Temat: procyclicality - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: THE IMPACT OF CAPITAL RATIO ON LENDING OF EU BANKS – THE ROLE OF BANK SPECIALIZATION AND CAPITALIZATION
Autorzy:: Olszak, Małgorzata
Pipień, Mateusz
Roszkowska, Sylwia
Tematy:: loan supply
capital ratio
procyclicality; Pokaż więcej
Wydawca:: Instytut Badań Gospodarczych
Powiązania:: https://bibliotekanauki.pl/articles/517156.pdf Link otwiera się w nowym oknie
Opis:: In this paper we aim to find out whether bank specialization and bank capitalization affect the relationship between loans growth and capital ratio, both in expansions and in contractions. We hypothesize that the impact of bank capital on lending is relatively strong in cooperative banks and savings banks. We also expect that this effect is nonlinear, and is stronger in “low” capital banks than in “high” capital banks. In order to test our hypotheses, we apply the two-step GMM robust estimator for data spanning the years 1996–2011 on individual banks available in the Bankscope database. Our analysis shows that lending of poorly capitalized banks is more affected by capital ratio than lending of well-capitalized banks. Loans growth of cooperative and savings banks is more capital constrained that lending of commercial banks. Capital matters for the lending activity in contractions only in the case of savings and “low” capital banks.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Cross country linkages as determinants of procyclicality of loan loss provisions – empirical importance of SURE specification
Autorzy:: Olszak, Małgorzata
Pipień, Mateusz
Tematy:: loan loss provisions
procyclicality
earnings management; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Powiązania:: https://bibliotekanauki.pl/articles/1203975.pdf Link otwiera się w nowym oknie
Opis:: Procyclicality in banking may result in financial instability and therefore be destructive to economic growth. The sensitivity of different banking balance sheet and income statement variables to the business cycle is diversified and may be prone to increasing integration of financial markets. In this paper we address the problem of the influence of financial integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss provisions to the business cycle. We also aim to find out whether earnings management hypotheses are supported throughout the whole business cycle. Application of the SURE approach to 13 OECD countries in 1995-2009 shows that the procyclicality of LLP is statistically significant almost in thewhole sample of countries. Independent of the econometric specification, the earnings management hypotheses are hardly supported.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Procyclicality of Bank Growth and Competitive Environment: Cross-country Evidence
Autorzy:: Olszak, Małgorzata
Kowalska, Iwona
Tematy:: assets
loans
deposits
leverage
procyclicality
competition; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czasopisma i Monografie PAN
Powiązania:: https://bibliotekanauki.pl/articles/55789938.pdf Link otwiera się w nowym oknie
Opis:: This paper attempts to find out what is the role of competitive environment in shaping the sensitivity of growth in banking to the business cycle. To answer this question, we apply a large set of individual bank level data including over 8000 banks operating in more than 100 countries. This study uses the growth of assets, loans, deposits and leverage as proxies of bank growth and Lerner index as a proxy for the competitive environment. The analysis shows that decreased competition is associated with increased procyclicality of bank growth. However, in a perfectly competitive environment the growth turns out to be countercyclical. This effect differs between high- and lowincome countries. A perfectly competitive environment is associated with countercyclical growth in high-income countries. The opposite result is found for low-income countries. Our results for Central Eastern European countries show that increased competition is associated with enhanced procyclicality of growth.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Macro- and microprudential regulations and their effects on procyclicality of solvency and liquidity risk
Autorzy:: Olszak, Małgorzata
Kowalska, Iwona
Tematy:: leverage
liquidity
procyclicality
macroprudential policy
microprudential regulations; Pokaż więcej
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Powiązania:: https://bibliotekanauki.pl/articles/583929.pdf Link otwiera się w nowym oknie
Opis:: This paper aims to identify the effect of macroprudential policies and microprudential regulations and their interactions on the sensitivity of leverage and liquidity funding risk to the business cycle. Analysing the sample of 782 banks we find that both macroprudential and microprudential instruments have insignificant impact on the procyclicality of leverage in the non-crisis period. Macroprudential instruments decrease the procyclicality of liquidity risk during the non-crisis period and increase the procyclicality of leverage during the crisis. Restrictions on the range of activities conducted by banks reduce the procyclicality of liquidity risk during the non-crisis period. Interaction between the macroprudential instruments targeted at risk-taking by borrowers and restrictions on the range of activities taken by banks has been found to be effective in reducing the procyclicality of leverage during the crisis period.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: Polityka makroostrożnościowa jako narzędzie łagodzenia procyklicznej działalności kredytowej banków
Autorzy:: Dobrzańska, Anna
Tematy:: procyclicality
macroprudential policy
macroprudential tools
countercyclical measures; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Komitet Nauk o Finansach PAN
Powiązania:: https://bibliotekanauki.pl/articles/428680.pdf Link otwiera się w nowym oknie
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Macroprudential policy instruments and procyclicality of loan-loss provisions – cross-country evidence
Autorzy:: Olszak, Małgorzata
Roszkowska, Sylwia
Kowalska, Iwona
Tematy:: macroprudential policy
loan-loss provisions
business cycle
procyclicality; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Powiązania:: https://bibliotekanauki.pl/articles/482937.pdf Link otwiera się w nowym oknie
Opis:: We analyze the effectiveness of various macroprudential policy instruments in reducing the procyclicality of loan-loss provisions (LLPs) using individual bank information from over 65 countries and applying the two-step GMM Blundell-Bond (1998) approach with robust standard errors. Our research identifies several new facts. Firstly, borrower restrictions are definitely more effective in reducing the procyclicality of loan-loss provisions than other macroprudential policy instruments. This effect is supported in both unconsolidated and consolidated data and is robust to several robustness checks. Secondly, dynamic provisions, large exposure concentration limits and taxes on specific assets are effective in reducing the procyclicality of loan-loss provisions. And finally, we find that both loan-to-value caps and debt-to-income ratios, are especially effective in reducing the procyclicality of LLP of large banks. Off-balance-sheet restrictions, concentration limits and taxes are also effective in reducing the procyclicality of LLP of large banks. Dynamic provisions reduce the procyclicality of LLP independently of bank size.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: The impact of capital on lending in economic downturns and investor protection – the case of large EU banks
