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1.
We use a dynamic panel data model to analyze bank-specific and macroeconomic determinants of bank risk for a large sample of commercial banks operating in the euro area. The selected time span, from 2001 to 2012, considers the impact of the on-going financial and economic crisis on the Eurozone banking system. Our results indicate that capitalization, profitability, efficiency and liquidity are inversely and significantly related to bank risk. However, the recourse to wholesale funding by banks seems to increase their risk. We also find that less-concentrated markets, lower interest rates, higher inflation rates and a context of economic crisis (with a falling GDP) increase bank risk. 相似文献
2.
We present a new agent-based model focusing on the linkage between the interbank market and the real economy with a stylised central bank acting as lender of last resort. Using this model we address the tradeoff between stability and economic performance for different structures of the interbank market. We also explore the efficacy of recent regulatory reforms using our richer model. Our results suggest that the effects of regulatory leverage ratios on the banking sector׳s performance can vary in a complex and non-monotonic way with the state of the economy, the degree of connectivity of the interbank market and the amount of information available to market participants on bank risks. 相似文献
3.
This paper investigates whether, and through which channel, the active use of credit derivatives changes bank behavior in the credit market, and how this channel was affected by the crisis of 2007–2009. Our principal finding is that banks with larger gross positions in credit derivatives charge significantly lower corporate loan spreads, while banks׳ net positions are not consistently related to loan pricing. We argue that this is consistent with banks passing on risk management benefits to corporate borrowers but not with alternative channels through which credit derivative use may affect loan pricing. We also find that the magnitude of the risk management effect remained unchanged during the crisis period of 2007–2009. In addition, banks with larger gross positions in credit derivatives cut their lending by less than other banks during the crisis and have consistently lower loan charge-offs. In sum, our study is suggestive of significant risk management benefits from financial innovations that persist under adverse conditions – that is, when they matter most. 相似文献
4.
We study the properties of a monetary economy with an essential role for risky bank lending. Banks issue deposits and lend to entrepreneurs. Because banks׳ lending rate cannot be made contingent on aggregate shocks, and because banks face capital adequacy regulations, they require a capital buffer against loan losses. Capital adequacy regulations are modeled on the Basel-III rules, including a minimum capital adequacy ratio, an endogenous capital conservation buffer, and a countercyclical capital buffer. We find that a countercyclical capital buffer leads to a significant increase in welfare. It also reduces the need for countercyclical adjustments in policy interest rates. 相似文献
5.
We study how a bank credit crunch—a dramatic worsening of firm and consumer access to bank credit, such as the one observed over the Great Recession—translates into job losses in U.S. manufacturing industries. To identify the impact of the recent credit crunch, we rely on differences in the degree of dependence on external finance and of tangibility of assets across manufacturing industries and in the sensitivity of these industries׳ output to changes in the supply of consumer credit. We find that, for employment, household access to bank loans matters more than firm access to bank loans. In addition, we show that, over the recent financial crisis, tightening access to commercial and industrial loans and, in particular, consumer installment loans may have contributed significantly to the drop in employment in the manufacturing sector. 相似文献
6.
A number of studies sought to measure the effects of non-standard policy on bank funding markets. This paper carries those estimates a step further by looking at the effects of bank funding market stress on the volume of bank lending. By separately modeling loan supply and demand, we determine how non-standard central bank measures affected bank lending by reducing stress in bank funding markets. Our results suggest that non-standard policy measures lowered bank funding volatility in the US and the Euro Area. Lower bank funding volatility in turn increased loan supply in both regions, contributing to sustained lending activity. 相似文献
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8.
This paper shows that with limited liability banks lever up excessively to finance new loans. Lower monetary policy rates can worsen or reduce these incentives depending on the size of the shock when equity financing is ruled out. When this constrained is relaxed but the bank faces costly dividend adjustment, lower monetary policy rates always worsen risk-taking incentives and the effect is persistent. The reason is that costly dividend adjustment lowers the opportunity cost of lending. In this model, capital requirements are closer to the source of the distortion and thus work better than loan-to-value caps in reducing excessive risk taking. 相似文献
9.
