The impact of off-balance-sheet regulations on bank risk-taking: Evidence from China

The release of new asset management rules has played a positive role in regulating the asset management business of financial institutions, preventing and controlling financial risk. It has also had an important impact on the management of banks’ off-balance-sheet (OBS) innovation. This paper uses unbalanced panel data on 75 commercial banks in China from 2007 to 2017 and combines a theoretical and an empirical model to study the development of bank OBS innovation and bank risk taking from the perspective of new asset management regulations. The analysis finds (1) the rapid development of OBS innovation will increase bank risk taking and (2) the solution to the problem of rigid payment is conducive to reducing the risk taken by Chinese commercial banks when providing OBS innovation.     

Differential impact of Korean banking system reforms on bank productivity

We study the impact of banking system reforms during a crisis following a period of undisciplined lending. Regulatory changes aimed at strengthening the banks’ capital structure and risk management practices do not have a uniform impact on bank productivity, but rather favor financially sound or strategically privileged banks. We present evidence documenting the differential impact of regulatory reforms on Korean commercial bank productivity over the period 1995–2005. Average technical efficiency of banks decreased during the financial crisis of 1997–1998. It improved following the subsequent bank restructuring and continued to improve through 2005. The capital adequacy ratio is positively associated with banks’ technical efficiency. The non-performing loans ratio is negatively associated with technical efficiency. Both relationships are accentuated during the crisis but attenuated after the reforms.     

美国次贷危机对国内银行经营管理的启示

该文剖析了美国次贷危机的发生及其影响．并深入分析了美国次贷危机对国内银行经营管理的启示,认为国内的银行必须关注绩效激励的逆向选择、不要懈怠贷前尽职调查、不要过分依赖第二还款来源、营销手段应适度以及不应过渡迷信风险转移等。     

中国银行控股公司资本充足率管理的实证研究

本文认为在当下金融危机环境下，研究银行资本充足问题是当下之急。因此，文章在对我国资本充足率现状总体描述之后，做出了细致的实证研究。具体实证过程通过一个变速一部分调整模型，来实现对我国资本充足水平和商业银行自身资本调整速度的影响因素的分析，并针对实证结果，给出了一些财务管理上的政策建议。     

Do bank regulation,supervision and monitoring enhance or impede bank efficiency?

The recent global financial crisis has spurred renewed interest in identifying those reforms in bank regulation that would work best to promote bank development, performance and stability. Building upon three recent world-wide surveys on bank regulation (,  and ), we contribute to this assessment by examining whether bank regulation, supervision and monitoring enhance or impede bank operating efficiency. Based on an un-balanced panel analysis of 4050 banks observations in 72 countries over the period 1999–2007, we find that tighter restrictions on bank activities are negatively associated with bank efficiency, while greater capital regulation stringency is marginally and positively associated with bank efficiency. We also find that a strengthening of official supervisory power is positively associated with bank efficiency only in countries with independent supervisory authorities. Moreover, independence coupled with a more experienced supervisory authority tends to enhance bank efficiency. Finally, market-based monitoring of banks in terms of more financial transparency is positively associated with bank efficiency.     

Efficiency and risk in commercial banking: empirical evidence from East Asian countries

This paper analyses the effects of off-balance sheet (OBS) activities and various types of risks on the cost and profit efficiencies of banks in seven East Asian countries between 2001 and 2008. Cost and profit efficiency scores are estimated using the data envelopment analysis approach. The results of this analysis are then used to identify the impact of OBS activities and risk exposures on cost and profit efficiencies using a Tobit regression. Bank insolvency risk (as measured by z-scores) is positively related to profit efficiency, while interest sensitivity, size, equity to total assets and OBS exposures all impact on cost efficiency. The analysis of the impact of input and output slacks illustrates that in around 1 in 5 cases banks’ cost efficiency can be improved by adjusting the former variables, whereas in only around 1 in 100 cases a similar outcome is possible for profit efficiency.     

Dividends and financial health: Evidence from U.S. bank holding companies

Using a large sample of U.S. bank holding companies from 1986 to 2020, we show that there is a positive relationship between banks' dividends lagged by one quarter and their financial health in the current quarter. We also find that this positive relationship is more pronounced for banks with lower capital adequacy and during the 2007–2009 financial crisis, indicating that it is more necessary for banks with these characteristics to use dividends to convey information regarding their financial health. Our additional analyses suggest that total payout is also positively associated with bank financial health, and that the positive relationship between dividends and financial health applies to private banks as well, but that the magnitude is weaker for them than for public banks. Our overall findings primarily complement a risk reduction hypothesis in corporate finance and bank payout policies.     

