Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/223393
Authors: 
Lojak, Benjamin
Theobald, Thomas
Year of Publication: 
2020
Series/Report no.: 
IMK Working Paper No. 204
Abstract: 
We develop a stock-flow-consistent macroeconomic model with an agent-based focus on corporate credit markets, including a securitization process. Against the background of increased corporate indebtedness, our interest is in quantifying contagion effects that endogenously arise from corporate defaults in a securitized credit portfolio. We calibrate the model to the U.S., where corporate credit securitization has been reintensified in recent years. Simulations deliver adverse medium- to long-term effects as soon as the share of securitized loans in total new loans economy-wide approaches 10%. Securitization activities above this threshold lead to significant welfare losses from the medium-term onwards. Two transmission channels are conceivable. A collapsing special purpose vehicle (SPV) either causes distortions in the banking sector or increases liquidity constraints that ultimately dampen households' consumption due to their financial investment in the securitized tranches. A more concentrated banking sector reinforces the adverse shock of a liquidation of the SPV. In contrast, a faster and better-equipped bank rescue mechanism in the form of levies within the banking sector helps to contain the consequences of a SPV collapse.
Subjects: 
securitization
systemic risk
agent-based
stock-flow consistent
JEL: 
E03
G21
G23
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.