Discussion paper

DP10664 Securitization and Economic Activity: The Credit Composition Channel

Using an international panel, we analyze the relationship between country-level securitization and economic activity. Our findings suggest that securitization is negatively related to various proxies of economic activity ? even prior to the crisis of 2007-2009. We explain this finding by securitization spurring consumption at the expense of investment and capital formation. Consistent with this, we find that securitization of household loans is negatively associated with economic activity, whereas business securitization displays a weak positive association with it, and that household securitization increases an economy?s consumption-investment ratio. Our results inform recent initiatives aiming at reviving securitization markets, as they indicate that the impact of securitization crucially depends on the underlying collateral.


Wagner, W, A Bertay and D Gong (2015), ‘DP10664 Securitization and Economic Activity: The Credit Composition Channel‘, CEPR Discussion Paper No. 10664. CEPR Press, Paris & London. https://cepr.org/publications/dp10664