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RBA Glossary definition for securitisation

securitisation – Asset securitisation is the process of converting a pool of illiquid assets, such as residential mortgages, into tradeable securities.

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Robustness Tests

31 Dec 2013 RDP 2013-05
Gianni La Cava
β. 1. < 0). Moreover, the effect of private securitisation would be greater than the effect of public securitisation (β. ... The results are shown in Table 5. Table 5: Private and Public Securitisation.
https://www.rba.gov.au/publications/rdp/2013/2013-05/robustness-tests.html

Liquidity Shocks and the US Housing Credit Crisis of 2007–2008

5 Jun 2013 RDP 2013-05
Gianni La Cava
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-05.html

Appendix A: Identifying the Effect of Credit Supply Shocks

31 Dec 2013 RDP 2013-05
Gianni La Cava
These assumptions ensure that the level of securitisation matters to the lending decision of each bank. ... D. it. <. ) and that securitisation is a cheaper form of funding than other forms of external finance.
https://www.rba.gov.au/publications/rdp/2013/2013-05/appendix-a.html

Data

31 Dec 2013 RDP 2013-05
Gianni La Cava
I assume that loan sales and loan securitisations are equivalent, so that I can directly observe the extent of securitisation activity by each mortgage lender. ... In general, loan sales are a broader measure of financing lending than securitisations.
https://www.rba.gov.au/publications/rdp/2013/2013-05/data.html

Conclusion

31 Dec 2013 RDP 2013-05
Gianni La Cava
Controlling for unobservable credit demand shocks that may be correlated with borrower risk, I show that mortgage lenders that were particularly reliant on loan securitisation reduced credit disproportionately during the crisis. ... In contrast, the
https://www.rba.gov.au/publications/rdp/2013/2013-05/conclusion.html

Institutional Background

31 Dec 2013 RDP 2013-05
Gianni La Cava
In this paper, I will sometimes refer to the loans securitised by the GSEs as ‘public securitisations’. ... The private securitisation market developed to facilitate the sale of mortgages that did not meet the GSEs' eligibility criteria.
https://www.rba.gov.au/publications/rdp/2013/2013-05/institutional-background.html

Introduction

31 Dec 2013 RDP 2013-05
Gianni La Cava
In this framework, the closure of the securitisation market acts as the ‘treatment’, the ‘treatment group’ are the mortgage lenders that were reliant on securitisation before 2007 and the ‘control group’ ... The negative liquidity shock
https://www.rba.gov.au/publications/rdp/2013/2013-05/introduction.html

Literature Review

31 Dec 2013 RDP 2013-05
Gianni La Cava
There are a few other recent papers that also treat the shutdown of the securitisation market in 2007 as a negative liquidity shock and examine how this affected bank lending ... Dagher and Kazimov (2012) also treat the shutdown of the securitisation
https://www.rba.gov.au/publications/rdp/2013/2013-05/literature-review.html

Testing the Liquidity Constraints Hypothesis

31 Dec 2013 RDP 2013-05
Gianni La Cava
non-OTD lenders) – as well as a ‘treatment’ (the closure of the securitisation market in 2007). ... lending by more than mortgage lenders that were not reliant on securitisation (i.e.
https://www.rba.gov.au/publications/rdp/2013/2013-05/testing-liquidity-constraints-hypothesis.html

Testing the Flight to Quality and Flight to Home Hypotheses

31 Dec 2013 RDP 2013-05
Gianni La Cava
Sources: Home Mortgage Disclosure Act Loan Application Registry; author's calculations. The liquidity shock stemming from the securitisation market had a sizeable negative impact on mortgage lending.
https://www.rba.gov.au/publications/rdp/2013/2013-05/testing-flight-to-quality-flight-to-home.html