《Economic Systems》2023,47(1):101057
Using data for 123 countries from 1996 to 2020, we uncover the effect of foreign-owned banks’ geographic complexity on financial fragility in the context of financial liberalization. We compute a measure of foreign-owned banks’ geographic complexity for each country from data on the affiliate network of internationally active banking institutes. The financial effects of geographic complexity may help banks improve their survival by improving their solvency. After extensive testing for the sensitivity of the results, our main findings were threefold. First, a higher degree of geographic complexity of foreign-owned banks reduces the likelihood of a bank’s default, and these effects become more pronounced in low- and lower-middle-income countries. Second, the effects of financial liberalization vary across income groups. Third, the joint effects of foreign-owned banks’ geographic complexity and financial liberalization on financial fragility vary across forms of financial liberalization. Our findings have several policy implications: first, bank supervisors should consider the presence and structure of foreign bank ownership in their assessments; second, the government should take into account the level of economic development in choosing the proper form of financial liberalization; third, the government should promote financial freedom to strengthen the role of foreign-owned banks’ geographic complexity in alleviating financial fragility. 相似文献
10.
《Economic Systems》2020,44(4):100813
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. 相似文献
11.
We analyze the quantitative importance of bank lending shocks on real activity fluctuations in Norway and the UK, using structural VARs estimated on quarterly data from 1988 to 2010. We find that an adverse bank lending shock causes output to contract, and that such shocks can account for a substantial share of output volatility. This suggests that financial intermediation is an important source of shocks. The empirical analysis comprises the Norwegian banking crisis (1988–1992) and the recent period of banking failures in the UK. However, the results are also non-trivial when omitting periods of systemic banking distress from the sample. 相似文献
12.
Within a financial- and growth-programming framework, this paper develops a policy-driven growth model and addresses the effects of World Bank lending on economic growth in a sample of 30 countries, after having controlled for the effects of key macroeconomic variables. Both static and dynamic panel estimates suggest a positive significant effect of the rate of growth in World Bank lending on economic growth, conditional on other variables, namely changes in exchange rate, domestic credit growth, and inflation. Empirical evidence also reveals the positive effect of a macroeconomic policy index in this sample of developing countries. 相似文献
13.
《Economic Systems》2015,39(3):502-517
This paper analyzes the impact of competition and concentration on bank stability in the Turkish banking industry over the period 2002–2012. The Boone indicator and the efficiency-adjusted Lerner index are used as proxies for competition, while the non-performing loans (NPL) ratio and Z-scores are used as proxies for bank stability. The main results indicate that competition is negatively related to the NPL ratio but positively related to the Z-score. The results further indicate that greater concentration has a positive impact on the NPL and a negative impact on the Z-score. We also use a quadratic term of the competition measures to capture a possible non-linear relationship between competition and stability. The results show that the coefficient of the quadratic term is negative for the NPL model and positive for the Z-score model. Overall, our findings provide support for the competition-fragility view. 相似文献
14.
李国栋 《数量经济技术经济研究》2015,(5):131-146
基于商业银行1999~2012年的面板数据,通过Boone指数揭示中国银行业贷款市场的竞争度及其变化轨迹。研究发现：银行贷款市场的平均Boone指数为-0.433,竞争度不高;虽市场集中度不断下降,但2009年后竞争度发生显著下降;“4万亿”投资刺激计划导致效率较低的国有银行增发更多贷款,是竞争度下降的主要原因。因此,宏观经济政策的制定应注意减少对银行信贷决策的干扰以促进贷款市场的充分竞争。 相似文献
15.
Looking across multiple panics of the nineteenth and twentieth centuries, this paper treats borrowing of clearinghouse loan certificates as borrowing from a lender of last resort. We evaluate individual bank use of clearinghouse loan certificates in New York City using bank balance sheet data. Bank capital ratios do not predict positive net borrowing. Lower pre-panic reserve ratios increased the probability of positive net borrowing of loan certificates. Bank borrowing behavior from a lender of last resort remained relatively constant across all three crises considered. 相似文献
16.
