Ex ante capital position,changes in the different components of regulatory capital and bank risk

We investigate the impact of changes in capital of European banks on their risk-taking behaviour from 1992 to 2006, a time period covering the Basel I capital requirements. We specifically focus on the initial level and type of regulatory capital banks hold. First, we assume that risk changes depend on banks’ ex ante regulatory capital position. Second, we consider the impact of an increase in each component of regulatory capital on banks’ risk changes. We find that, for highly capitalized, adequately capitalized and strongly undercapitalized banks, an increase in equity or in subordinated debt positively affects risk. Moderately undercapitalized banks tend to invest in less risky assets when their equity ratio increases but not when they improve their capital position by extending hybrid capital or subordinated debt. On the whole, our conclusions support the need to implement more explicit thresholds to classify European banks according to their capital ratios but also to clearly distinguish pure equity from hybrid and subordinated instruments.     

Corporate governance and efficiency in banking: evidence from emerging economies

ABSTRACT

This article investigates the impact of corporate governance on bank efficiency across a sample of 139 commercial banks from 17 countries of Central and Eastern Europe during the period 2005–2012. Data on governance characteristics are hand-collected from banks’ reports. The empirical findings indicate that implementing rigorous corporate governance structures is associated with higher costs for banks and a lower level of efficiency. However, during the crisis, a tight governance mechanism significantly increases banks’ cost and technical efficiencies. We also show that prudent risk management is associated with both higher cost and technical efficiency for more capitalized banks, while rigid supervisory boards are linked with greater technical efficiency for more capitalized banks.     

Bank size,competition and risk in the Turkish banking industry

This paper investigates the impact of bank size and competition on earnings volatility and insolvency risk using quarterly data for commercial banks operating in the Turkish banking industry for the period 2002Q1–2012Q2. The main result of the paper indicates that bank size and earnings volatility are negatively related, suggesting that larger banks are less risky. The results also indicate that competition measured by the Boone indicator increases earnings volatility. The results further suggest that higher capitalized banks, banks with a higher share of non-interest income in total income and efficient banks face lower earnings volatility. Finally, insolvency risk measured by Z-score and bank size are positively related, suggesting that larger banks are more stable.     

Charter value,risk-taking and systemic risk in banking before and after the global financial crisis of 2007-2008

ABSTRACT

We investigate how bank charter value affects risk for a sample of OECD banks by using standalone and systemic risk measures before, during, and after the global financial crisis of 2007–2008. Prior to the crisis, bank charter value is positively associated with risk-taking and systemic risk for very large ‘too-big-too-fail’ banks and large U.S. and European banks but such a relationship is inverted during and after the crisis. A deeper investigation shows that such a behaviour before the crisis is mostly relevant for very large banks and large banks with high growth strategies. Banks’ business models also influence this relationship. We find that for banks following a focus strategy, higher charter value amplifies both standalone and systemic risk for large U.S. and European banks. Our findings have important policy implications and cast doubts on the relevance of the uniform more stringent capital requirements introduced by Basel III.     

Human capital,innovation and productivity in Colombian enterprises: a structural approach using instrumental variables

ABSTRACT

In this paper we explore the R&D–innovation–productivity linkage for the Colombian manufacturing industry, paying special attention to the role of human capital. Using data from two firm-level surveys, the Survey of Development and Technological Innovation (EDIT) and the Annual Manufacturing Survey (EAM), we extend the model of Crépon, Duguet, and Mairesse [1998. ‘Research, Innovation and Productivity: An Econometric Analysis at the Firm Level.’ Economics of Innovation and New Technology 7 (2): 115–158] (hereafter CDM) by including human capital at the investment decision stage. We implement an instrumental variable methodology to correct the potential endogeneity that may arise with the inclusion of human capital. Our results suggest that human capital has a causal effect on research and development (R&D) investment decisions, the innovation behavior of the firm, and increases the labor productivity of the firm. The conclusions highlight the relevance of human capital in the surrounding literature which stands in contrast to prior work that has not included this variable.     

TROUGH TO PEAK: A NOTE ON RISK‐TAKING IN THE PACIFIC NORTHWEST'S BANKING SECTOR, 2001–2007

Using a cohort of 157 Federal Deposit Insurance Corporation insured banks based in the Pacific Northwest, this paper examines regional bank risk‐taking over the 2001–2007 economic expansion. The focus is on on‐balance sheet assets that carry a 100% risk weighting in the calculation of regulatory capital ratios. This study finds that Pacific Northwest banks significantly increased their share of 100% risk‐weighted assets between 2001 and 2007, largely through commercial real estate lending. Asset size, market concentration, age, metropolitan statistical area‐location, and balance sheet capacity for risk‐taking are statistically significant predictors of the change in the share of 100% risk‐weighted assets over the period of interest. (JEL G21, R11)     

India’s Potential Output Revisited

Estimates of potential output have been revised downward across countries in the post-crisis period. In India, the debate on potential GDP and output gap has been intensified in the wake of revision in the GDP estimates with change in base year as well as the underlying methodology consistent with international best practices. In light of these, an attempt has been made for the first time in India to estimate potential GDP and output gap on a quarterly basis by using production function approach in addition to revisiting the estimates of potential output by conventional statistical methods for the period 1980Q2–2015Q4. The findings suggest that India’s potential growth, which had accelerated to around 8 % during 2003–2008, decelerated considerably in the aftermath of the global financial crisis to about 7 % during 2009–2015, mainly due to decline in contribution of total factor productivity and deceleration in the growth of capital stocks. The estimates further suggest that output gap, i.e. the percentage deviation of actual output from its potential level, has been negative since Q3 of 2012, though the gap is closing slowly. Key to accelerate growth as well as potential output in India lies with higher level of capital formation as its contribution dominates vis-à-vis the contribution of labour and total factor productivity.

     

我国商业银行外资参股效应再研究——基于DEA模型的银行稳定性分析

文章基于我国13家商业银行2002-2009年面板数据和DEA-Malmquist生产率指数,测算了银行业全要素生产效率变动情况,揭示了外资参股对我国商业银行稳定性的影响。研究发现:(1)研究组样本银行年度效率指数总体呈上升趋势,而对照组"明星"银行则无明显变化;(2)研究组银行与对照组银行年度效率指数差值由负转正,说明外资参股比例较高的银行生产效率有明显提升;(3)对照组银行是我国的"明星"银行,其整体生产效率均值最高,其次为股份制银行组,最后为国有银行组;(4)商业银行生产效率在外资参股磨合期内出现普遍下降,但磨合期结束后有明显提升;(5)美国金融危机对我国银行业生产效率产生了显著的负面影响。     

Dynamic productivity growth and its determinants in the Indonesian food and beverages industry

ABSTRACT

This research investigates dynamic productivity growth and its determinants in the Indonesian food and beverages industry decomposing dynamic productivity growth into the contributions of dynamic technical inefficiency change, dynamic technical change, and dynamic scale inefficiency change. The empirical application employs unbalanced panel data of 44 subsectors in the Indonesian food and beverages industry over 1990–2014. To estimate dynamic productivity growth, this research uses a Luenberger indicator accounting for the presence of adjustment costs. The results show that dynamic productivity growth exhibits a decreasing trend. Dynamic technical inefficiency change and dynamic scale inefficiency change contribute positively to dynamic productivity growth, while dynamic technical change contributes negatively. Dynamic productivity growth is affected by the change in industrial concentration, the growth rate of capital intensity, the growth rate of exports, the growth rate of foreign direct investment, and location.     

Performance of Thailand banks after the 1997 East Asian financial crisis

The performance of commercial banks and government-owned specialized banks in Thailand is estimated after the 1997 East Asian financial crisis. Commercial banks exhibit increasing returns to scale, whereas government-owned specialized banks exhibit decreasing returns to scale, implying further increases in bank size and market concentration in the commercial bank sector but not for government specialized banks. Cost inefficiency varies by bank and is a function of the ratio of nonperforming loans (NPLs) to total loans, equity to total assets and liquid assets to total assets, as well as the number of branches. On average, banks with fewer NPLs, that are well capitalized and with adequate liquidity are efficient. Thus, stricter rules to regulate credit risk management and ensure capital and liquidity adequacy would enhance efficiency in the banking sector. Although estimated input substitutability appears to be low, labour and loanable fund are substitutes. However, labour and physical capital as well as physical and loanable funds are complements in commercial banks. All the three inputs of labour, physical capital and loanable funds are substitutes for the government specialized banks.     

