Securitization and dividend payout by banks [Elektronische Ressource] / vorgelegt von Desislava Chavdarova Andreeva

Desislava Andreeva

Informations

• Publié par: ludwig-maximilians-universitat_munchen
• Publié le: 01 janvier 2010
• Nombre de lectures: 15
• Langue: English
• Poids de l'ouvrage: 1 Mo

Extrait

Securitization and Dividend Payout by
Banks
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
Desislava Chavdarova Andreeva
Referent: Professor Dr. Gerhard Illing
Korreferent: Dr. Monika Schnitzer
Promotionsabschlussberatung: 17. November 2010Acknowledgments
The support of many - supervisors, colleagues, friends, and family - helped
me to successfully complete this thesis.
First and foremost, I would like to thank my supervisor Prof. Gerhard Illing
for his invaluable advice and continuous encouragement whilst writing the
thesis. I have learnt a lot from him, not only in lectures and seminars but
also in the numerous enlightening discussions about economics and economic
policy with him and colleagues at the Seminar of Macroeconomics.
Furthermore, I am grateful to Prof. Monika Schnitzer who kindly agreed to
act as my second examiner. I was happy to win Prof. Sven Rady to be my
third examiner.
My co-authors Ivan Andreev and Katri Mikkonen I thank for the inspiring
and productive cooperation. Special thanks go also to my dear current and
former colleagues at the Seminar for Macroeconomics Julia Bersch, Agnes
Bierprigl, Josef Forster, Moritz Hahn, Florian Kajuth, Stephan Sauer, Se-
bastian Watzka, Sebastian Jauch, Sebastian Missio and Michael Zabel, as
well as to all former student assistants.
I am grateful to my parents and brother for distracting me from research and
teaching every time I was back in Bulgaria and to Ivan for having been by
my side the last 10 years.
Desislava Chavdarova AndreevaContents
Contents i
List of Figures iii
List of Tables iv
1 Introduction 1
Bibliography 5
2 Securitization, incentives, and bank lending: A principal-
agent model 7
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.2 The basic securitization process . . . . . . . . . . . . . . . . . 10
2.3 Literature review . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.4 Related regulation and accounting rules . . . . . . . . . . . . . 14
2.5 A principal-agent model of securitization . . . . . . . . . . . . 17
2.6 The securitization contract . . . . . . . . . . . . . . . . . . . . 20
2.7 Benchmark: no securitization . . . . . . . . . . . . . . . . . . 23
2.8 Securitization . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.8.1 The rst best case . . . . . . . . . . . . . . . . . . . . 25
2.8.2 The second best case . . . . . . . . . . . . . . . . . . . 28
2.9 Welfare implications . . . . . . . . . . . . . . . . . . . . . . . 32
2.10 Discussion of results and some policy implications . . . . . . . 35
2.11 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
Bibliography 39
A Appendix to chapter 2 . . . . . . . . . . . . . . . . . . . . . . 43
iA.1 Proof of the uniqueness of the equilibrium in Section 2.7 43
A.2 Derivation of the optimality conditions for the observ-
able e ort choice . . . . . . . . . . . . . . . . . . . . . 43
A.3 The second best case . . . . . . . . . . . . . . . . . . . 46
A.4 Proof of Proposition 2 . . . . . . . . . . . . . . . . . . 50
3 The empirics of securitization by banks: Determinants and
incentive e ects 52
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
3.2 Related literature . . . . . . . . . . . . . . . . . . . . . . . . . 56
3.3 Data and summary statistics . . . . . . . . . . . . . . . . . . . 60
3.4 Determinants of securitization activity . . . . . . . . . . . . . 67
3.5 The extensive margin of securitization . . . . . . . . . . . . . 73
3.6 The intensive of securitization . . . . . . . . . . . . . . 81
3.7 The incentive e ects of securitization . . . . . . . . . . . . . . 91
3.8 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
Bibliography 104
B Appendix to chapter 3 . . . . . . . . . . . . . . . . . . . . . . 109
4 Bank dividends in times of crisis 119
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
4.2 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
4.3 Current regulatory debate . . . . . . . . . . . . . . . . . . . . 123
4.4 Related literature . . . . . . . . . . . . . . . . . . . . . . . . . 127
4.5 Data description and summary statistics . . . . . . . . . . . . 130
4.6 Empirical model . . . . . . . . . . . . . . . . . . . . . . . . . . 133
4.7 Dividends in the United States . . . . . . . . . . . . . . . . . 143
4.8 in the European Union . . . . . . . . . . . . . . . . 158
