计量经济分析 = Econometric analysis

This paper investigates how different degrees of market power affect bank efficiency and stability in the context of developing economies. It sheds light on the competition-stability nexus by documenting and analyzing the complex interactions between a tripod of variables that are central for regulators: the degree of market power, bank cost and profit efficiency, and overall firm stability. The results show that an increase in the degree of market power leads to greater bank stability and enhanced profit efficiency, despite significant cost efficiency losses. The findings lend empirical justification to the traditional view that increased competition may undermine bank stability, and may bear significant implications for stressed banking systems in developing economies.

On the implications of market power in banking: Evidence from developing countries

Comparing financial systems.

This paper will explore how the financial regulatory structure propelled three credit rating agencies -- Moody's, Standard & Poor's (S&P), and Fitch -- to the center of the U.S. bond markets -- and thereby virtually guaranteed that when these rating agencies did make mistakes, these mistakes would have serious consequences for the financial sector. We begin by looking at some relevant history of the industry, including the series of events that led financial regulators to outsource their judgments to the credit rating agencies (by requiring financial institutions to use the specific bond creditworthiness information that was provided by the major rating agencies) and when the credit rating agencies shifted their business model from "investor pays" to "issuer pays." We then look at how the credit rating industry evolved and how its interaction with regulatory authorities served as a barrier to entry. We then show how these ingredients combined to contribute to the subprime mortgage debacle and associated financial crisis. Finally, we consider two possible routes for public policy with respect to the credit rating industry: One route would tighten the regulation of the rating agencies, while the other route would reduce the required centrality of the rating agencies and thereby open up the bond information process in a way that has not been possible since the 1930s.

/pdf/markets-the-credit-rating-agencies-2we1ac10em.pdf

Markets: The Credit Rating Agencies

The impact of bank competition on financial stability has been a focus of academic and policy debate over the last two decades and particularly since the 2007–08 global financial crises (Beck, 2008; OECD, 2011). Under the traditional competition-fragility view, banks cannot earn monopoly rents in competitive markets, and this results in lower profits, capital ratios, and charter values. This makes banks less able to withstand demand- or supply-side shocks and encourages excessive risk-taking (Marcus, 1984). Alternatively, the competition-stability view suggests that competition leads to greater stability. A less competitive banking market may lead to more risk-taking if the big banks are deemed too important to fail and as such obtain implicit (or explicit) subsidies via government safety nets (Mishkin, 1999). In addition, banks with more market power tend to charge higher loan rates, which may induce borrowers to assume greater risk leading to greater default. In competitive banking markets loan rates are lower, Too-Big-To-Fail issues and safety net subsidies are smaller, and this results in a positive link between bank competition and stability (Boyd and De Nicolo, 2005). It could also be the case, as noted by Martinez-Miera and Repullo (2010) that bank competition and stability are linked in a non-linear manner, and in a similar vein Berger et al. (2009) argue that competition and concentration may coexist and can simultaneously induce stability or fragility.

Bank competition and financial stability in Asia Pacific

This paper studies the impact of national banking market concentration on European banks' financial soundness while controlling for macroeconomic, bank-specific, supervisory and institutional factorsUsing bank balance sheet data from banks across the EU-25 for the period of 1997-2005 we find that market concentration has a negative impact on banks' financial soundness as measured by the Z-score technique As we additionally find a negative effect of financial openness on stability despite actual market concentration and throughout all regression specifications, we conclude that rising competition and reducing margins provide an incentive for European banks to accept higher risk exposures

Consolidation in Banking and Financial Stability in Europe

Using aggregate balance sheet data from banks across the EU-25 over the period from 1997 to 2005 we provide empirical evidence that national banking market concentration has a negative impact on European banks’ financial soundness as measured by the Z-score technique while controlling for macroeconomic, bank-specific, regulatory, and institutional factors. Furthermore, our analysis reveals that Eastern European banking markets exhibiting a lower level of competitive pressure, fewer diversification opportunities and a higher fraction of government-owned banks are more prone to financial fragility whereas capital regulations have supported financial stability across the entire European Union.

/pdf/consolidation-in-banking-and-financial-stability-in-europe-2rir9pywsc.pdf

Consolidation in banking and financial stability in Europe: Empirical evidence

Using a unique dataset of 592 cash and synthetic securitizations issued by 54 banks from the EU-15 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a positive impact on the increase of European banks’ systematic risk. Baseline results hold when comparing estimated beta coefficients with a control group of similar non-securitizing banks. Building several sub-samples we additionally find that (a) the increase in systematic risk is more relevant for larger banks that repeatedly engage in securitization, (b) securitization is more important for small and medium financial institutions, (c) banks have a higher incentive to retain the larger part of credit risk as a quality signal at the beginning of the securitization business in Europe, and (d) the overall risk-shifting effect due to securitization is more distinct when the pre-event systematic risk is low.

Securitization and systematic risk in European banking: Empirical evidence.

Credit risk securitization and bank soundness in Europe

Analyzing 75 securitizing and non-securitizing stock-listed banks in the EU-13 plus Switzerland over the period from 1997 to 2010, this paper provides empirical evidence that loan securitization in Europe is a composite decision based on bank-specific as well as market- and country-specific determinants. In addition, we find that these determinants remarkably change when separately investigating securitization transactions during the pre-crisis and crisis period. Moreover, results from several subsample regressions reveal that determinants of loan securitizations in Europe depend on the transaction type, the underlying asset portfolio and the regulatory and institutional environment under which banks operate.

André Uhde

Papers

Consolidation in Banking and Financial Stability in Europe

Consolidation in banking and financial stability in Europe: Empirical evidence

Securitization and systematic risk in European banking: Empirical evidence.

Credit risk securitization and bank soundness in Europe

Determinants of loan securitization in European banking