7 Country description . . . . . . . . . . . . . . . . . . . . . . . . 61
2.8 Pairwise correlations of explanatory variables . . . . . . . . . . 65
2.9 Summary statistics . . . . . . . . . . . . . . . . . . . . . . . . 65
3.1 Industry coverage in the sample . . . . . . . . . . . . . . . . . 78
3.2 Firm- vs. industry-level asset tangibility measures . . . . . . . 83
3.3 Productivity and nancial constraints . . . . . . . . . . . . . . 102
3.4 Proy and constraints: robustness . . . . . . . 107
3.5 Productivity and nancial constraints: country sample robust-
ness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
3.6 Productivity and nancial constraints in manufacturing and
construction industries . . . . . . . . . . . . . . . . . . . . . . 111
3.7 Productivity and nancial constraints in services industries . . 113
3.8 Exporters vs. non-exporters mean comparison . . . . . . . . . 116
3.9 Export probability comparison across sectors and countries . . 119
3.10 Export participation and nancial constraints . . . . . . . . . 123
3.11 Export andts: industry ro-
bustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
3.12 Countries in the sample . . . . . . . . . . . . . . . . . . . . . 141
3.13 Country characteristics . . . . . . . . . . . . . . . . . . . . . . 142
v3.14 US SIC industry description . . . . . . . . . . . . . . . . . . . 143
3.15 Industry measures . . . . . . . . . . . . . . . . . . . . . . . . . 147
3.16 Pairwise correlations of industry measures . . . . . . . . . . . 152
3.17 Estimated coe cients by and estimation method . . . 152
3.18 Pairwise correlations of rms’ TFP measures . . . . . . . . . . 157
3.19 Descriptive statistics . . . . . . . . . . . . . . . . . . . . . . . 158
3.20 Pairwise correlations of variables . . . . . . . . . . . . . . . . 159
3.21 Productivity (OLS) and nancial constraints . . . . . . . . . . 160
3.22 Productivity (FE) and nancialts . . . . . . . . . . . 161
3.23 Proy (OLS) and constraints: robustness . . . 162
3.24 Productivity (FE) and nancialts: