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Do Different Bank-Level Securitization Variables Measure The Same Thing? A Confirmatory Factor Analysis

Author

Listed:
  • Mark T. Plaat

    (Centraal Planbureau)

  • Laura Spierdijk

    (University of Twente)

Abstract

The banking literature has used a wide range of securitization variables to measure banks’ securitization activities. This study analyzes to what extent different securitization variables measure the same dimensions of the securitization process. We consider large U.S. commercial banks during the 2011–2017 period and focus on eleven securitization variables that are available in the Call Reports and the HMDA LAR database. Confirmatory Factor Analysis (CFA) shows that eight out of eleven securitization variables share a single common securitization dimension. Two of the three remaining measures are excluded from the analysis in a specification search. The third remaining measure captures the common securitization factor to a lesser extent, resulting in relatively low correlations with the other variables. Each of the eight securitization variables is found to be a reliable measure of the underlying securitization factor according to the CFA. Our results provide a statistical rationale for using either of the eight variables as a measure of securitization. More generally, we recommend CFA to make a grounded choice among the available securitization measures.

Suggested Citation

  • Mark T. Plaat & Laura Spierdijk, 2024. "Do Different Bank-Level Securitization Variables Measure The Same Thing? A Confirmatory Factor Analysis," De Economist, Springer, vol. 172(4), pages 339-363, December.
    • Handle: RePEc:kap:decono:v:172:y:2024:i:4:d:10.1007_s10645-024-09439-1
    DOI: 10.1007/s10645-024-09439-1
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    More about this item

    Keywords

    Banking; Securitization; Confirmatory factor analysis; Structural equation modeling;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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