Derivatives holdings and systemic risk in the U.S. banking sector

This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 95 U.S. bank holding companies from 2002 to 2011, we compare five measures of the banks’ contribution to systemic risk and find that the new measure proposed in this study, Net Shapley Value, outperforms the others. Using this measure we find that banks’ aggregate holdings of five classes of derivatives do not exhibit a significant effect on the bank’s contribution to systemic risk. On the contrary, the banks’ holdings of certain specific types of derivatives such as foreign exchange and credit derivatives increase the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the proportion of non-performing loans over total loans and the leverage ratio have much stronger impact on systemic risk than derivatives holdings. Therefore, the derivatives’ impact plays a second fiddle in comparison with traditional banking activities related to the former two items.     

Firms’ financial and real responses to credit supply shocks: Evidence from firm-bank relationships in Germany

We investigate the importance of firm-bank relationships for the international transmission of bank distress to the real economy. Using a large panel of matched financial statements of firms of all sizes and their relationship banks in Germany, we find that banks with losses from proprietary trading activities during the 2007/8 financial crisis decreased their lending, and that their firm customers responded by reducing real investment and employment. We document how different types of firms partially offset reduced credit supply by resorting to alternative financing sources.     

Bank Diversification and Overall Financial Strength: International Evidence

There are many studies in the finance and management literature that examine the impact of diversification on performance. Yet, the literature remains inconclusive as for the potential benefits in terms of risk and return. The present study aims to re‐examine this issue, while proposing a methodological framework that integrates various bank performance and risk indicators into a single measure of financial strength. Using an international sample of commercial banks, we find that diversification in terms of income, earning assets, and on‐ and off‐balance sheet activities influences positively their financial strength. We also find that income diversification can be more beneficial for banks operating in less developed countries compared to banks in advanced and major advanced economies. However, we observe the opposite in the case of diversification between off‐balance sheet and on‐balance sheet activities. Furthermore, the results reveal that income and earning assets diversification can mitigate the adverse effect of the financial crisis on bank financial strength. We continue to find a positive relationship between diversification and financial strength when we account for nesting effects, endogeneity, as well as when using an alternative approach for the construction of the financial strength indicator.     

The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data

This paper revisits the impact of off-balance-sheet (OBS) activities on banks risk-return trade-off. Recent studies (e.g., Stiroh and Rumble, 2006) show that increasing OBS activities does not necessarily yield straightforward diversification benefits for banks. However, introducing a risk premium in the standard banks returns models, and resorting to an ARCH-M procedure, Canadian data suggest that banks risk-return trade-off displays a structural break around 1997. In the second subperiod of our sample (1997–2007), we find that the noninterest income generated by OBS activities no longer impacts banks returns negatively. While during the first period (1988–1996) the volatility variable is not significant in any returns equations, a risk premium eventually emerges, pricing the risk associated to OBS activities.     

Banks’ capital buffer,risk and performance in the Canadian banking system: Impact of business cycles and regulatory changes

Using quarterly financial statements and stock market data from 1982 to 2010 for the six largest Canadian chartered banks, this paper documents positive co-movement between Canadian banks’ capital buffer and business cycles. The adoption of Basel Accords and the balance sheet leverage cap imposed by Canadian banking regulations did not change this cyclical behavior of Canadian bank capital. We find Canadian banks to be well-capitalized and that they hold a larger capital buffer in expansion than in recession, which may explain how they weathered the recent subprime financial crisis so well. This evidence that Canadian banks ride the business and regulatory periods underscores the appropriateness of a both micro- and a macro-prudential “through-the-cycle” approach to capital adequacy as advocated in the proposed Basel III framework to strengthen the resilience of the banking sector.     

金融产品持股与银行系统性风险——兼论《商业银行股权管理暂行办法》的影响

基于金融机构通过金融产品增持上市银行股份现象日益普遍的背景,本文运用2011-2019年上市银行数据,采用系统GMM和合成控制法(SCM),分析金融产品持股¹对银行系统性风险的影响及其异质性,并探讨《商业银行股权管理暂行办法》(以下简称《股权办法》)限制金融产品超比例持有上市银行股份规定的效果。结果表明:(1)当单家金融产品股东的持股比例均低于5%²时,其会利用专业优势更好地监督银行行为,金融产品总持股比例有助于降低银行系统性风险。(2)当第一大金融产品股东的持股比例超过5%时,其会利用话语权为自身牟利,导致银行系统性风险增加,削弱金融产品总持股比例对银行系统性风险的降低作用。(3)由于保险产品持股在金融产品总持股中占主导地位,其对银行系统性风险的影响与金融产品持股的作用一致;保险产品以外的其他金融产品总持股比例会降低银行系统性风险。(4)《股权办法》的实施有助于约束持股比例超过5%的机构投资者的冒险行为,进而降低相应银行的系统性风险。     

The impact of non-traditional activities on the estimation of bank efficiency: International evidence

This paper investigates the relevance of non-traditional activities in the estimation of bank efficiency levels using a sample of 752 publicly quoted commercial banks from 87 countries around the world, allowing comparison of the impact of such activities under different levels of economic development, geographical regions and other country characteristics. We estimate both cost and profit efficiency of banks using a traditional function that considers loans and other earnings assets as the only outputs, and two additional functions to account for non-traditional activities, one with off-balance sheet (OBS) items and the other with non-interest income as an additional output. Controlling for cross-country differences in regulatory and environmental conditions, we find that, on average, cost efficiency increases irrespective of whether we use OBS or non-interest income, although the results for profit efficiency are mixed. Our results also reveal that while the inclusion of non-traditional outputs does not alter the directional impact of environmental variables on bank inefficiency, regulations that restrict bank activities and enhance monitoring and supervision provisions improve both cost and profit efficiency.     

银行监管和股东属性对银行风险的影响——基于新兴经济体的监管数据分析

银行监管按世界银行的标准划分为总体监管和12类分项监管;银行大股东属性包括政府类、金融企业类、外资类等.总体监管可以有效地降低银行风险;大股东为工业类、金融类企业的银行能够更好地控制风险,而家族类银行的风险程度较高;通过对分项监管进行研究可以发现,加强对所有权、资本要求、经营活动限制、外部审计要求、流动性、存款保险制度、退出及监管效率八个方面的监管可降低银行总体风险,而加强准入、内部管理、资产分类配置、信息披露这四类监管反而会增加银行总体风险.     

Crises,Liquidity Shocks,and Fire Sales at Commercial Banks

If liquidity shortages cause financial crises, a lender of last resort can provide funds to banks facing potential fire sales. However, if funding problems primarily occur at banks with existing solvency problems, then government liquidity programs may not spur bank lending. We find that commercial bank funding does not typically dry up in a crisis, not even during the subprime crisis. Rather, weak banks are more likely to borrow less. Furthermore, banks rely more on deposits and newly issued equity than fire sales. When they do sell assets, they cherry pick assets in order to alleviate pressure from capital regulations.     

基于动态因子Copula模型的我国银行系统性风险度量

本文基于2007年至2019年我国14家上市银行的股票收益率,构建偏态t-分布动态因子Copula模型,利用时变荷载因子刻画单家银行与整个系统的相关性,计算联合风险概率作为系统性风险整体水平的度量,基于关联性视角提出了新的单家机构系统脆弱性和系统重要性度量指标——系统脆弱性程度和系统重要性程度。该方法充分考虑了银行个体差异性和系统的内在关联性以及收益率的厚尾性和非对称性,从而能够捕捉到更多的信息且兼具时效性。研究表明:银行机构在风险聚集时期相关程度更大,联合风险概率能够准确识别出系统性风险事件且在我国推行宏观审慎评估体系以后有明显降低;整体而言,大型商业银行系统重要性水平最高,同时风险抗压能力也最强;本文使用的度量方法降低了数据获取成本且更具时效性,有助于为宏观审慎差异化监管工作提供借鉴和参考。     

银行信贷与股票价格关系研究--基于后金融危机时代数据的再检验

本文以08年次贷危机以后的变量月度数据为基础,综合运用向量自回归模型以及误差修正模型来研究后金融危机时代我国银行信贷与股票价格之间的关系,实证结果表明,在金融危机后的中国,银行信贷与股票价格的关系在短期内存在一定的正向关系,但在长期内存在负向关系。通过格兰杰因果检验发现,股票市场的变化是信贷市场波动的格兰杰原因,而反之不成立。     

Financial markets development,business cycles,and bank risk in South America

In this paper, we examine whether banking crises or business cycles affect the influence of financial markets development on bank risk in a sample of 37 publicly listed commercial banks in seven South American countries over a 22-year period between 1991 and 2012. Banking crises in this region offer a natural setting in which the impact of financial markets development on bank risk is examined. We find that financial markets development improves banks’ capitalization ratio and reduces their exposure to non-traditional banking activities, suggesting that financial markets development on average reduces bank risk. In addition, banking crises and business cycles appear to moderate the impact of financial markets development on bank risk. In the aftermath of banking crises, banks appear to concentrate more on their core traditional banking activities.     

The impact of bank merger growth on CEO compensation

We examine the impact of bank mergers on chief executive officer (CEO) compensation during the period 1992–2014, a period characterised by significant banking consolidation. We show that CEO compensation is positively related to both merger growth and non‐merger internal growth, with the former relationship being higher in magnitude. While CEO pay–risk sensitivity is not significantly related to merger growth, CEO pay–performance sensitivity is negatively and significantly related to merger growth. Collectively, our results suggest that, through bank mergers, CEOs can earn higher compensation and decouple personal wealth from bank performance. Furthermore, we document a more severe agency problem in CEO compensation as a consequence of bank mergers relative to mergers in industrial firms. Finally, we find that the post‐financial crisis regulatory reform of executive compensation in banks has limited effectiveness in curbing the merger–pay links.