Fixed versus variable rate loans under regret aversion

This paper examines the optimal mix of fixed and variable rate loans of a competitive bank facing funding cost uncertainty, where the bank is not only risk averse but also regret averse. Regret aversion is characterized by a utility function that includes disutility from having chosen ex-post suboptimal alternatives. We show that a negative spread between fixed and variable rate loans is a necessary but not sufficient condition for the dominance of variable rate loans over fixed rate loans. If the bank optimally extends both fixed and variable rate loans, the total amount of loans depends neither on the bank's regret aversion nor on the funding cost uncertainty. The bank, however, optimally lends less should it be forced to assume the entire funding cost uncertainty by exclusively extending fixed rate loans. Finally, using a two-state example, we show that the bank optimally extends more (less) fixed rate loans than in the case of pure risk aversion if the high (low) marginal cost of funds is more likely to prevail. Regret aversion as such plays a crucial role in determining the bank's optimal choice between fixed and variable rate loans.     

经营困境、政治关系与银行贷款差异——基于持续经营不确定上市公司的经验证据

笔者以2002年~2005年获得非标审计意见上市公司为样本,以上市公司各年度银行贷款占资产总额比例以及贷款的自然对数作为银行贷款决策的替代变量,考察持续经营存在重大不确定对银行贷款决策的影响。多元回归分析发现,民营上市公司在持续经营不确定情况下,银行贷款决策更加严格,而国有上市公司没有因此受到明显影响,但持续经营不确定的国有上市公司债务违约现象比该类民营上市公司更严重。这说明政治关系、政府干预影响了银行向国有上市公司的贷款决策。     

The effect of economic policy uncertainty on bank valuations

This article examines how economic policy uncertainty (EPU) affects bank valuations. Using a large sample of banks over a long period, we find that EPU has a negative effect on bank valuations. One explanation for this result is that EPU reduces bank loan growth, and lower loan growth then leads to lower bank valuations. Consistent with this explanation, we find that the negative effect of EPU is more pronounced for banks with a higher ratio of loans to total assets.     

Uncertainty and central bank transparency: A non-Bayesian approach

We use a non-Bayesian approach to uncertainty, where “ambiguity” is taken into account, in order to analyze the issue of central bank transparency, and we underline that the use of such an approach may greatly change the results. We reconsider a specific argument against transparency found in the literature. We show that, in the presence of ambiguity, the argument can become a case in favor of transparency, which seems more in accordance with some stylized facts. Reduced Knightian uncertainty associated with increased transparency can contribute to making transparency beneficial.     

Does corruption hamper bank lending? Macro and micro evidence

The aim of this paper is to analyze the effect of corruption in bank lending. Corruption is expected to hamper bank lending, as it is closely related to legal enforcement, which has been shown to promote banks’ willingness to lend. Nevertheless the similarities between the consequences for bank lending of law enforcement and corruption are misleading, as they consider only judiciary corruption. Corruption can also occur in lending and may then be beneficial for bank lending via bribes given by borrowers to enhance their chances of receiving loans. This assumption may be validated particularly in the presence of pronounced risk aversion by banks, resulting in greater reluctance on the part of banks to grant loans. We perform country-level and bank-level estimations to investigate these assumptions. Corruption reduces bank lending in both sets of estimations. However, bank-level estimations show that the detrimental effect of corruption is reduced when bank risk aversion increases, even leading at times to situations wherein corruption fosters bank lending. Additional controls show that corruption does not increase bank credit by favoring only bad loans. Therefore, our findings show that while the overall effect of corruption is to hamper bank lending, it can alleviate firm’s financing obstacles.     

Transparency in the Foreign Exchange Market and the Volume of International Trade

In this paper we study the impact of more transparency in the foreign exchange market on the ex ante expected volume of international trade. Transparency is measured by the informational content of publicly observable signals. These signals convey information about the use of policy instruments which affect the future exchange rate. We find that a higher level of transparency may increase or decrease the volume of international trade. In particular, the impact of greater transparency depends on the curvature of the firms’ marginal cost function. Furthermore, the firms’ex ante expected profits are higher when the foreign exchange market is more transparent.     

