银行资本缓冲的逆周期行为分析——来自中国上市银行的经验证据

国际金融危机的爆发引起了人们对银行资本缓冲经济周期行为更为广泛的关注。本文构建动态面板数据模型对银行资本缓冲与经济周期及相关决定性因素的关系进行估计。研究结果表明,2002-2009年,中国上市银行资本缓冲具有逆周期行为,该特征并未因商业银行产权性质不同而存在显著差异,其主要来源于银行资本金及风险加权资产与经济周期之间显著相关性的共同作用,政府注资、上市融资等资本补充渠道是短期内提高银行资本缓冲的重要外源途径,建立市场化的长效资本金补充机制、确定适度的资本缓冲区间是后金融危机时代我国监管当局和商业银行的重点议题。     

Cyclical behavior of the financial stability of eurozone commercial banks

In light of the financial crisis and the European sovereign debt crisis, we investigate the cyclical behavior of the financial stability of banks of the Eurozone, using an unbalanced dynamic panel of 722 commercial banks covering the period 1999–2013, and the generalized method of moments system. We find a negative relationship between business cycle and bank risk-taking, indicating that financial stability is procyclical. In addition, the study shows that lending activity increases risk-taking while rising capital requirements boost financial stability. Moreover, our findings suggest positive co-movements between the business cycle and lending, compared to bank's capital, whereby the procyclicality of lending and bank capital have negative effects on the financial stability of commercial banks in the Eurozone. We notice then that the cyclical behavior of commercial banks, in terms of capital requirements and lending activities, depends on their size. Therefore, lending and capital of smaller banks are procyclical while lending and capital of larger banks are countercyclical. Finally, we find the Troika institutions’ bailouts programs significantly impacted banking stability in the Eurozone.     

Business cycle and bank lending procyclicality in a dual banking system

The paper studies bank lending behaviour over the business cycle in a dual banking system, Malaysia, with the objective of ascertaining whether Islamic banks have a role in stabilizing credit. The study makes use of unbalanced panel data of 21 conventional banks and 16 Islamic banks covering mostly the period 2001–2013. Applying dynamic GMM estimators, we find the aggregate loans by banks to be pro-cyclical in conformity with existing studies. However, when we segregate the lending/financing behaviour of conventional and Islamic banks, the cyclicality of bank lending seems to be true only for conventional banks. As for the Islamic banks, the business cycle does not seem to affect their financing decisions. Indeed, there is indication that the Islamic banks in general and the full-fledged Islamic banks in particular can even be counter-cyclical in their financing decisions. This conclusion is fairly robust to a different loan measure, alternative model specifications, and to an alternative business cycle measure. Hence, our results provide further support to the “stability” view of the Islamic banks in that they have the ability to stabilize credit.     

Commercial bank ownership and performance in China

This study examines the determinants of bank performance based on proxy variables that assess the quality of assets, profitability, liquidity and overall performance. Using a sample of 111 Chinese commercial banks over the period of 2000–2012, we find that foreign banks appear to have better asset quality and overall performance although lower profitability compared to domestic banks. In contrast, the state-owned banks tend to be more profitable and have better liquidity position compared with other domestic banks and foreign banks. At bank level, equity/liability ratio exerts significant influence on overall bank performance, while at the macroeconomic level, per capital GDP, GDP growth, inflation and unemployment rates appear to have a bearing on bank performance.     

Banking business models and risk: Findings from the ECB's comprehensive assessment

We use the results of the ECB's comprehensive assessment to evaluate the importance of the bank business model on risk assessment and the persuasive effectiveness of different supervisory styles on banks’ recapitalization. Our analysis reveals inconsistencies in the information content provided by the various regulatory measures used for assessing bank stability. Moreover, opposite to CET1 ratio, the leverage ratio provides assessments on business models more consistent with a market-based measure of bank risk exposure and Z-SCORE. Accounting for several control variables both at the bank and country level, we also find evidence that the effectiveness of the supervisory action depends on the specific type of supervisory model. In particular, countries adopting the hybrid model seem more effective in persuading banks to recapitalize preventively. Differently, countries adopting the integrated and the sectorial model seem less effective in their requests.     

