Determinants of credit loan securitization in Chinese banking

This paper investigates the factors that drive securitization in China using a panel dataset drawn from the financial statements of 83 commercial banks. Given the unique banking and regulatory environment in China, we consider both conventional motivations for securitization and the role of nontraditional factors, including shadow banking. Across a variety of econometric specifications, there is little evidence that banks securitize for typical reasons, including to fund liquidity, transfer credit risk, or reduce regulatory capital. We do find, however, that as banks approach limits on loan to deposit ratios, subsequent securitization activities rise. In addition, robust evidence is presented to show that high levels of nontraditional banking activities precede a decision to securitize. As there is little evidence to suggest that shadow banking activities are receding, the overall findings indicate that banks may be using securitization to mitigate regulatory risk.     

Meltdown Iceland: Lessons on the World Financial Crisis from a Small Bankrupt Island

The paper reports that no statistically significant empirical relationship can be shown between total bank credit and the US broad money supply in the period after 1995. It argues that the growing prevalence of non-bank deposits in the form of mutual money market funds and asset securitization are the main culprits for this result. Prior to financial liberalization, the connection between total bank credit and broad money supply was simple enough: new bank deposits were created when banks made loans and were extinguished when loans were paid back. In banks' consolidated balance sheet, total deposits made up total liabilities and were basically equal to the broad money supply. However, in the age of financial liberalization not all deposits bank loans created returned as deposits, whether in banks or non-banks, as deposits could be swapped for non-deposit liabilities without a corresponding draw down on the asset side. Moreover, loans could be extinguished in banks' balance sheets through asset securitization.     

The bank lending channel of unconventional monetary policy: The impact of the VLTROs on credit supply in Spain

We assess the impact on the credit supply to non-financial corporations of the two very long term refinancing operations (VLTROs) conducted by the Eurosystem in December 2011 and February 2012 for the case of Spain. To do so we use bank–firm level information from a sample of more than one million lending relationships during two years. Our methodology tackles three main identification challenges: (i) how to disentangle credit supply from demand; (ii) the non-random assignment of firms to banks; (iii) the endogeneity of the VLTRO bids, as banks with more deteriorated funding conditions were more likely both to ask for a large amount of funds and to restrain credit supply. Our findings suggest that the VLTROs had a positive moderate-sized effect on the supply of bank credit to firms. We also find that the effect was greater for illiquid banks and that it was driven by credit to SMEs, as there was no impact on loans to large firms. By contrast, strong firm–bank relationships were less sensitive to the positive liquidity shock caused by the VLTROs, which is consistent with the studies that find that relationship lending is a more stable source of credit than transaction lending. Finally, the VLTROs had no impact on either the degree of loan collateralisation or the probability of making loans to new borrowers, while they decreased the probability of renewing old ones, which suggests that those funds were not used for loan “evergreening”.     

论国有商业银行不良资产证券化技术的运用和推广

不良资产证券化是一种已经被国际经验证明的大规模处置不良资产的技术和手段。商业银行通过实施资产证券化能够将其不良资产以"真实出售"的方式转移到资产负债表外,使其风险加权资产减少,从而在不增加资本的情况下提高资本充足率。在中国,实施不良资产证券化还有助于国有商业银行提高自身的综合经营能力和积累市场化资本运作经验。本文正是从这一角度对不良资产证券化的技术要领进行了深入的探讨,力图从证券化产品的角度分析影响不良资产证券化的主要因素以及如何在不同市场条件下,运用和推广不良资产证券化的核心技术即不良资产证券化交易结构的选择和设计。     

The role of banks in the Czech monetary policy transmission mechanism

With this work, I aim to enrich the knowledge about the monetary policy transmission mechanism in the Czech Republic with empirical evidence on the impact of monetary policy on bank lending. Using a panel of quarterly time series for Czech commercial banks for the period 1996–2001, I study the overall effect of monetary policy changes on the growth rate of loans and the characteristics of the supply of loans. The characterization of the credit market's supply side allows us to make inferences on the operativeness of the credit channel (the bank lending channel and the broad credit channel) of the monetary transmission mechanism. I find that changes in monetary policy alter the growth rate of loans, with considerably stronger magnitude in the period 1999–2001 than in the period 1996–1998. From the analysis intended to capture the characteristics of the supply of loans, I conclude that the lending channel was operative in the period 1996–1998: I find cross‐sectional differences in the lending reactions to monetary policy shocks due to the degree of capitalization and to liquidity. For the subsequent period 1999–2001, the results also show distributional effects of monetary policy due to bank size and its bank's proportion of classified loans. In the context of steadily decreasing interest rates, this can bolster the supposition of financial frictions between borrowers and lenders and hence, that of an operative broad credit channel.     

ARE LAC COOPERATIVE AND COMMERCIAL BANKS SO DIFFERENT IN THEIR MANAGEMENT OF NON‐PERFORMING LOANS?

This paper assesses technical efficiency in the management of non‐performing loans (NPLs) in the Latin American and Caribbean (LAC) banking industry. To that end, Data Envelopment Analysis techniques are employed with data from the years 2013 to 2016 on a sample of 307 LAC cooperative and commercial banks. Our main contribution to existing literature is that differences of efficiency between cooperative banks and commercial banks are assessed as the result of the different capacities of their managers – managerial efficiency – and the so‐called programme efficiency, which represents differences in the technology used by these two categories of entities. Our principal result suggests that the technology used by cooperative banks in the management of NPLs is more efficient than the technology of commercial banks.     

Bank ownership type and temporal evolution of long‐term bank funding in the period 2005–2017

This study uses a large panel dataset of Western European banks to examine the determinants of bank funding stability. Banks are divided into three categories by bank ownership type; the ownership types in this study are commercial banks, cooperative banks and savings banks. Three sources of stable bank funding are investigated: customer deposits, equity, and long‐term liabilities. Furthermore, the sum of these funding components is used as a proxy variable for a bank's total available stable funding (ASF). A special focus is on the temporal evolution of these funding types. The regression results show that commercial banks’ funding became much more stable in the period 2005–2017. However, that funding remains, on average, less stable than does cooperative and savings banks’ funding. In addition, funding stability has remained at the pre‐crisis level in cooperative and savings banks, despite a steep dip in cooperative banks’ ASF during the sovereign debt crisis. Furthermore, banks substantially decreased financing from long‐term liabilities after the financial crisis, replacing it with customer deposits and equity.     

Bank loan supply shocks and leverage adjustment

We investigate the effect of bank loan supply shocks on firms’ leverage adjustment. We show that the impact of bank shocks is larger for firms with greater dependence on financially troubled banks. We measure firms’ pre-crisis loan dependence on troubled banks by using matched firm–bank loan data. Using the boom-bust cycle from 1987 to 2014 in Japan as a quasi-experiment, we find that financially constrained firms adjust their leverage slower during credit-crunch periods than during other periods. During credit-crunch periods following banking crisis, firms associated with failing banks or with banks that have a limited capacity to supply loans show a slower adjustment than other firms. Bank shocks have significant effects on small firms’ adjustment but not on that of large firms. These results are robust when we consider demand-side effects and perform other robustness tests. Our results imply that bank shocks have a persistent effect on borrowers’ leverage.     

SOME NEW EVIDENCE ON COMPETITION IN PAYDAY LENDING MARKETS

A critical question in the policy debate about payday lending is whether other financial institutions can plausibly provide attractive and lower‐priced substitutes for standard payday loans. I present several new pieces of evidence addressing the question, focusing on whether credit unions, which are often held as the strongest potential competitors to payday lenders, do (or might) viably compete in the payday loan market. National payday loan offerings by credit unions show that very few credit unions currently offer payday loans. Credit union industry reports suggest that those credit unions offering such loans seem unwilling or unable to undercut substantially the prevailing prices set by payday lenders. Those industry reports also reveal that lower‐priced credit union loans generally ration riskier borrowers out of the market by imposing greater restrictions on approval and repayment; risk‐adjusted prices for credit union payday loans may not be lower at all. Survey evidence suggests that most current payday borrowers prefer higher‐priced but less restrictive standard payday loans to lower‐priced but more restrictive alternatives offered by credit unions. The combined demand‐ and supply‐side evidence suggests that one should not expect credit unions (or by extension banks) to offer lower‐priced, higher‐quality alternatives for consumers who currently use payday loans. (JEL G2, L0, L5)     

BANK PERFORMANCE,FINANCIAL STABILITY AND MARKET CONCENTRATION: EVIDENCE FROM COOPERATIVE AND NON‐COOPERATIVE BANKS

Relying upon highly territorially disaggregated data taken at labour market areas, the paper explores the relationship between bank performances and financial stability of the banking system taking into account the role of market concentration. The z‐score is used as financial stability indicator, while the performance of financial intermediaries is measured using a parametric method recently developed (Kumbhakar et al. 2014). The empirical evidence shows a positive relationship between bank performance and financial stability and supports the ‘concentration–stability’ view for non‐cooperative banks only when concentration is measured on the whole sample of banks. Differences in the performance–stability nexus seem to depend more on the type of banks rather than different levels of market concentration. Higher market concentration of cooperative banks affects systemic stability by reducing the z‐scores of non‐cooperative banks, supporting the hypothesis that the presence of non‐profit‐maximizing entities can pull down stability of other financial institutions.     

Reconciling different truths about isomorphic pressure and distinctive behavior at European cooperative banks: Back to the future with Raiffeisen's principles

This article employs a new approach to address a key question in an expanding literature on European cooperative banks: are they still distinctive and sources of social innovation or did they suffer from organizational isomorphism throughout their history? First, we go back to the time when Friedrich Wilhelm Raiffeisen (1818–1888) formulated his principles for the forerunners of many contemporary cooperative banks. Subsequently, we identify areas where major adaptations to the archetypical model of cooperative banks have taken place or are still taking place today. We integrate a detailed explanation of the backgrounds and motivations of these steps with an analysis of isomorphic consequences and loss of distinctiveness that have allegedly emanated from these adjustments. Against the latter common opinion, we place an equally well‐founded dissenting view and formulate recommendations to stay on or return to the cooperative track. Thus, we reconcile conflicting assessments in scientific publications and present a balanced view on the current peculiarity of cooperative banks, substantiated by up‐to‐date figures. With the economic disruption caused by the coronavirus outbreak, we argue that, now more than ever, cooperative banks could demonstrate their solidarity, long‐term orientation and local anchoring—namely bringing Raiffeisen's principles back to the future.     

Financial institutions and the financial crisis in East Asia

This paper investigates institutional reasons for the soft-budget constraint problem; and how the soft-budget constraint problem creates conditions which may result in a financial crisis. As a consequence of soft-budget constraints, bad projects do not stop; bad loans accumulate; and banks and depositors do not receive bad news on time. Poorly informed depositors are then likely to herd to overinvest when there is no bankruptcy (`frenzy'); and they are likely to herd to panic when bankruptcy occurs (`crash'), which may be the result of excessive bad loans that are also a consequence of soft-budget constraints. In contrast, under hard-budget constraints information is disclosed quickly regarding liquidation. Better-informed investors are then less likely to herd wrongly.     

COMPARATIVE EFFICIENCY BETWEEN COOPERATIVE,SAVINGS AND COMMERCIAL BANKS IN EUROPE USING THE FRONTIER APPROACH

We test competing hypotheses concerning the comparative behavior of shareholder‐owned commercial banks and stakeholder‐orientated cooperative and savings banks in European banking. One hypothesis is that the risk culture and business models of stakeholder and shareholder‐owned banks have become more alike and so cost efficiency has converged between bank ownership structures. The alternative hypothesis suggests that institutional differences do matter and lead, amongst other things, to variation in network effects and monitoring mechanisms producing differing behaviors and efficiency outcomes. By using a novel panel data set of 521 European banks during 1994–2010, we find: (i) mean inefficiency scores vary by ownership type and are lower for cooperative banks than for commercial and savings banks; (ii) there is a large variation in inefficiency scores among banks within each ownership type but the lower variance for cooperative banks indicates that they are the most homogeneous group; (iii) the inefficiency distribution of savings and commercial banks appear to arise from the same distribution, but this does not hold for cooperative banks. As such our findings are more consistent with the alternative hypothesis. Our first two findings buttress those studies that found significant differences between European banks with differing ownership structures, while our third finding on the significance of the cycle to the distribution of inefficiency is novel.     

From housing bust to credit crunch: Evidence from small business loans

This paper provides evidence that the 2007–2009 housing bust in the United States precipitated a “credit crunch” for small businesses. To remove demand‐driven correlations, we rely on within‐city comparisons. We ask whether banks whose mortgage portfolios were more heavily weighted in harder‐hit cities cut back lending to a greater extent in all cities where they make small business loans, relative to other banks in those cities. The evidence is consistent with a credit crunch. Large banks reacted with heavier cuts, but consistent evidence is also found among smaller banks. Quantitatively, the detected contribution to the overall decline in lending from the crunch appears modest.     

INTERNATIONAL CREDIT CHANNEL OF MONETARY POLICY: AN EMPIRICAL NOTE

A longstanding macroeconomic issue is how monetary policy affects the real economy. There are economists placing an emphasis on the role of bank lending in monetary transmission. Their view, called the credit view, is that a monetary tightening shifts the supply schedule of bank loans left, thereby forcing bank‐dependent borrowers to cut back on expenditures. In the literature, the credit view is typically studied in a closed‐economy context. In reality, however, banks make international loans through their overseas branches and subsidiaries. This suggests that the credit view should be studied in an open‐economy context. This paper proposes the international credit view: a monetary‐policy shock originated in one country propagates to another through banks’ reallocation of funds between the two countries. For testing the hypothesis, Australia and New Zealand provide an excellent case to study. This is because Australian‐owned banks dominate the banking market in New Zealand. This paper aims to test the international credit view within a framework of vector auto‐regression models. A significant and robust finding is that the supply schedule of loans shifts left in New Zealand after a monetary tightening in Australia.     

Bank versus nonbank financial institution lending behaviour: indictors of firm size,risk or ownership?

Using 1251 matched commercial loan deal terms of listed companies over the period 2003–2014, we examine the heterogeneity of lending behaviours of bank and nonbank financial institutions. The results show that large firms have a higher likelihood of getting loans from nonbank financial institutions. Compared to banks, nonbank financial institutions are more likely to provide credit help to high operation risk firms. State-owned listed firms have a higher probability to get finance from nonbank financial institutions than private firms, which highlights the situation that private firms are in a weak position to get credit help from China’s financial system. Moreover, the process of increasing the banks’ noninterest income ratio tends to drives firms to borrow from nonbank financial institutions.     

WHAT CAUSES THE EFFICIENCY AND THE TECHNOLOGY GAP UNDER DIFFERENT OWNERSHIP STRUCTURES IN THE CHINESE BANKING INDUSTRY?

This paper estimates and compares the cost efficiency of the Chinese banking industry among different ownership types for the period 2003–2014, using the stochastic metafrontier model. We find that foreign banks have the lowest cost frontier, while state‐owned commercial banks undertake the least sophisticated technology. Moreover, the results of the upward trend in the technology gap ratio (TGR) and in metafrontier cost efficiency support that a more open financial market is able to enhance banking efficiency. As for the role of environmental conditions, off‐balance sheet items, non‐performing loans, and financial market structure significantly impact the TGRs of different bank types. (JEL C51, G21, D24)     

关于城市建设贷款证券化的可行性研究

近年来,城市化进程的加快导致城市基础建设贷款的迅速增长,而不断扩大的贷款规模与有限的地方政府财力之间的矛盾日益突出,其中存在的潜在风险也越来越引起人们的关注。笔者运用国外成熟资产证券化原理,试图探索城市建设贷款证券化(财政—银行—证券)这样一种新型的基础设施投融资方式,建立"政府入口、金融孵化、资本市场出口"的机制,把政府的组织优势与银行的融资优势结合起来,有效地发挥金融机构连接政府和市场的桥梁与纽带作用,为解决我国目前城镇化进程加快与地方政府财力有限的矛盾探索一条合理有效的途径。     

The Presence of Multinational Banks and the Supply and Quality of Credit in Emerging Economies

Barriers to entry for multinational banks (MNBs) have been reduced in many countries. This paper studies the effect of the presence of MNBs on the supply and quality of credit in emerging economies. This study uses data from the Bank for International Settlements and the International Monetary Fund. The results indicate that the credit supply declines in response to increased competition from MNBs. However, the adverse effect of MNBs on the credit supply is less pronounced when the presence of MNBs is larger. The paper also provides some tentative results on the effect of MNBs on the quality of loans. The results suggest that banks shift their portfolios away from loans as a result of increased international financial competition, thereby reducing default risk, which is also reflected in a negative relationship between MNB presence and the chance of a banking crisis occurring.     

货币政策对金融生态的影响机理及实证检验——基于上市商业银行面板数据的分析

传统的货币理论忽视了货币政策对银行风险承担及金融生态的影响,文章从商业银行的微观视角出发研究了货币政策对金融生态的影响机理。理论层面,金融生态与货币政策制度供给、传导机制和有效性相互关联,货币政策则通过资产价格或估值机制、收入及现金流机制、追求收益机制、杠杆调整机制、道德风险机制和风险转移机制影响商业银行的风险承担;实证层面,构建了货币政策影响商业银行信贷投放和风险承担的数理模型,选取国有和股份制两类共12家上市商业银行2008-2013年的面板数据进行固定效应模型实证检验。结果表明,宽松货币政策导致商业银行的信贷投放规模增加、风险承担意愿增强,有利于优化金融生态,反之则反是;国有商业银行对货币政策变化更敏感,而股份制商业银行对金融生态更敏感。因此,在我国宏观经济管理中,需要货币政策与宏观审慎政策相互协调配合。