Efficiency change,technological change and capital accumulation in Italian regions: a sectoral study

This paper examines the sources of labour productivity in the Italian regions during the period 1980–2004. Five economic sectors are investigated using data envelopment analysis (DEA) and taking into account productive specialisation and sector inefficiencies. Labour productivity change is decomposed into five components by means of Malmquist productivity indices: intra-sector efficiency change, composition efficiency change, input-biased technical change, magnitude component technical change and capital accumulation. Using bootstrap procedure, the components of labour productivity changes are statistically tested. Efficiency analysis shows that productive specialisation is not a source of inefficiency and efficiency gains can be obtained by sector-specific policies. Thus, it is possible to obtain improvements in efficiency in each sector of activity rather than reallocating resources among sectors. The results of the decomposition by sectors reveal heterogeneous sources of growth. The total economy has shown evidence of non-neutral technical change and, it has been found that agriculture, industry and construction experienced capital using technical change. The analysis of the decomposition of the labour productivity growth is complemented by an analysis of β-convergence.     

The transmission of bank capital requirements and monetary policy to bank lending in Germany

We investigate the transmission of changes in bank capital requirements and monetary policy, and their interaction, on German banks’ corporate loan growth and lending rates. Our results show that increases in capital requirements are associated with an immediate decrease in total domestic and cross‐border bank lending. Changes in the euro area's monetary policy stance are positively related to corporate loan interest rates in general. Regarding the interacting effect of national bank capital requirements and euro area monetary policy, we observe that the transmission of accommodative euro area monetary policy to corporate lending rates can be attenuated by contemporaneous increases in bank capital requirements. Moreover, more strongly capitalized banks increase their loan growth in response to accommodative monetary policy whereas, for weaker banks, increasing capital requirements implies a decrease in their corporate loan growth. Our results confirm a tradeoff between higher capital requirements and accommodating monetary policy originating from banks’ capital constraints.     

资本要求、“多而不倒” 救助与系统性风险

本文从银行之间资产回报相关性的角度研究系统性风险，通过构建理论模型考察了存在“多而不倒”救助时资本要求对系统性风险的影响，并且以11个国家（地区）2006-2012年的相关数据为样本进行实证检验。研究结果表明，一定条件下“多而不倒”救助是监管者的最优选择，然而当存在这种“事后”最优政策时，资本要求的提高可能会通过影响银行“事前”投资决策的方式扩大银行之间的系统相关性，提高系统性风险隐患。这一效应在金融自由化程度较低的国家表现得更为显著。中国的资本监管改革应注意与金融市场化改革相协调。     

Openness,growth convergence and China’s development prospects

ABSTRACT

This paper examines China’s long-term growth prospects and the potential drivers of future growth, based on cross-country productivity convergence and China’s featured demographic evolution. In a nonlinear open economy catch-up growth model, per capital GDP growth of the followers depend on that of the leading economy and time varying convergence of the relative per capita GDP. Comparable open economies of China are identified in terms of relative per capita GDP and the historical data of which are used to project China’s trajectory of productivity convergence and then the growth of per capita GDP. Projection shows China’s future GDP growth will gradually descend from 6.6–6.7% (2016–2020) to 2.6–2.7% (2046–2050) in low variant. Predictions under medium and high variants are provided as well. The importance of further opening-up domestic markets, elimination of birth control policies and accumulation of human capital in the process of promoting urbanization are highlighted and have significant implications for the economic restructuring and transformation of China.

Abbreviations: ICRG: International Country Risk Guide; IMF: International Monetary Fund     

Population,competition, innovation,and economic growth with and without human capital investment

This paper analyzes how population and product market competition (PMC) may interact with each other in affecting the pace of economic growth. The impact of a change in population (size or growth) and in the degree of PMC on productivity growth may vary depending on the presence of human versus physical capital investment, the way in which individuals may purposefully invest in human capital, the type of input used in the uncompetitive sector, the form of households’ intertemporal utility, and whether PMC (measured by the degree of substitutability between differentiated intermediates) is disentangled or not from the input shares in aggregate income. It is found that a growth model with human capital accumulation à la Lucas (J Monet Econ 22(1):3–42, 1988) and a continuum of degrees of intertemporal altruism can predict an ambiguous link between population and economic growth rates, in line with the available empirical evidence. The article also analyzes the conditions under which market structure (monopoly power) and population (size or growth) may be complementary to each other in the process of long-run economic growth.     