Basel II procyclicality: The case of South Africa

This paper studies the impact of bank capital regulation on business cycle fluctuations. In particular, we study the procyclical nature of Basel II claimed in the literature. To do so, we adopt the Bernanke et al. (1999) “financial accelerator” model (BGG), to which we augment a banking sector. We first study the impact of a negative shock to entrepreneurs' net worth and a positive monetary policy shock on business cycle fluctuations. We then look at the impact of a negative net worth shock on business cycle fluctuations when the minimum capital requirement increases from 8 percent to 12 percent. Our comparison studies between the augmented BGG model with Basel I bank regulation and the one with Basel II bank regulation suggest that, in the presence of credit market frictions and bank capital regulation, the liquidity premium effect further amplifies the financial accelerator effect through the external finance premium channel, which, in turn, contributes to the amplification of Basel II procyclicality. Moreover, under Basel II bank regulation, in response to a negative net worth shock, the liquidity premium and the external finance premium rise much more if the minimum bank capital requirement increases, which, in turn, amplify the response of real variables. Finally, small adjustments in monetary policy can result in stronger response in the real economy, in the presence of Basel II bank regulation in particular, which is undesirable.     

What impact do differences in financial structure have on the macro effects of bank capital requirements in the United States and Australia?

We investigate the influence of jurisdictional differences in financial structure on the economic consequences of bank capital regulation. We use two disaggregated financial computable general equilibrium models to compare the impacts of identical increases in bank capital adequacy ratios in the U.S. and Australia. In both models, this raises bank equity financing shares, and lowers banks’ risk-weighted asset holdings. Thereafter however, differences in financial structure drive contrasting outcomes: in the U.S., average costs of capital fall, stimulating real investment, while we find the opposite outcome for Australia. We attribute this to differences in the structure of bank assets (U.S. banks hold more risk-free assets) and the importance of banks as intermediaries (bank finance is more important to capital formation in Australia). This may explain why capital regulations encompass non-banks in the U.S. but not Australia.     

Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies?

We examine whether the enforcement of bank capital asset requirements (CARs) curtailed the supply of credit in emerging economies. Preliminarily, we identify 16 emerging economies that – according to official and impartial reports – enforced the 1988 Basel standard during the 1990s. Then we perform our twofold econometric analysis. In the former part, we use macro data to test whether, controlling for economic fundamental variables, the enforcement brought about a slowdown in aggregate credit in these countries vis-a-vis other emerging economies. We find some support for our hypothesis. In the latter part, we employ individual bank data to better identify the 'capital crunch' effect of the enforcement. Here, we find that CAR enforcement – according to the 1988 Basel standard – significantly curtailed credit supply, particularly at less well-capitalized banks. The two empirical parts together suggest that the CAR enforcement did curtail aggregate credit in the examined emerging countries and that this result is rooted in the attempt by under-capitalized banks to reduce their loans. We argue that among developing countries – where banks are often the only source of financial intermediation – the positive effect of higher capital requirements, represented by the reduction of poor quality lending, may be offset by their negative impact on bank liquidity and on the level of economic activity. Hence, our results suggest that particular care is required to avoid potential negative macroeconomic effects when phasing in new and higher capital requirements in emerging economies.
(J.E.L.: G18, G21, G28)     