我国农业上市公司的政治关联与融资便利性

本文以社会资本理论为切入点，实证分析政治关联对我国农业上市公司获取银行信贷融资及其期限结构的影响。以1996—2010年间在沪深两地上市的农业企业为样本，以董事长是否现在或曾经担任政府官员、人大代表、政协委员来判断政治关联。检验结果发现，农业上市公司的政治关联与银行贷款数量显著正相关；政治关联所带来的融资便利性，更多表现为获取银行的短期贷款。研究表明，政治关联作为一种特殊的社会资本，能够作为非正式制度帮助农业企业获得银行信贷支持。     

货币政策有效性与货币政策透明制度的兴起

本文着重探讨货币政策透明性与货币政策有效性之间的关系,目的在于说明货币政策透明制度能够兴起的一个关键因素在于货币政策的透明性有利于提高货币政策的有效性。在标准的“时间不一致性”理论里面,货币政策是否透明对货币政策的效应是没有影响的,因为在这类理论里面,经济主体能够使用所有可获得的信息形成与经济系统相一致的、无偏的估计。但问题的关键在于,这种假设的基本前提在实践中并不完全成立。当考虑到经济主体对经济运行结果和经济运行过程的不完全认知时,货币政策透明性对于促进经济主体的学习过程,稳定和引导公众的通胀预期,进而提高货币政策的有效性就起着至关重要的作用。     

货币政策能否促进银行对小微企业信贷投放——基于宏观经济不确定视角的研究

本文研究在宏观经济不确定条件下,不同货币政策工具能否促进银行对小微企业信贷投放。首先,将货币政策引入考虑了宏观经济不确定性的银行资产组合模型中,论证货币政策、宏观经济不确定性与银行信贷资产配置的理论关系。然后利用我国181家银行2004—2018年的数据,检验在宏观经济不确定条件下,不同货币政策工具对银行小微企业信贷行为调控的作用效果。研究结果表明：宏观经济不确定性会抑制银行信贷行为。其中小微企业信贷占比较大的银行受到的影响更为显著。与数量型货币政策相比,价格型货币政策能够更显著地减轻不确定性对银行小微信贷的消极影响。其中银行同业拆借利率的调控效果最强。研究结论对于选择适宜的货币政策工具促进银行向小微企业信贷投放,化解经济不确定性对银行信贷行为的影响并助力小微企业发展等具有政策借鉴意义。     

Why do Banks Fail?

Banks advance loans in the absence of precise knowledge in relation to the outcome of borrowers' projects. Consequently, uncertainty in relation to loan repayment emerges. Thus, banks introduce the 'credit standard' as insurance against loans, so that should borrowers' projects fail, borrowers have an alternative means of honouring their debt obligations. It is argued in this paper that in the competitive atmosphere under which this sector operates, it is not possible to secure the entire loan portfolio by introducing the credit standard, and in recent years this difficulty has been further exacerbated by financial liberalisation, which may have caused bank failures.     

Does the value-added tax Reform increase a firm’s collateral bank loans? Evidence from China

By leveraging the value-added tax (VAT) Reform as an exogenous event in China, we examine the impact of the tax cut on bank collateral loan on firms. Our findings suggest that (1) The Reform allows firms to deduct the tax of purchasing fixed assets that leads to a significant increase in the firm's collateral loan amounts. (2) The transmission mechanism is due to the increased level of corporate transparency and a lowered financial risk after the Reform. (3) The impact of the Reform on collateral bank loans is more pronounced for state-owned firms, large firms, firms far away from lenders and firms located in low financial development regions.     

Banking Competition,Risk and Regulation*

In a dynamic framework, commercial banks compete for customers by setting acceptance criteria for granting loans, while taking into account regulatory requirements. By easing its acceptance criteria a bank faces a trade‐off between attracting more demand for loans, thus making higher per‐period profits, and deterioration in the quality of its loan portfolio, thus tolerating a higher risk of failure. Our main results state that more stringent capital adequacy requirements lead banks to set stricter acceptance criteria, and that increased competition in the banking industry leads to riskier bank behaviour. It is shown that risk‐adjusted regulation is effective. In an extension of our basic model, we show that it may be beneficial for a bank to hold more equity than prescribed by the regulator, even though issuing equity is more expensive than attracting deposits.     

Do banking system transparency and competition affect nonperforming loans in the Chinese banking sector?

The increasing importance of transparency practices and the improving status of bank competition in China are rarely explored in nonperforming loans (NPLs) literature. Thus, the purpose of this study is to examine banking system transparency and competition along with macroeconomic and bank-specific variables as determinants of NPL. We use the two-step system GMM dynamic panel model for Chinese banks based on annual data from 2000 to 2014. Our results indicate that high transparency in the Chinese banking system decreases poor-quality assets but not in the case of government-owned banks, whereas increase in competition increases NPL. Moreover, we find mixed results in the context of macroeconomics and bank-specific variables. Our study has practical implications in risk management practices and macro prudential policies.     

