The U.S. and Irish credit crises: Their distinctive differences and common features

Although the 2007–2008 US credit crisis precipitated it, the subsequent Irish credit crisis is an identifiably separate one, which might have occurred in the absence of the U.S. crash. The distinctive differences between them are notable. Many of the apparent causal factors of the U.S. crisis are missing in the Irish case; and the same applies vice versa. At a deeper level, we identify four common features of the two credit crises: capital bonanzas, asset price bubbles, regulatory imprudence, and moral hazard. The particular manifestations of these four “deep” common features are quite different in the two cases.     

银行垄断与银行危机

银行垄断不必然产生无效率,更不用说银行危机了。但是这一状况却出现在我国的四大专业银行上。在这篇文章里,作者指出,由于我们在国有银行作用定位上的错误,强使它们承担了许多本不属于它们的社会和政治的义务,从主观和客观两方面确定了其垄断地位,因此产生了许多严重的问题,如资本金不足,技术上的破产等,尤其是潜在的银行危机。     

Evaluating the effectiveness of the new EU bank regulatory framework: A farewell to bail-out?

In response to the economic and financial crisis, the EU has adopted a new regulatory framework of the banking sector. Its central elements consist of new capital requirements, the single rulebook, and rules for bank recovery and resolution. These legislations have been adopted to reduce the call for government bail-out of distressed banks in future crises.The present study performs a detailed quantitative assessment of the reduction in public finance costs brought about by the introduction of these rules. We use a microsimulation portfolio model, which implements the Basel risk assessment framework, to estimate the joint distribution of bank losses at EU level. The approach incorporates the complete safety-net set up in EU legislation to absorb these losses, explicitly modelling enhanced Basel III capital rules, the bail-in tool and the resolution funds.Using a near-full sample of commercial, cooperative and savings banks in the EU, we quantify the cumulative effects of this safety-net and the contribution of each individual tool to the total effect. Considering a crisis of a similar magnitude as the recent one, our results show that potential costs for public finances decrease from roughly 3.7% of EU GDP (before the introduction of any new tool) to 1.4% with bail-in, and finally to 0.5% when all the elements we model are in place. This latter amount is very close to our estimate of leftover resolution funds and the size of the Deposit Guarantee Scheme.This exercise extends the quantitative analyses performed by the European Commission in its Economic Review of the Financial Regulation Agenda by developing additional scenarios, crucial robustness checks, simulations for different annual data vintages, and by implementing some methodological improvements.     

The long-term effects of bank recapitalization: Evidence from Indonesia

Do government-sponsored bank recapitalization programs spur lending and reduce risk? This paper assesses the impact of Indonesia’s bank recapitalization program on lending and bank risk following the Asian financial crisis of 1997. Using unique bank-level data, difference-in-differences estimates suggest that recapitalization increased lending (and more so for larger banks), but also boosted bank risk in the long term. Results remain robust to considerations of (1) bank-level differences in political connections, business group affiliation, ownership type, and (2) changes in macroeconomic conditions, capital requirements, accounting regulations, and public credit registry availability.     

Evergreening in banking

In the dynamic model of banking, a bank's option to hide its loan losses by rolling over non-performing loans is shown to worsen moral hazard. Contrary to the classic theory, moral hazard may arise even when a bank cannot seek a correlated risk for its loans. The loans seem to be performing and the bank makes a profit although it is de facto insolvent. When the bank's balance sheet includes hidden non-performing loans, the bank may optimally shrink lending or gamble for resurrection by growing aggressively. To eliminate this type of moral hazard, which is broadly consistent with evidence from emerging economies, a few regulatory implications are suggested.     

改进我国银行业人力资本投资与使用的思路设计

我国银行业人力资本投资及使用状况不甚理想,当前应从投资意识、投资方式、个人投资激励机制、人力资本使用等几方面进行改进。     

Explaining banking stability in Sub-Saharan Africa

The study examined banking stability in Sub-Saharan Africa. The results reveal that banking spread (Net Interest Margin – NIM) is the main determinant of stability and the major means to achieve stability during crises periods. We however find the existence of a threshold effect in NIM.Crises in the banking sector consistently showed to reduce stability. While the results show that high percentage of foreign banks reduce stability, we find foreign banks help stabilize the banking sector in periods of crises. The results show that diversification could also have a positive impact on stability (Z-score) even though this relationship was not robust enough. The results also largely support the competition-fragility view. Particularly, we find that less competition during crises periods can help improve stability. Again, we find evidence for both concentration-stability and concentration-fragility hypotheses depending on the stability measure used. We however find that when large banks in concentrated markets are well regulated, stability could be improved. Weak regulatory environment reduces stability (Z-score) directly and matters during crises periods. Our results are robust to the use of different indicators of stability and estimation methods.     

Aggregate liquidity shortages, idiosyncratic liquidity smoothing and banking regulation

This paper develops a model of banking fragility driven by aggregate liquidity shortages. Inefficiencies arise from a failure of the interbank market to smooth the available liquidity in such a shortage. We find that a standard lender of last resort policy is ineffective in restoring efficiency as it leads to offsetting changes in the banks’ supply of liquidity. In contrast, subsidizing the purchase of assets from troubled banks increases welfare by improving the banks’ liquidity holdings. The first best, however, is achieved by redistributing existing liquidity from healthy to troubled banks in a crisis.     

What is the systemic risk exposure of financial institutions?

I compare the performance of three measures of institution-level systemic risk exposure — Exposure CoVaR (Adrian and Brunnermeier, 2016), systemic expected shortfall (Acharya et al., 2016), and Granger causality (Billio et al., 2012). I modify Exposure CoVaR to allow for forecasting, and estimate the ability of each measure to forecast the performance of financial institutions during systemic crisis periods in 1998 (LTCM) and 2008 (Lehman Brothers). I find that Exposure CoVaR forecasts the within-crisis performance of financial institutions, and provides useful forecasts of future systemic risk exposures. Systemic expected shortfall and Granger causality do not forecast the performance of financial institutions reliably during crises. I also find, using cross-sectional regressions, that foreign equity exposure and securitization income determine systemic risk exposure during the 1998 and 2008 crises, respectively; financial institution size determines systemic risk exposure during both crisis periods; and executive compensation does not determine systemic risk exposure.     

中国银行业隐性存款保险与资本充足监管机制下的联合效率分析

作为当代银行监管的重要手段,存款保险和资本充足率的重要性不言而喻,前人对于两者各自的监管效果及用途研究得已比较透彻,但对两者间的相关性和共同作用研究明显不足,本文在回顾前人研究的基础上,通过创造性地构建两者之间相关性的模型,得出了监管者如何选定适当的资本充足率监管水平使得银行在信贷过度冒险行为与过度审慎之间找到均衡,增进社会福利。同时结合当前中国隐性存款保险的实际背景,运用计算机仿真和曲线拟合进行实证,得出存在最优的资本使得社会福利最大化,在满足社会福利最大化的条件下,监管资本最佳与资本补充的外生成本两者不可得兼的重要结论。     

商业银行资本金补充机制研究

本文在<巴塞尔协议Ⅲ>要求的基础上,分析了我国各类商业银行所面临的资本金和资本结构约束.研究表明,中国银行业面临的资本约束同欧美银行业存在明显差异,我国商业银行应在遵守新资本协议的基础上丰富核心资本,规范利用附属资本,优化资本金结构.