Bank overall financial strength: Islamic versus conventional banks

A number of recent studies compare the performance of Islamic and conventional banks with the use of individual financial ratios or efficiency frontier techniques. The present study extends this strand of the literature, by comparing Islamic banks, conventional banks, and banks with an Islamic window with the use of a bank overall financial strength index. This index is developed with a multicriteria methodology that allows us to aggregate various criteria capturing bank capital strength, asset quality, earnings, liquidity, and management quality in controlling expenses. We find that banks differ significantly in terms of individual financial ratios; however, the difference of the overall financial strength between Islamic and conventional banks is not statistically significant. This finding is confirmed with both univariate comparisons and in multivariate regression estimations. When we look at the bank financial strength within regions, we find that conventional banks outperform both the Islamic banks and the banks with Islamic window in the case of Asia and the Gulf Cooperation Council; however, Islamic banks perform better in the MENA and Senegal region. Second stage regressions also reveal that the bank overall financial strength index is influenced by various country-specific attributes. These include control of corruption, government effectiveness, and operation in one of the seven countries that are expected to drive the next big wave in Islamic finance.     

The interaction between bank solvency and funding costs: A crucial effect in stress tests

This paper presents new evidence on the empirical relationship between bank solvency and funding costs. Building on a newly constructed data set drawing on the supervisory data of 54 large banks from six advanced countries over 2004–2013, we use a simultaneous equation approach with panel data to estimate the contemporaneous interaction between solvency and funding costs. Our results and test statistics show that these two are (a) determined simultaneously and (b) more pronounced than suggested by the existing empirical literature. A 100‐bps increase in regulatory capital ratios is associated with a decrease of bank funding costs of about 113 bps. A 100‐bps increase in funding costs reduces regulatory capital buffers by 48 bps. Applying our estimation results to the 2014 EU‐wide stress test reveals that neglecting the solvency‐funding cost nexus leads to the systematical and significant underestimation of the impact of shocks on bank capital ratios.     

Determinants of income diversification: evidence from Chinese banks

This article presents an analysis of the determinants of Chinese commercial banks’ income diversification decisions. Using a panel dataset comprising 88 Chinese domestic banks from 2003 to 2010, we find that bank diversification reflects a variety of managerial abilities: insolvency risks, cost, capital position, asset scale and ownership structure. A larger ratio of banking assets to gross domestic product and lower interest spread lead to a higher level of diversification. Moreover, national banks and regional banks have different strategic responses to the macroeconomic, and indeed, regulatory environment. Resisting shocks from the banking sector and the macro economy, and supplementing liquidity shortages from intermediation business seem to be the driving forces of national banks to operate in non-banking sectors.     

The Mises-Hayek business cycle theory,fiat currencies and open economies

This paper extends the Mises-Hayek business cycle theory to open economies with fiat currencies. I explore: (1) the problem of domestic versus international monetary policy with fiat currencies in an international setting. (2) How the feedback effects between central banks in the context of an expansionary monetary contributes to extend and transmit a Mises-Hayek business cycle from big economies to small financially integrated economies. I find that a lengthening of the period of production is not the only effect produced on the capital structure, but also a misallocation of capital goods between the production of tradable and non-tradable goods and services and that business cycles can become more severe when there are open economies with fiat currencies.     

Intellectual capital and firm performance: evidence from Indian banking sector

In the aftermath of the 2008 financial crisis, the entire Indian banking industry was paralysed and their performance was shattered by the unfolding of enormous cases of Non-performing Assets (NPA). The study estimates the operating efficiency of 40 Indian banks for 5 years (2011–15) as a proxy of performance measure using the output-oriented DEA-BCC model. We find that nearly 62% of the state-owned banks and 47% of the private banks are inefficient indicating that the inefficient banks need to reduce their inputs or improve their output to become efficient. The study further investigates the relationship between intellectual capital (IC) and bank performance using a truncated regression model. The regression results show that out of the three components of intellectual capital, only human capital efficiency is positively and significantly associated with operational efficiency while structural capital and finance capital have a negative impact on the efficiency of banks. The study concludes that to achieve competitive edge banks should invest in their human capital. The results are robust in the case of financial variables taken as a proxy for performance.     

