计量经济分析 = Econometric analysis

We investigate whether loan growth affects the riskiness of individual banks in 16 major countries. Using Bankscope data from more than 16,000 individual banks during 1997-2007, we test three hypotheses on the relation between abnormal loan growth and asset risk, bank profitability, and bank solvency. We find that loan growth leads to an increase in loan loss provisions during the subsequent three years, to a decrease in relative interest income, and to lower capital ratios. Further analyses show that loan growth also has a negative impact on the risk-adjusted interest income. These results suggest that loan growth represents an important driver of the riskiness of banks.

Loan Growth and Riskiness of Banks

Handbook of industrial organization , Handbook of industrial organization , کتابخانه دانشگاه امام صادق(ع)

Handbook of Industrial Organization

/pdf/loan-growth-and-riskiness-of-banks-12sfi72mzr.pdf

Loan growth and riskiness of banks.

Early warning systems (EWS) for banking crises generally omit bank capital, bank liquidity and property prices. Most work on EWS has been for global samples dominated by emerging market crises where time series data on bank capital adequacy and property prices are typically absent. We estimate logit crisis models for OECD countries, finding strong effects from capital adequacy and liquidity ratios as well as property prices, and can exclude traditional variables. Higher capital adequacy and liquidity ratios have a marked effect on the crisis probabilities, implying long-run benefits to offset some of the costs that such regulations may impose.

/pdf/bank-regulation-property-prices-and-early-warning-systems-3oggshshkw.pdf

Bank regulation, property prices and early warning systems for banking crises in OECD countries

Using an unbalanced panel of accounting data from 1997 to 2004 and controlling for individual bank costs and risk, we find capital buffers of the banks in the EU15 have a significant negative co-movement with the cycle. For banks in the accession countries there is significant positive co-movement. Capital buffers of commercial and savings banks, and of large banks, exhibit negative co-movement. Those of co-operative and smaller banks exhibit positive co-movement. Speeds of adjustment are fairly slow. We interpret these results and discuss policy implications, noting that negative co-movement of capital buffers will exacerbate the pro-cyclical impact of Basel II.

/pdf/the-cyclical-behaviour-of-european-bank-capital-buffers-3uy7dxbugs.pdf

The cyclical behaviour of European bank capital buffers

https://www.snb.ch/n/mmr/reference/working_paper_2009_09/source/working_paper_2009_09.n.pdf

Bank capital buffer and risk adjustment decisions

Contagion and interdependence: Measuring CEE banking sector co-movements

In this paper we assess whether persistently too low interest rates can cause housing bubbles. For a sample of 14 OECD countries, we calculate the deviations of house prices from their (theoretically implied) fundamental value and define them as bubbles. We then estimate the impact that a deviation of short term interest rates from the Taylor-implied interest rates have on house price bubbles. We additionally assess whether interest rates that have remained low for a longer period of time have a greater impact on house price overvaluation. Our results indicate that there is a strong link between low interest rates and housing bubbles. This impact is especially strong when interest rates are "too low for too long". We argue that, by ensuring that rates do not deviate too far from Taylorimplied rates, central banks could lean against house price fluctuations without considering house price developments directly. If this is not possible, e.g. because a single monetary policy is confronted with a very heterogenous economic development within the currency area, alternative counter cyclical measures have to be considered.

/pdf/housing-bubbles-and-interest-rates-sdd3jv6sfw.pdf

Housing Bubbles and Interest Rates

This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and mature markets (UK, US and EU). We estimate a set of individual country and pooled specifications to find that market crashes, in the broader sense, are predictable for all countries analysed.We additionally investigate the role that investor heterogeneity, proxied by trading volume, plays in this predictability and find some varying results between countries.For the Central and Eastern European Countries (CE3), an increase in trading volume relative to trend appears to have great predictive power, a result that is supportive of the theory of investor heterogeneity outlined in the relevant background studies. For the more mature markets (G5), on the other hand, market crashes appear more likely to follow a period of increased stock prices and returns, a result fitting a number of traditional theories, in particular the stochastic bubble model.Further analysis, allowing for time-varying coefficients, confirms the volume-crash relationship for the CE3 and provides preliminary evidence that macro news releases may additionally contribute to the predictability of market crashes. Keywords: aggregate market returns, skewness, trading volume, market crash JEL classification numbers: C14, G12, G15

Terhi Jokipii

Papers

The cyclical behaviour of European bank capital buffers

Bank capital buffer and risk adjustment decisions

Contagion and interdependence: Measuring CEE banking sector co-movements

Housing Bubbles and Interest Rates

Forecasting market crashes : further international evidence