Autorzy:: Olszak, Małgorzata
Pipień, Mateusz
Kowalska, Iwona
Roszkowska, Sylwia
Tematy:: capital ratio
lending
shareholders protection
creditor power
procyclicality; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Powiązania:: https://bibliotekanauki.pl/articles/482952.pdf Link otwiera się w nowym oknie
Opis:: This paper attempts to find out whether better quality of investor protection matters for the effect of capital ratio on loan growth of large EU banks in 1996-2011. We focus on several measures of the quality of investor protection with a proven track record in the banking literature, i.e.: anti-self-dealing index, ex-antecontrol and ex-post-control of anti-self-dealing indices, and creditor protection rights index. Our results show that better investor protection increases the procyclical impact of capital on lending in the sample of banks reporting unconsolidated data. This is consistent with the view that better shareholders rights protection induces bank borrowers to take more loans and to engage in more risk-taking, in particular during economic booms, which results in greater sensitivity of bank lending to capital ratios in economic downturns. The opposite effect is found in the sample of banks reporting consolidated data. This effect is consistent with the view that better minority shareholders protection may reduce risk-taking incentives of large banks and result in better risk management of credit portfolio (and other investments of such banks).
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: Macroprudential policy effect on the link between lending and capital ratio – the role of economic development and capital account openness
Autorzy:: Olszak, Małgorzata
Roszkowska, Sylwia
Kowalska, Iwona
Tematy:: loan supply
capital ratio
procyclicality
macroprudential policy; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Komitet Nauk o Finansach PAN
Powiązania:: https://bibliotekanauki.pl/articles/2097066.pdf Link otwiera się w nowym oknie
Opis:: In this paper we ask about the role of macroprudential policies to affect the link between lending and capital ratio in countries differing in economic development and capital account openness. To resolve this problem we apply the GMM 2-step Blundell and Bond approach to a sample covering over 60 countries. Our results show that the effect of macroprudential policies on the association between lending and the capital ratio in non-crisis periods is stronger in advanced countries than in emerging countries. Differentiating by the level of capital account openness, we find that macroprudential policies are more effective in increasing the resilience of banks and thus weakening the association between loan supply and capital ratio for relatively closed economies but less effective for relatively open economies. Generally, with our study we are able to support the view that macroprudential policy has the potential to curb the procyclical impact of bank capital on lending.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: Do macroprudential policy instruments affect the link between lending and capital ratio? – cross-country evidence
Autorzy:: Olszak, Małgorzata
Roszkowska, Sylwia
Kowalska, Iwona
Tematy:: loan supply
capital ratio
procyclicality
macroprudential policy; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Powiązania:: https://bibliotekanauki.pl/articles/482969.pdf Link otwiera się w nowym oknie
Opis:: In this paper we ask about the capacity of macroprudential policies to reduce the positive association between loans growth and the capital ratio. We focus on aggregated macroprudential policy measures and on individual instruments and test whether their effect on the association between lending and capital depends on bank size, the economic development of a country as well as on the extent of capital account openness. Applying the GMM 2-step Blundell and Bond approach to a sample covering over 60 countries, we find that macroprudential policy instruments reduce the impact of capital on bank lending during both crisis and non-crisis times. This result is stronger in large banks than in other banks. Of individual macroprudential instruments, only borrower-targeted LTV caps and DTI ratio weaken the association between lending and capital. Our results also show that the effect of macroprudential policies on the association between lending and the capital ratio in non-crisis periods is stronger in advanced countries than in emerging countries. Additionally, differentiating by the level of capital account openness, we find that macroprudential policies are more effective in increasing the resilience of banks and thus weakening the association between loan supply and capital ratio for relatively closed economies but less effective for relatively open economies. Generally, with our study we are able to support the view that macroprudential policy has the potential to curb the procyclical impact of bank capital on lending and therefore, the introduction of more restrictive international capital standards included in Basel III and of macroprudential policies are fully justified.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: Do regulations and supervision shape the capital crunch effect of large banks in the EU?
Autorzy:: Olszak, Małgorzata
Pipień, Mateusz
Kowalska, Iwona
Roszkowska, Sylwia
Tematy:: capital ratio
lending, capital crunch
regulations
supervision
procyclicality; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Powiązania:: https://bibliotekanauki.pl/articles/482945.pdf Link otwiera się w nowym oknie
Opis:: This paper extends the literature on the capital crunch effect by examining the role of public policy for the link between lending and capital in a sample of large banks operating in the European Union. Applying Blundell and Bond (1998) two-step robust GMM estimator we show that restrictions on bank activities and more stringent capital standards weaken the capital crunch effect, consistent with reduced risk taking and boosted bank charter values. Official supervision also reduces the impact of capital ratio on lending in downturns. Private oversight seems to be related to thin capital buffers in expansions, and therefore the capital crunch effect is enhanced in countries with increased market discipline. We thus provide evidence that neither regulations nor supervision at the microprudential level is neutral from a financial stability perspective. Weak regulations and supervision seem to increase the pro-cyclical effect of capital on bank lending.
Dostawca treści:: Biblioteka Nauki

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