欧债危机下银行信息披露与贷款损失准备的关系研究

本文以欧洲主权债务危机为研究背景,来分析银行信息披露变动与银行贷款损失准备变动之间的关系。本文选取2009至2011年之间的164家欧洲银行的年度报告为样本,统计数据显示:自欧洲主权债务危机爆发以来,欧洲银行减少了贷款损失准备的计提,同时增加了年度报告的长度,包括年度报告中的风险管理部分的长度也增加了。通过实证研究发现,欧洲主权债务危机下,银行更倾向于降低贷款损失准备,但同时为了消除投资者对银行风险管理能力的质疑,向外界传递良好信号,银行普遍倾向于增加年报或风险管理报告来增加信息披露。     

国际

巴黎银行将欧元美元2011年目标下调至平价水平法国巴黎银行近日表示，因欧洲外围国家债务危机升高打压资本流入，欧元／美元将在2011年第一季度跌至平价水平。该行在一份报告中指出，欧洲债券的质量已经不在同一水平上，吸引外资的能力下降。欧盟内部债权利差扩大，对资本流入的冲击比预期更大。     

世经版图

1默克尔希望希腊留在欧元区 德国总理默克尔表态,希望希腊能够在欧元区稳定下来。这给欧元人气注入积极因素,使得欧元兑美元跌势有所放缓。目前,欧洲央行表示,已停止向部分希腊银行提供流动性,即暂停了一些希腊银行的再融资操作,理由是这些银行未能成功完成资本重整。目前,这些希腊银行只能通过欧洲央行的紧急流动性援助计划来进行融资。希腊将于6月17日进行大选,新一轮大选结果目前充满不确定性。市场担心希腊危机可能对西班牙或意大利等高负债欧元区成员国造成冲击。     

希腊债务危机的负面影响与警示

对希腊债务危机的内外部原因进行分析,剖析希腊债务危机的负面影响,主要表现在:影响欧元区乃至欧洲经济的稳定,危机可能会蔓延到部分欧洲银行,债务解决出现两难困境,可能诱发全球赤字浪潮爆发,造成全球经济的波动。总结出希腊债务危机启示:欧盟①组建强有力的欧洲货币基金组织对债务问题进行及时有效的救助,金融创新需要与实体经济发展相匹配;对中国而言,尤其是要关注各级地方政府积累的巨额债务。     

我国商业银行资本充足率问题的研究

随着我国经济的蓬勃发展和对外开放的不断,商业银行所承受的风险也在不断增加.而与此同时我国银行内部控制风险的能力还不是很强,监管者的素质也还不是很高.特别是自从2008年美国次贷危机引发全球金融海啸以来,大量满足巴塞尔协议资本充足率要求的银行出现危机,甚至倒闭破产,使市场对于协议规定的指标是否合理、能否顺利应对金融危机的冲击产生了普遍的质疑.     

欧洲主权债务的违约风险及其对银行业的影响

欧债危机持续恶化,危机逐渐向意大利和欧洲银行体系蔓延。由于银行业持有巨额危机国家债券,部分国家国债收益率急剧飙升将导致欧洲银行业的融资成本、流动性风险和不良贷款率攀升,使银行的存款流失且贷款增长放缓。一旦希腊或意大利债务违约,可能触发CDS赔偿和放大衍生品市场的交易对手风险,造成金融机构的巨额赔付,导致难以估量的溢出效应。危机的持续蔓延,可能导致热钱流入,企业信用风险加剧,延缓中国解决房贷市场潜在风险的努力,从而对中国的银行业产生影响。     

欧洲主权债务危机爆发内在经济因素的实证分析

欧洲主权债务危机的爆发对欧洲甚至全球金融体系和实体经济都产生了重要的冲击,债务危机的发生有着深层的内部经济原因。文章在债务危机风险模型推导的基础上,对引发欧洲主权债务危机的内在经济因素进行了实证分析,结果发现,国内生产总值增长的下降、单位劳动成本的上升、出口贸易的下降及政府财政赤字的增加是欧洲主权债务危机发生的主要内在经济因素。文章最后进行了总结并提出了对中国地方政府债务管理的启示。     

社会责任报告的披露与权益资本成本关系研究

权益资本成本一直是企业关注的重点,而信息不对称会导致融资成本的增加。社会责任报告的披露能否减少企业与投资者之间的信息不对称,进而降低权益资本成本是值得深入研究的问题。文章以2011—2014年深市和沪市A股上市公司为样本,运用Logistic回归和多元回归,实证研究了权益资本成本和社会责任报告披露的相互关系。结果发现,上一年的权益资本成本与下一年社会责任报告披露的可能性正相关;在披露社会责任报告的企业中,报告评分高的企业下一年的权益资本成本下降更多。因此,公司不仅要重视社会责任的履行,还要注重社会责任报告的规范化,从而实现企业和社会的共同发展。     