银行盈利的宏微观因素——对中国银行业的实证研究

This paper seeks to examine the determinants of the profitability of the Chinese banking sector during the post-reform period of 2000–2005. The empirical findings from this study suggest that all the determinants variables have statistically significant impact on China banks profitability. However, the impacts are not uniform across bank types. We find that liquidity, credit risk, and capitalization have positive impacts on the state owned commercial banks (SOCBs) profitability, while the impact of cost is negative. Similar to their SOCB counterparts, we find that joint stock commercial banks (JSCB) with higher credit risk tend to be more profitable, while higher cost results in a lower JSCB profitability levels. During the period under study, the empirical findings suggest that size and cost results in a lower city commercial banks (CITY) profitability, while the more diversified and relatively better capitalized CITY tend to exhibit higher profitability levels. The impact of economic growth is positive, while growth in money supply is negatively related to the SOCB and CITY profitability levels.      

Minimum Wages and Firm Productivity: Evidence from Vietnamese Manufacturing Firms

ABSTRACT

This paper empirically examines the minimum-wage impact on firm productivity. Using a detailed Vietnamese firm-level dataset from 2010 through 2015, the regression results suggest that firms raise their labor productivity, total factor productivity, capital intensity and revenue in response to increased minimum wage standards. Firms that pay their workers below the minimum wage react more positively in raising their labor productivity than high-wage firms. Minimum wages has had a more pronounced impact on firms’ labor productivity, total factor productivity and capital intensity since the uniform wage rate was introduced for both domestic private and foreign-invested enterprises in 2012.     

人力资本与区域全要素生产率分析

本文采用Malmquist指数分析了我国30个省级行政区1996—2003年的全要素生产率(TFP)增长,并将其分解为技术进步指数和效率变化指数。为了减少计算偏差,我们在使用承认无效率项存在的生产前沿技术的同时,引入了人力资本要素。本文的分析结果表明我国的人力资本水平增长迅速,30个省区的经济增长效率差距逐年扩大。同时我们发现在引入人力资本要素后,1996—2003年区域全要素生产率的增长得益于技术进步;如果不考虑人力资本存量,则低估了同期的效率提高程度,而高估了期间的技术进步指数。     

Capital utilization,economies of scale and technical change in the growth of total factor productivity: An Explanation of South Korean manufacturing Growth

This paper presents a method of interpreting the growth of total factor productivity, directly linking the productivity growth to key parameters of a specific cost function. It shows that the productivity index can be decomposed into effects due to (a) technical change, (b) non-constant returns to scale, and (c) change in capital utilization. The decomposition framework was applied to data on South Korean manufacturing. During the 1961–1980 period in South Korean manufacturing, the total factor productivity was found to have grown at 3% per annum, scale economies contributed about 38% of the growth of TFP, the technical change 45%, and the change in the capital utilization rate 17%. The results of this study support of the view that for growing, less-developed economies, the growth in capital utilization rate is a source of growth in total productivity that is too significant to be ignored.     

Sources of energy productivity growth and its distribution dynamics in China

The purposes of this paper are to determine the sources of energy productivity growth at the provincial level in China and to examine the relative contributions of the sources and their impacts on regional inequality. Energy productivity change is first decomposed into five components attributable to changes in capital–energy ratio, labor–energy ratio, output structure, and technical efficiency change and technological change. Then a nonparametric analysis is implemented to statistically test the relative contributions of the components and their roles in the distribution dynamics of energy productivity. It is found that (1) changes in capital–energy ratio, output structure, and technological change contribute to energy productivity growth in China, (2) increase in capital–energy ratio caused by capital accumulation is the primary driving force for energy productivity growth, and (3) capital accumulation contributes to energy productivity convergence between Chinese provinces over the time period of 1990–2005.