Collateralized Lending by Indian Banks: Some Explanations and Policy Implications

This paper draws a parallel between the extent of unsecured lending that a bank does and the screening effort extended by the bank. Since unsecured lending requires screening on the part of the bank, higher the percentage of unsecured loans in total loans, higher is likely to be the screening effort while processing loan applications. Using panel data relating to banks in India, we find that on an average a higher extent of screening effort or unsecured loans is likely to be provided by banks that are large, have low level of non-performing assets, and are in the private sector. Further, persistence in the extent of unsecured lending seems to suggest that any change in unsecured lending/ screening effort is likely to be rather slow.

     

Transparency and central bank losses in developing countries

Recent evidence shows central banks suffering from losses in some developing countries. This is a surprise to economists and policymakers. At the same time, these banks are asked to conduct monetary policy within a more transparent framework. Therefore, this paper seeks to answer the following question: Would more transparency in developing countries suffering from central bank losses be beneficial?This paper shows that the cost constraints of conducting monetary policy, central bank losses, in both transparency and opacity alike is significant and affects positively the error of the private sector in expected inflation rate and the output gap. In a country suffering from central bank losses, the expected benefits of transparency and the existence of cost constraint move in two opposite directions. As a result, it is unwise for developing countries suffering from central bank losses to focus on transparency. Priority should be given to fixing monetary policy and to developing financial markets.     

Over-the-counter loans,adverse selection,and stigma in the interbank market

We study a model of interbank credit where physical and informational frictions limit the opportunities for intertemporal trade among banks and outside investors. Banks obtain loans in an over-the-counter market (involving search, bilateral matching, and negotiations over the terms of the loan) and hold assets of heterogeneous quality that in turn determine their ability to repay those loans. When asset quality is not observable by outside investors, information about the actions taken by a bank in the loan market may influence prices in the asset market. In particular, under some conditions, borrowing from the central bank can be regarded as a negative signal about the quality of the borrower?s assets and banks may be willing to borrow in the market at rates higher than the one offered by the central bank.     

Debt financing,soft budget constraints,and government ownershipEvidence from China1

Debt financing is expected to improve the quality of corporate governance, but we find, using a large sample of public listed companies (PLCs) from China, that an increase in bank loans increases the size of managerial perks and free cash flows and decreases corporate efficiency. We find that bank lending facilitates managerial exploitation of corporate wealth in government‐controlled firms, but constrains managerial agency costs in firms controlled by private owners. We argue that the failure of corporate governance may derive from the shared government ownership of lenders and borrowers, which nurtures soft budget constraints.     

Bank profitability and macroeconomic conditions: Are business models different?

The paper investigates the impact of macroeconomic conditions on the profitability of EU banks by testing for differential effects according to the business model. We group banks into three business models using a hierarchical cluster analysis and find that using clusters based on the share of assets invested in loans reveals heterogeneity in the sensitivity of bank profitability to economic growth across business models. Our main result is that GDP growth, credit growth, and the risk-free yield curve influence profitability as expected, but we also find that the effect of GDP growth is only significant for banks that have a high and medium share of assets invested in loans, and not for banks that hold large portfolios of securities. This difference depends on the impact of growth on asset write downs, especially those on loans and, to a lesser extent, on revenues. The results suggest that studies relating bank profitability to macroeconomic conditions should take the heterogeneity of business models into account.     

银行风险、贷款规模与法律保护水平

本文根据更加全面的中国银行业数据,首先研究了法律保护水平和银行风险(Z值)之间的关系;其次,分析了影响银行风险的中间途径,研究了法律保护水平和贷款规模之间的关系;最后,对法律保护水平和银行风险(Z值)各组成部分之间的关系进行了讨论。研究发现,法律保护水平越高(尤其是对知识产权的保护),银行信贷规模越大,银行经营业绩也越高,但银行的资本充足率较低,最终导致银行风险上升(Z值较低)。本文结论说明:法律制度的建设和完善以及加强对银行资本的监管等具有重要意义。     

Sovereign credit ratings and central banks: Why do analysts pay attention to institutions?

This paper studies the effect of the governance of modern central banks on the ratings assigned by the credit rating agencies Standard and Poor's and Moody's. Until recently, the rating process was not public. Even still, the factors or precise methodologies used by the agencies remain uncertain and analyst judgment remains important. We argue that, given uncertainty over the future paths of countries, the quality of the central bank governance serves as a useful heuristic for a stable and favorable country trajectory. In particular, the central bank's independence signals that the government is committed to general macroeconomic stability, including debt repayment. Additionally, central bank transparency clarifies who is the principal of the bank and provides information about how the central bank understands the economy and monetary policy. Finally, tensions between the central bank and the government, as reflected by irregular turnover of central bank governors, raise doubts about countries’ future prospects. Empirically, we use a variety of models, including mediation analysis, to ensure that the effect we identify stems from the central bank governance itself, as a heuristic for the future paths of countries, and not the central bank's direct contribution to the macroeconomy, as reflected in the available data.