New Economics Papers
on Banking
Issue of 2007‒02‒17
seven papers chosen by
Roberto J. Santillán–Salgado, EGADE-ITESM

  1. Money market derivatives and the allocation of liquidity risk in the banking sector By Fecht, Falko; Hakenes, Hendrik
  2. Limits to international banking consolidation By Fecht, Falko; Grüner, Hans Peter
  3. Foreign Banks, Foreign Lending and Cross-Border Contagion: Evidence from the BIS Data By Adam Geršl
  4. The Role of Banks in the Transmission of Monetary Policy in the Baltics By Köhler, Matthias; Hommel, Judith; Grote, Matthias
  5. Movement of the right property in the Banking System By Isabel Novosad
  6. L'analisi del capitale intellettuale per la valutazione del merito di credito By Adalberto ALBERICI
  7. Finanzstruktur und Wirtschaftswachstum - theoretische und empirische Aspekte By Eckhard Hein

  1. By: Fecht, Falko; Hakenes, Hendrik
    Abstract: Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model that allows us to evaluate the efficiency of different money market derivatives regarding these two objectives. We assume that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking sector. In an upcoming liquidity shortage this large bank can exploit its informational advantage in the spot money market by rationing liquidity. Using forward contracts, the large bank can credibly commit not to squeeze small banks in the event of a liquidity shortage. But forward contracts do not provide incentives for the large bank to pass on its information to other banks. In contrast, lines of credit between the large and the small banks ensure that the large bank provides its information to other banks.
    Keywords: Liquidity, money market derivatives, lines of credit, forward contracts, options
    JEL: D82 G21 G33
    Date: 2006
  2. By: Fecht, Falko; Grüner, Hans Peter
    Abstract: Heterogenous banking supervision and regulation is often considered as the most important impediment for Pan-European Bank mergers. In this paper we identify other more fundamental reasons for a limited degree of cross-country integration in retail banking. We argue that the distribution of regional liquidity shocks may pose a natural limit to the extent of cross-border bank mergers. The paper derives the impact of different underlying stochastic structures on the optimal structure of cross regional bank mergers. Imposing a symmetry restriction on the underlying stochastic structure of liquidity shocks we find that benefits from diversification and the costs of contagion may be optimally traded off if banks from some but not from all regions merge. Under an additional monotonicity assumption full integration is only desirable if the number of regions with diverse risks is sufficiently large.
    Keywords: Bank Mergers, Financial Integration, Liquidity Transformation, Liquidity Crisis, Risk Sharing
    JEL: D61 E44 G21
    Date: 2006
  3. By: Adam Geršl (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic; Czech National Bank, Prague, Czech Republic)
    Abstract: The article discusses the role of foreign banks and foreign lending in the CEE countries from the financial stability perspective using the data on international banking business. The pattern of foreign banks’ involvement is analyzed and the risk of cross-border contagion explored, focusing on three aspects: maturity of cross-border exposures, concentration of foreign creditors and the existence of common creditor.
    Keywords: contagion; banks; financial stability; common creditor
    JEL: F30 F34 G21
    Date: 2007–01
  4. By: Köhler, Matthias; Hommel, Judith; Grote, Matthias
    Abstract: The paper empirically investigates the monetary transmission mechanism in the Baltic States. The analysis of the transmission channels through which monetary policy shocks are transmitted is particularly important for the European Central Bank that makes monetary policy in an enlarged European Monetary Union. The paper focuses on the bank lending channel of monetary transmission due to the importance of banks in the financial system of the Baltic countries. The existence of this transmission channel is tested by using a panel structural approach that distinguishes banks according to size, capitalization, liquidity and ownership structure. The results indicate that a bank lending channel is present in the Baltic States and mainly caused by differences in liquidity.
    Keywords: Monetary Transmission, Bank Lending Channel, Transition Countries
    JEL: E43 E44 G15 G21
    Date: 2006
  5. By: Isabel Novosad
    Abstract: This article proposes the reduction of the vagueness of the term user in risk analysis employed by the operators of the banking system. Also presented the relation between this analyses with the individual, collective and diffuses rights. In the era of the Medici was reasonable that the feudal lords who wished to carry out some trading enterprise should enjoy the privileges of low interest rates for loans. For slaves and servants, however, who wanted to gain a little space of liberty, had to accept very high interest rates. The various social, political and cultural changes occurring in the course of the last seven centuries have failed to rectify one of the main causes of inequality in the distribution of wealth. The right to property of small groups still has greater weight than the right to property of larges groups. The popular expression “Money calls to money” (a saying that exists in many languages3) describes a magnet that attracts money according to wealth of the owner. The more money you have the more you will be given, while to a small sum of money equivalent sums are not added, but the original is reduced to the point where it disappears. This slipping away and reduction of small amounts of money consolidates acts that destroy the right to property of large groups of people, which contributes to configure the prevention of risks components which the bank operators include in the rates of interest.The notorious and manifest irregularities practiced in the banking system, as exemplified in Argentina 2001, have shown that the negative externality go beyond the geographic frontiers of national legal systems regarding the right to property. The thesis put forward here is the need to apply the positive law to reduce the injustices caused by the banking system in the globalised society.
    Keywords: Movement, right property, Banking System, risk, argentina
  6. By: Adalberto ALBERICI
    Abstract: The article aims at investigating the potential of intellectual capital statement as a source of information for the credit worthiness evaluation of firms asking for loans. Information about intangible assets can significantly supplement the traditional analysis based on financial data.To this purpose, the article examines the model developed by the Danish Ministry of Science, Technology and Innovation, for drawing up and analysing an intellectual capital report. Even though the Danish model is in the forefront, it still shows some limits, which reduce the potential of IC statements. Moreover some barriers still exist, which limit the spreading of IC reports, causing detrimental information asymmetries between firms and banks. Since many cultural bounds persist between them, there is still a long way before overcoming all difficulties
    Keywords: Intellectual capital, statement, credit worthiness evaluation, firms, loans, intangible assets, intellectual capital, Danish Ministry of Science- Technology and Innovation, Danish model, information asymmetries
    JEL: G32
    Date: 2007–02
  7. By: Eckhard Hein (IMK at the Hans Boeckler Foundation)
    Abstract: The bank-based financial systems of Germany and Japan were considered most conducive to growth in the 1980s. After the Japanese stagnation of the 1990s and the most recent slump in Germany, the conviction that the market-based Anglo-American financial systems are a prerequisite for a dynamic economic development has gained ground. However, critics have stressed recently that the strong orientation towards "share-holder value" comes at the expense of long-term growth. This has induced the author to analyse the long-term relationship between the financial system/structure and economic growth in depth. This study provides theoretical and empirical evidence.
    Date: 2005–06

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