随着经济全球化的深化,随着我国整个金融体系开放程度的加深,任何来自国际金融市场的危机都可能对我国商业银行体系造成灾难性冲击,本文从分析银行危机跨国传染的路径着手,提出了我国防范国际金融危机传染的对策和建议,以期为我国银行体系的改革提供新的思路。 相似文献
17.
《Economic Systems》2020,44(1):100740
The reduction of non-performing loans, and making correct provisions for them, plays a primary role in the management and minimization of banking credit risk. However, these actions depend primarily upon the cost at which banks may dispose of these bad loans. Hence, this study aims to perceive the price of banks’ credit risk via estimating the shadow price of non-performing loans. We assess and compare the perceived price of the credit risk of Islamic and conventional banks operating in 9 countries from the Middle East and Asia, using a quadratic directional distance function. Following this, we evaluate the impact of different settings of directional vectors on shadow prices by conducting a risk-sensitivity analysis. Applying bootstrap regression, the factors affecting NPLs’ prices are further investigated. The paper concludes that the estimation of the shadow prices of bad loans can provide important elements in favor of credit risk management and, therefore, credit risk mitigation. 相似文献
18.
银行监督、企业社会性成本与贷款融资体系 总被引：1，自引：0，他引：1
本文从政府机构控股国有企业所造成的企业行为扭曲的角度来研究银行贷款策略组合的微观机制,即银行对国有企业和私营企业进行事前筛选的程度及贷款利率设定,并建立了关于银行贷款融资体系的微观模型和理论框架。首先,将企业社会性成本和银行监督功能(事前筛选)引入债务合同模型,说明国有企业在面临破产做清算决策时会考虑到社会破产成本,从而推导出国有企业的还款机制有别于私营企业,信息不对称条件下银行事前对贷款筛选的激励也会有所不同,并提供了一般性推导和数值解拟合分析;同时,事前筛选存在一定的反转效应,因此需要就监督效率的社会剩余价值进行权衡。 相似文献
19.
This paper examines the effects of prudential policy on loan growth in 11 Central and Eastern European banking systems, spanning the period from 2000 to 2015. Based on the measures taken by the authorities of our sample countries, we build several prudential indices. Additionally, we control for the effects of several country-specific factors and bank-specific characteristics. Finally, we test the homogeneity of these effects, accounting for cycle, ownership, and bank effects. Generally, the empirical findings reveal a negative correlation between prudential toolkits and credit growth, with a conspicuous impact for tools targeting lending activity. We see that the effects of a change in the lending framework on loan growth are heterogeneous when we account for crisis and cycle patterns. Furthermore, the interaction between ownership and crisis reveals that, in normal times, foreign banks recorded higher loan growth compared to domestic banks. The opposite is true in turbulent times. The analysis of interactions between credit-based measures and bank-specific variables show that the effects of prudential actions depend on the bank size and leverage. 相似文献
20.
This study replicates Zigraiova and Havranek's (2016) meta-analysis of banking competition and financial stability. It performs multiple types of replications: a ‘Reproduction’ replication where Z&H's data and code are verified to reproduce the results of their study; a ‘Repetition’ replication where the studies used by Z&H are independently recoded and then re-analysed; an ‘Extension’ replication where additional studies on banking competition and stability are analysed; and a ‘Robustness Analysis’ where we check Z&H's results using an alternative empirical procedure. Our analysis strongly confirms Z&H's main finding that competition in the banking sector has an economically negligible effect on financial stability. This result is consistently confirmed across a variety of replication analyses. Most impressively, we confirm their finding even when we analyse a completely independent set of 35 studies not included in Z&H's meta-analysis. Our results for Z&H's other findings are less supportive. As the first comprehensive replication of a meta-analysis, this study also provides insights into the robustness of meta-analysis. We find that meta-regression analysis, where estimated effects are related to data, estimation, and study characteristics, is sensitive to how data are coded and to the choice of estimation procedure; and that this sensitivity extends to ‘best practice’ estimates. 相似文献