TAILIEUCHUNG - SECURITIZATION, BANK LENDING AND CREDIT QUALITY THE CASE OF SPAIN

An important feature in many countries is the role of securitization in the lending and housing prices boom and burst. At the macroeconomic level, the dynamics of the relationship between lending, housing prices and securitization have been largely unexplored although a rising interest has recently emerged with the financial crisis. There is an empirical literature studying the interaction of lending and housing prices both at the international (Hofmann, 2001; Tsatsaronis and Zhu, 2004) and the individual country levels (Gerlach and Peng, 2005; Gimeno and Martínez-Carrascal, 2005) | EUROPEAN CENTRAL BANK EUROSYSTEM NO 1329 I APRIL 2011 WORKING PAPER SERIES SECURITIZATION BANK LENDING AND CREDIT QUALITY THE CASE OF SPAIN by Santiago Carbó-Valverde David Marques-Ibanez and Francisco Rodríguez Fernández EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1329 I APRIL 2011 SECURITIZATION BANK LENDING AND CREDIT QUALITY THE CASE OF SPAIN 1 by Santiago Carbó-Valverde 2 David Marques-Ibanez3 and Francisco Rodríguez Fernández4 NOTE This Working Paper should not be reported as representing the views of the European Central Bank ECB . The views expressed are those of the authors and do not necessarily reflect those of the ECB. In 2011 all ECB publications feature a motif taken from the 100 banknote. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 1802358. Ì Acknowledgement Comments from the ECB working paper series and from our discussant Laurie DeMarco as well as from Jim Lothian Jerry Dwyer and other participants at the XIX International Tor Vergata Conference on Money Banking and Finance held in Rome in December 2010 are acknowledged and appreciated. We would also like to thank Philipp Schnabl for insightful comments and suggestions. We are also grateful to Jean-Paul Genot for his great help finding the appropriate databases and to Thomas Kostka and Silviu Oprica for their help creating a database on securitization activity and rating changes. Financial support from Junta de Andalucia P08-SEJ-03781 Excellence Groups is acknowledged and appreciated by the authors. Santiago Carbó and Francisco Rodríguez also acknowledge financial support from MICINN-FEDER ECO2008-05243 ECON. The opinions expressed in this paper are those of the authors only and in no way involve any responsibility for the Federal Reserve Bank of Chicago. 2 Corresponding author University of Granada and Federal Reserve Bank of Chicago USA e-mail scarbo@ 3 .

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