欧洲债务危机对我国的若干启示

以希腊债务危机为导火索的欧洲债务危机自爆发开始,不断蔓延、升级,不仅欧元的＂硬＂地位、欧元区的稳定备受考验,危机还祸及全球,拖累全球经济复苏。此次危机是2008年金融危机的催化,是欧元区长期的体制、结构问题、人口老龄化、高社会福利等内部矛盾的升级。经济全球化之下,这对中国既是机遇也是挑战,注重实体经济的发展、加快转变经济增长方式、重新审视地方债务、制定风险管理策略、另行计划＂计划生育＂刻不容缓。     

社会责任报告与权益资本成本——来自主板市场的经验证据

以2011—2013年度沪深A股上市公司为样本,以股票流动性假说和投资者预测风险假说等为基础,研究了社会责任报告是否披露及披露质量对权益资本成本的影响,同时还考察了产权性质对社会责任报告影响权益资本成本的作用机制。研究发现,披露了社会责任报告的公司相比未披露的公司有更低的权益资本成本;对于同样披露了社会责任报告的公司,社会责任报告质量较高的公司权益资本成本较低;与非国有企业相比,国有企业能更好地履行社会责任且权益资本成本更低,但对于不同产权性质的公司,社会责任报告降低权益资本成本的效果会有所不同,非国有企业更能发挥社会责任报告质量降低权益资本成本的作用。     

The effects of oil price shocks on inflation in the G7 countries

This study examines the effects of three types of oil price shocks on inflation in the G7 countries with a new method of isolating oil price shocks. Based on monthly data from January 1997 to January 2019, we find that each oil price shock has the largest effect on U.S. inflation among the G7 countries and each country’s response to oil price shocks is different. Moreover, a rolling-window analysis shows that supply shocks, demand shocks and risk shocks have dynamic effects on inflation. The effect of supply shocks on inflation is strong before the financial crisis, but weakens during the crisis. However, the effect of demand shocks increases sharply in this time. The effect of risk shocks mainly occurs during the financial crisis and the European debt crisis. In addition, this study uses two ways to verify the robustness of the results. Our empirical results have important implications for policymakers and manufacturers, since the results provide a good explanation for the response of inflation in the G7 countries to the oil price shocks from different sources.     

BANK CAPITAL REQUIREMENTS, BUSINESS CYCLE FLUCTUATIONS AND THE BASEL ACCORDS: A SYNTHESIS

Abstract.  In order to survey the mechanisms through which the introduction of Basel II bank capital requirements is likely to accentuate the procyclical tendencies of banking, this paper brings together the theoretical literature on the bank capital channel of propagation of exogenous shocks and the literature on the regulatory framework of capital requirements under the Basel Accords. We conclude that the theoretical models that revisit the bank capital channel under the new accord generally support the Basel II procyclicality hypothesis and that the magnitude of the procyclical effects essentially depends on (i) the composition of banks' asset portfolios, (ii) the approach adopted by banks to compute their minimum capital requirements, (iii) the nature of the rating system used by banks, (iv) the view adopted concerning how credit risk evolves through time, (v) the capital buffers over the regulatory minimum held by the banking institutions, (vi) the improvements in credit risk management and (vii) the supervisor and market intervention under Basel II. The recent events and instability in financial markets all over the world have led the procyclicality issue to enter the agendas of several political international  fora  and some measures to mitigate procyclicality are being put forward. The bank capital channel literature should now play an important role in evaluating their effectiveness.     

Investor protection,regulation and bank risk-taking behavior

This paper examines whether the influence of investor protection on banks’ risk is channeled through banking regulation, and vice-versa, using panel data from a sample of 567 European and US banks for the 2004–2015 period. As banking regulatory factors, we consider capital stringency, activity restrictions and private monitoring, whereas as investor protection factors, we consider the level of shareholder and creditor protection. We find that banking regulation moderates the positive direct influence of investor protection on banks’ risk, while investor protection reinforces the negative direct influence of banking regulation on risk. Moreover, we show that the negative effect of national regulations on banks’ risk is more pronounced during systemic crisis years. Finally, taking into account market competition, we argue that private monitoring only has a direct effect on banks’ risk, whereas the effects of capital stringency and activity restriction are channeled through market competition.     

