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Titrisation de la dette hypothécaire, crédit domestique et partage international du risque .
Author(s) -
Hoffmann Mathias,
Nitschka Thomas
Publication year - 2012
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1540-5982.2012.01701.x
Subject(s) - securitization , diversification (marketing strategy) , financial system , business , debt , mortgage underwriting , credit risk , volatility (finance) , monetary economics , finance , economics , mortgage insurance , marketing , casualty insurance , insurance policy
Securitization makes mortgage‐related risks internationally tradeable and thus contributes considerably to the international diversification of macroeconomic risk: in the years 2003–2008, the increase in international cross‐holdings of securitized mortgage debt has lowered industrialized countries’ conditional consumption volatility (relative to the United States) by about 10–15 percentage points. We turn to the role of domestic credit in explaining this result. Domestic credit leads to better international risk sharing only if debt is securitized and traded internationally. Conversely, the risk‐sharing benefits from securitization seem to evaporate if credit dries up – as it did in the recent financial crisis.