4.9 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
Bibliography 166
C Appendix to chapter 4 . . . . . . . . . . . . . . . . . . . . . . 171
C.1 Data description . . . . . . . . . . . . . . . . . . . . . 171
C.2 Sensitivity analysis . . . . . . . . . . . . . . . . . . . . 175
iiList of Figures
2.1 Cash ows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.2 Credit market without securitization . . . . . . . . . . . . . . 24
2.3 market in the rst best case . . . . . . . . . . . . . . . 28
2.4 Securitized loans in the second best case . . . . . . . . . . . . 33
2.5 Credit market in the second best case . . . . . . . . . . . . . . 34
3.1 Evolution of the amount outstanding of securitized assets in
the US during the period 1970-2007 . . . . . . . . . . . . . . . 54
3.2 Number of banks reporting securitization activity during the
quarters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
3.3 Bank size . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
3.4 Credit risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
3.5 Bank pro tability . . . . . . . . . . . . . . . . . . . . . . . . . 65
3.6 Regulatory capital ratios . . . . . . . . . . . . . . . . . . . . . 66
3.7 Securitization exposure . . . . . . . . . . . . . . . . . . . . . . 66
3.8 Delinquencies on securitized and retained home equity lines . . 93
3.9 Seller-provided credit enhancements . . . . . . . . . . . . . . . 116
4.1 Ratio of aggregate dividends to aggregate net income in the
United States . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
4.2 Ratio of aggregate dividends to aggregate net income in the
European Union . . . . . . . . . . . . . . . . . . . . . . . . . . 125
4.3 Aggregate net income and dividends in the United States . . . 126
4.4 Mean of the dividend to net income ratio in the United States 134
4.5 Mean of the to net ratio in the European Union135
4.6 Mean of the adjusted dividend payout ratio in the United States144
4.7 Mean of the payout ratio in the States145
4.8 Mean of bank dividends and net income in the USA . . . . . . 175
iiiList of Tables
3.1 The extensive margin of securitization: using Capital/RWA
Corrected . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
3.2 The extensive margin of using Tier 1/Total
Assets Corrected . . . . . . . . . . . . . . . . . . . . . . . . . 80
3.3 Dynamic di erence GMM estimation results using Capital/RWA
Corrected . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
3.4 Dynamic di erence GMM estimation results using Tier1/Total
Assets Corrected . . . . . . . . . . . . . . . . . . . . . . . . . 88
3.5 Mean comparison of total delinquencies on securitized vs. re-
tained loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
3.6 Regression-based comparison of total delinquencies on securi-
tized vs. retained loans . . . . . . . . . . . . . . . . . . . . . . 96
3.7 Total delinquencies of securitized loans: FE estimates . . . . . 101
3.8 Pairwise correlations of capital ratios . . . . . . . . . . . . . . 109
3.9 P . . . . . . . . . . . . . . . . . . . . . . . 110
3.10 Descriptive statistics . . . . . . . . . . . . . . . . . . . . . . . 111
3.11 Pairwise correlations of explanatory variables . . . . . . . . . . 112
3.12 The extensive margin of securitization: using Capital/RWA . . 113
3.13 The extensive of securitization: using Tier1/Total Assets114
3.14 The intensive margin of random- vs. xed-
e ects estimates . . . . . . . . . . . . . . . . . . . . . . . . . . 115
3.15 Mean comparison of delinquencies by type of loan and time
past due . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
3.16 Total delinquencies of securitized loans: RE estimates . . . . . 118
4.1 Fixed-e ects estimation results for the pre-crisis period, US
sample . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
iv4.2 Fixed-e ects estimation results for the crisis period, US sample 150
4.3 including crisis interaction terms,
US sample . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
4.4 Fixed-e ects estimation results: Sensitivity analysis using al-
ternative crisis interaction terms, US sample . . . . . . . . . . 155
4.5 Fixed-e ects estimation results including Lehman interaction
terms, US sample . . . . . . . . . . . . . . . . . . . . . . . . . 157
4.6 Fixed-e ects estimation results including crisis interaction terms,
EU baseline sample . . . . . . . . . . . . . . . . . . . . . . . . 160
4.7 Fixed-e ects estimation results: Sensitivity analysis excluding
state aid interaction terms, EU baseline sample . . . . . . . . 163
4.8 Number of observations . . .