An assessment of Portuguese banks’ efficiency and productivity towards euro area participation

This paper analyses the production technology of Portuguese banks during the 1992–2006 period through the estimation of a translog cost frontier. This period is of major interest because it covers Portugal’s euro area accession and its impact on the banking system. Hence, critical factors impacting the banking system are identified against the background of increasing financial integration prior to the financial crisis that started in 2007 and later translated into strains in some European sovereign debt markets. Banks are modelled as firms which produce loans and other earning assets, choosing the cost minimizing combination of labour, capital and interest bearing debt, subject to holding a predetermined level of equity. According to the results of this study, technological progress has shifted the cost frontier downwards throughout the period under consideration, whereas the distance at which banks have operated from the frontier seems to have remained constant. Further, increases in production under scale economies have also contributed to the recorded increase in productivity.     

Value-at-Risk (VaR) Computations Under Various VaR Models and Stress Testing

SUMMARY

Bank for International Settlements (BIS) proposes that all banks calculate and report amount of market risk they incur and allocate sufficient amount of capital starting at the beginning of year 2002. BIS also suggests that value-at-risk (VaR) models in computing market risk should be used. The Turkish Bank Regulation and Supervision Agency already required all Turkish banks to compute and periodically report market risk and reserve adequate amount of capital since January, 2002. This study mimics an average trading marketable securities portfolio subject to market risk of the four largest Turkish banks. The publicly available quarterly financial reports of year 2001 for Isbank, Garanti, Yapi Kredi and Akbank are examined, and a mimicking portfolio composition is determined as bond investments; 60% in Turkish currency (TRL), 20% in American dollar (USD) and 20%in Euro (EUR). The VaR amounts of the mimicking portfolio are computed by applying Historical Simulation, Monte Carlo Simulation, Delta-Normal and Standard Methods. Finally, stress test is applied for each of the models by using crisis scenarios. The Turkish financial crises of November 2000 and February 2001 are simulated as stress scenarios. The results of stress testing reveal that all methods except standard method can stand the crisis in November 2000, but none of the models can stand the crisis in February 2001.     

Bank lending: The bank ownership focus in the pre- and post-global financial crisis periods

The objective of this research is to examine the impact of bank ownership on the composition of working capital, investment, and consumption loan types before and after the global financial crisis (GFC). The data has been grouped into pre-GFC and post-GFC sub-periods. The pre-GFC period encompasses the post-Asian crisis time period until 2006, just before the start of the GFC. The post-GFC period comprises the time period 2009 until 2016. Data were obtained from the Indonesian Banking Directory of the Indonesian Central Bank, commercial bank annual reports provided by Infobank magazine, and the Indonesian Banking Development Institute. The findings reveal the differences and changes in the composition of loan types for the different forms of bank ownership. Government-owned banks tend to focus on consumption loans, whereas foreign-owned banks outpace domestic-owned banks in the financing of working capital loans. After the GFC, government-owned banks increased their consumption loans significantly. This research augments the knowledge about loan portfolio compositions and trends pertaining to different bank types. It can serve as a benchmark and can be applied to enhance decision-making in the banking industry. Furthermore, Indonesian regulating authorities can utilize the information from a strategic and policy perspective to monitor, manage and control financial intermediation from a macroprudential perspective.     

The impact of bank competition and concentration on bank risk-taking behavior and stability: Evidence from GCC countries

This paper presents a comprehensive assessment of the impact of competition on bank fragility pre and post financial crisis period in the GCC banking market as measured by bank risk-taking behavior and bank stability during the period 1998–2016. Our results indicate that a higher level of bank competition and the greater degree of concentration adds to financial fragility. The findings further shows that during the 2008 crisis, lower bank competition maintain the stability of GCC banks. We also find that lower level of competition and lower concentration in the banking market increases the risk-taking behavior of the low capitalized, low liquid and small banks which add to fragility in the banking system. Our findings suggest that countries with greater capital stringency, greater supervisory power, greater market discipline, and private monitoring, with explicit deposit insurance schemes, higher shareholder protection, and higher legal efficiency decrease banks’ risk-taking and increase their stability. We also find that greater regulatory restrictions and higher creditor protection decrease banks’ stability and increase risk in concerned countries. We find support for both competition-fragility and competition-stability hypotheses in the GCC banking market. The results also confirm that the use of a single measure of competition is insufficient to assess the role of competition in banking stability.     

Volatility risk and economic welfare

This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. The model shows that a rise in volatility can decelerate growth in the absence of any level shocks. In contrast to level risk, which is always welfare reducing for a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When calibrated to U.S. data, the model finds that the welfare cost of volatility risk is largely negligible under plausible model parameterizations.     

经济资本理念与我国银行管理艺术——风险与价值管理

经济资本体系是工业化国家股份制商业银行普遍采用的管理工具,并逐步发展为现代银行的标准管理手段和系统。经济资本最主要的功能概括起来就是:防范风险和创造价值。文中主要就经济资本在风险管理和价值管理中的应用展开分析,介绍其内涵及在我国现行金融体系下的可行性,用经济资本提升商业银行管理水平,已成为中国加入WTO后的迫切要求。