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:: Volume 15, Issue 1 (Winter 2020) ::
J. Mon. Ec. 2020, 15(1): 1-24 Back to browse issues page
The Effects of Asset Securitization on Banks' Performance (Case Study: Bank Saderat Iran 2005-2015)
Hossein Marzban1, Zahra Dehghan Shabani1, Javad Moradi2, Asrar Pazhouhi 1
1- Department of Economics, Shiraz University
2- School of Accounting, Shiraz University
Abstract:   (627 Views)
The purpose of this study is to investigate the effects of "Asset Securitization" on banks' performances. Asset securitization is generally defined as the "financial process by which an owner of an asset, such as a portfolio of loans, receives cash upfront in exchange for the future cash flows from the asset without selling the asset in a normal contractual sales agreement." (Menzi et al., 2018). Asset securitization has not been applied in Iranian banks so far. Therefore, we have devised an approach to examine the variation in performance in the presence or the absence of a securitized portfolio by using a "Propensity Score Matching" method. In this study, the effect of "Asset Securitization" is hypothetically assessed for Bank Saderat Iran. To show the meaningfulness of the difference between two states, "variance equality F-test" as well as "couplet-test" is used. The results show that "Asset Securitization" has a positive and meaningful effect on the net profit of the Bank Saderat Iran. Moreover, to study the relationship between profitability and non-performing loans, the Bayesian Vector Autoregressive model is applied, and the results show that non-performing loans harm the bank's profitability.
Keywords: Asset Securitization, Banks' Operation Criteria, Matching Estimator Approach, Couple t-Test
Full-Text [PDF 787 kb]   (655 Downloads)    
Type of Study: Original Research - Case Study | Subject: Monetary Economics
Received: 12 Aug 2020 | Accepted: 27 Oct 2020 | Published: 20 Jan 2020
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Marzban H, Dehghan Shabani Z, Moradi J, Pazhouhi A. The Effects of Asset Securitization on Banks' Performance (Case Study: Bank Saderat Iran 2005-2015). J. Mon. Ec.. 2020; 15 (1) :1-24
URL: http://jme.mbri.ac.ir/article-1-506-en.html

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Volume 15, Issue 1 (Winter 2020) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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