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论文类型：期刊论文

发表时间：2014-08-13

发表刊物：APPLIED ECONOMICS LETTERS

收录刊物：SSCI

卷号：21

期号：12

页面范围：832-835

ISSN号：1350-4851

关键字：asset securitization; systemic risk; amplification effect; CDO; G20; G15

摘要：This article theoretically and empirically investigates the risk amplification effects of asset securitization among financial institutions in the USA based on a risk model and a single-factor time series model. Results show that systemic risk of financial institutions is enlarged by asset securitization, and the reaction is faster with a larger issuance and holdings of collateralized debt obligation.