Bank diversification and monetary policy

Using bank-level data in Asia, we examine the relationship between the effectiveness of monetary policy and the business diversification of banks. We find that bank diversification enhances the effect of monetary policy.     

Shocks to bank capital: evidence from UK banks at home and away

This article assesses how shocks to bank capital may influence a bank's portfolio behaviour using novel evidence from a UK bank panel data set from a period that predates the recent financial crisis. Focusing on the behaviour of bank loans, we extract the dynamic response of a bank to innovations in its capital and in its regulatory capital buffer. We find that innovations in a bank's capital in this (precrisis) sample period were coupled with a loan response that lasted up to 3 years. The international presence of UK banks allows us to identify a specific driver of capital shocks in our data, independent of bank lending to UK residents. Specifically, we use write-offs on loans to nonresidents to instrument bank capital's impact on UK resident lending. A fall in capital brought about a significant drop in lending in particular, to Private Nonfinancial Corporations (PNFC). In contrast, household lending increased when capital fell, which may indicate that, in this precrisis period, banks substituted into less risky assets when capital was short.     

银行竞争、专用性人力资本投资激励与国有商业银行的公司治理

本文结合中国银行业竞争日趋激烈的现实背景,从商业银行专用性人力资本投资激励的独特视角入手,分别讨论了银行高层管理者和普通员工的专用性人力资本投资激励与他们参与银行公司治理机制的有关问题.研究发现,在国有商业银行公司治理结构改善过程中,更需要增加专用性人力资本投资的有效激励,并通过积极引入境外战略投资者和加强职工代表在银行监事会中影响力的办法,进一步激励银行员工进行能够提高银行经营绩效的专用性人力资本投资.     

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.     

Bank profitability and macroeconomic conditions: Are business models different?

The paper investigates the impact of macroeconomic conditions on the profitability of EU banks by testing for differential effects according to the business model. We group banks into three business models using a hierarchical cluster analysis and find that using clusters based on the share of assets invested in loans reveals heterogeneity in the sensitivity of bank profitability to economic growth across business models. Our main result is that GDP growth, credit growth, and the risk-free yield curve influence profitability as expected, but we also find that the effect of GDP growth is only significant for banks that have a high and medium share of assets invested in loans, and not for banks that hold large portfolios of securities. This difference depends on the impact of growth on asset write downs, especially those on loans and, to a lesser extent, on revenues. The results suggest that studies relating bank profitability to macroeconomic conditions should take the heterogeneity of business models into account.     

Intricacies of competition,stability, and diversification: Evidence from dual banking economies

This paper investigates the nexus of competition and stability by introducing the interaction of diversification and competition. We use a sample of both conventional and Islamic banks from 14 dual banking economies over 2005–2016. The core finding illustrates that competition does not impact bank stability and that diversification is insignificant in the competition-stability nexus. Further, we find that concentration is beneficial for the banking stability of both types of banks. In most of our results, we found no difference in the impact of competition and diversification on the stability of conventional and Islamic banks. To put our findings in a broader context, we argue that no difference between the business models can be considered an early signal of possible convergence between the two systems.     

Global banking and international business cycles

This paper incorporates a global bank into a two-country business cycle model. The bank collects deposits from households and makes loans to entrepreneurs, in both countries. It has to finance a fraction of loans using equity. We investigate how such a bank capital requirement affects the international transmission of productivity and loan default shocks. Three findings emerge. First, the bank's capital requirement has little effect on the international transmission of productivity shocks. Second, the contribution of loan default shocks to business cycle fluctuations is negligible under normal economic conditions. Third, an exceptionally large loan loss originating in one country induces a sizeable and simultaneous decline in economic activity in both countries. This is particularly noteworthy, as the 2007–09 global financial crisis was characterized by large credit losses in the US and a simultaneous sharp output reduction in the US and the Euro Area. Our results thus suggest that global banks may have played an important role in the international transmission of the crisis.