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on Banking |
| By: | Frömmel, Michael; Schmidt, Torsten |
| Abstract: | We examine the dynamics of bank lending to the private sector for countries of the Euro area by applying a Markov switching error correction model. We identify for Belgium, Germany, Ireland and Portugal stable, mean reverting regimes and unstable regimes with no tendency to return to the long term credit demand equation, whereas for some other countries there is only weak evidence. Furthermore, for these as well as for other countries we detect in the less stable regimes a strong comovement with the development of the stock market. We interpret this as evidence for constraints in bank lending. In contrast, the banks' capital seems to have only marginal impact on the lending behaviour. |
| Keywords: | bank lending, credit demand, Euro area, Markov switching error correction, credit channel, asset prices, credit rationing |
| JEL: | C32 G21 |
| Date: | 2006–07 |
| URL: | http://d.repec.org/n?u=RePEc:han:dpaper:dp-342&r=ban |
| By: | Adnan Kasman (Department of Economics, Faculty of Business, Dokuz Eylül University); Saadet Kirbas Kasman (Department of Economics, Faculty of Business, Dokuz Eylül University); Oscar Carvallo (Venezuelan Banking Association) |
| Abstract: | This paper estimates cost and profit efficiency for Latin American and the Caribbean banking sectors. This study also conducts a comparative analysis of the performance of foreign and domestic banks operating in these counties. Using a model proposed by Battese and Coelli (1995), a common cost and profit frontiers with country-specific environmental variables have been estimated for a panel of 427 banking firms from sixteen countries. The empirical analysis reveals the importance of the environmental variables in explaining the efficiency differences among countries. The results show that profit efficiency levels are well below those corresponding to cost efficiency, implying that the most important inefficiency is on the revenue side. The results further indicate that on average foreign banks are more efficient than domestic banks. |
| Keywords: | Banking, efficiency, foreign ownership |
| JEL: | G21 G28 |
| Date: | 2005–11–23 |
| URL: | http://d.repec.org/n?u=RePEc:deu:dpaper:0503&r=ban |
| By: | Troy Davig (Federal Reserve Bank of Kansas City); Jeffrey R. Gerlach (Department of Economics, College of William and Mary) |
| Abstract: | Using high-frequency data in a Markov-switching framework, we identify states that imply different responses of the yield curve to unexpected changes in the federal funds target. Empirical estimates reveal a low-volatility state where long-term bonds respond significantly, and in a predictable manner, to unexpected changes in the federal funds target. An alternative state exists with higher volatility, where unexpected changes in the federal funds target raise the short-end of the yield curve, but have no significant effect on the long-end. The low-volatility state for long-term bonds occurs from September 1995 to May 1999 and again from March 2000 to January 2002. The timing of the switches between the two states for long-term bonds coincides with changes in FOMC communication policy - though not all changes in communications policy induce a switch. |
| Keywords: | Monetary Policy, Bond Market, Markov-Switching, Central Bank Communications |
| JEL: | E43 E58 G12 |
| Date: | 2006–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:cwm:wpaper:31&r=ban |