Threshold effect of economic openness on bank risk-taking: Evidence from emerging markets

This paper investigates the non-linear effects of two aspects of economic openness, namely, trade openness and financial openness, on banking system stability. We use a panel of 42 emerging markets from 2000 to 2014 to test whether bank risk-taking behaviour varies with the level of openness. We find that a higher degree of trade openness promotes bank stability linearly. Conversely, the non-linear effect of financial openness on bank risk-taking is evident. When the financial system is not sufficiently open, the impact of financial openness on bank stability is insignificant. However, as the domestic financial market becomes more open, financial openness can help discipline the behaviour of banks, making them more stable. We also find evidence that these effects are transmitted through the market discipline channel. Our findings highlight the importance of strengthening the domestic regulatory framework and transparency as the economy becomes more integrated.     

Bank business models and liquidity creation

Using a large panel of US bank holding companies from 2001 to 2015, this study investigates the association between functional diversification and bank liquidity creation. I document evidence of lower liquidity creation for higher diversification. The effect of moving into nontraditional activities on liquidity creation is more apparent with large banks and less pronounced with small banks. The impact of diversification on liquidity creation is less significant during the late stage of crisis and is more clearly observed in small and medium-sized banks. Low liquidity creation banks, leveraged by a higher share of non-interest income, are more likely to further decrease their liquidity creation. The study is of interest to regulators and policymakers who are concerned about bank business models.     

中国邮储银行大连分行网点转型下客户服务模式创新研究

随着社会大众对金融服务的要求不断增多,银行网点转型已经成为一个必然趋势。信息时代背景下,银行网点的转型大多向智能化的方向转变,而随着网点转型,其客户服务模式也在不断创新。论文以邮储银行大连分行为例,对银行网点智能化转型的影响进行了分析,探究了邮储银行大连分行网点智能化转型存在的问题,并且提出了相关的转型建议,最后对邮储银行大连分行智能化网点转型下客户服务模式的创新情况进行了研究,希望能够在银行网点智能化转型的背景下,促进其客户服务水平的不断提升。     

Independence in bank governance structure: Empirical evidence of effects on bank risk and performance

We investigate how different governance arrangements affect risk and return in banks. Using a new data set for UK banks over the period 2003–2012, we employ a simultaneous equations framework to control for the reciprocal relationship between risk and return. We show that separation of the roles of CEO and Chairman increases bank risk without causing a concurrent increase in return. We also find that oversight by a Remuneration Committee and Non-Executive Directors (NEDs) lowers the probability of bank failure, indicating that empowering an independent Chairman has different effects from empowering independent NEDs. Overall, our results underline the importance of accounting for the heterogeneity in corporate governance arrangements within banks.     

News-driven international credit cycles

How does news about future economic fundamentals affect within-country and cross-country credit allocation? How effective is unconventional policy when financial crises are driven by unfulfilled favorable news? I study these questions by employing a two-sector, two-country macroeconomic model with a banking sector in which financial crises are associated with occasionally binding leverage constraints. In response to positive news on the valuation of non-traded sector capital which turns out to be incorrect at a later date, the model captures the patterns of financial flows and current account dynamics in Spain between 2000–2010, including the changes in the sectoral allocation of bank credit and movements in cross-country borrowing during the boom and the bust. When there are unconventional policies by a common authority in response to unfulfilled favorable news, liquidity injections perform better in ameliorating the downturn than direct assets purchases from the non-traded sector.     

Government support and bank performance during the 2007–2008 financial crisis

Though previous studies suggest a state participation has a negative impact on banks, this paper highlights the potential benefits of state ownership for confidence and stability in the post-crisis period that can outweigh the inefficiencies and potential for corruption of political intervention. We find that the state guarantees are valuable during the crisis. The negative (positive) relation between state ownership and bank profitability (risk) is mitigated in the post-crisis period. Financially troubled banks that receive a transfer payment or capital injection experience improved performance during the post-bailout period.     

Guarantees,transparency and the interdependency between sovereign and bank default risk

Bank debt guarantees have traditionally been viewed as costless measures to prevent bank runs. However, as recent experiences in some European countries have demonstrated, guarantees may link the coordination problems of bank and sovereign creditors and induce a functional interdependence between the likelihoods of a government default and bank illiquidity. Employing a global-game approach, we model this link, showing the existence and uniqueness of the joint equilibrium and derive its comparative statics properties. In equilibrium, the guarantee reduces the probability of a bank run, while it increases the probability of a sovereign default. The latter erodes the guarantee’s credibility and thus its effectiveness ex ante. By setting the guarantee optimally, the government balances these two effects in order to minimize expected costs of crises. Our results show that the optimal guarantee has clear-cut welfare gains which are enhanced through policies that promote greater balance sheet transparency.     

基于银行流动性管理视角的宏观审慎与货币政策协调研究

本文从商业银行流动性管理视角出发,探究银行微观主体行为如何影响宏观审慎与货币政策的协调。我们借鉴净稳定资金比例的设计理念,将商业银行的流动性管理行为纳入传统理论模型,刻画出两种流动性管理行为对货币政策信贷传导渠道效率的潜在影响及传导路径。在此基础上,采用我国50家商业银行2012年第1季度—2018年第2季度面板数据进行实证检验。我们发现,银行为提升长期流动性水平而进行的优化信贷资产结构的行为,能够显著提高货币政策传导效率。但是,部分净稳定资金比例较低的股份制银行和城市商业银行调整非信贷资产结构的行为则有可能降低货币政策传导效率。因此,在执行既有流动性监管措施的同时,关注与引导银行资产结构调整方式,对增强宏观审慎与货币政策的协调大有裨益。     

Monetary policy and risk taking

We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel – monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel exists and is particularly significant on the bank funding side. Then, to rationalize this evidence we build a macroeconomic model where banks subject to runs endogenously choose their funding structure (deposits vs. capital) and risk level. A monetary expansion increases bank leverage and risk. In turn, higher bank risk in steady state increases asset price volatility and reduces equilibrium output.     

Assessing targeted macroprudential financial regulation: The case of the 2006 commercial real estate guidance for banks

In January 2006, federal regulators issued guidance requiring banks with specific high concentrations of commercial real estate (CRE) loans to tighten managerial controls. This paper shows that banks with concentrations in excess of the thresholds set in the guidance subsequently experienced slower growth in their CRE portfolios than can be explained by changes in bank or economic conditions. Moreover, banks above the CRE thresholds tended to have slower commercial and industrial loan growth but faster household loan growth following issuance of the guidance. The results highlight the potentially broad influence that portfolio-based macroprudential regulation might have on bank behavior.