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on Banking |
| By: | Martin Brown; Tullio Jappelli; Marco Pagano (-) |
| Abstract: | We investigate whether information sharing among banks has affected credit market performance in the transition countries of Eastern Europe and the former Soviet Union, using a large sample of firm-level data. Our estimates show that information sharing is associated with improved availability and lower cost of credit to firms. This correlation is stronger for opaque firms than transparent ones and stronger in countries with weak legal environments than in those with strong legal environments. In cross-sectional estimates, we control for variation in country-level aggregate variables that may affect credit, by examining the differential impact of information sharing across firm types. In panel estimates, we also control for the presence of unobserved heterogeneity at the firm level, as well as for changes in macroeconomic variables and the legal environment. |
| Keywords: | information sharing, credit access, transition countries |
| JEL: | D82 G21 G28 O16 P34 |
| Date: | 2008–04–07 |
| URL: | http://d.repec.org/n?u=RePEc:prt:dpaper:3_2008&r=ban |
| By: | Inês Drumond (CEMPRE, Faculdade de Economia, Universidade do Porto) |
| Abstract: | In order to survey the mechanisms through which the introduction of Basel II bank capital requirements is likely to accentuate the procyclical tendencies of banking, this paper brings together the theoretical literature on the bank capital channel of propagation of exogenous shocks and the literature on the regulatory framework of capital requirements under the Basel Accords. We conclude that, although the theoretical models that revisit the bank capital channel under the new Accord generally support the Basel II procyclicality hypothesis, this issue is still subject to some debate. In particular, the magnitude of the procyclical effects under Basel II should essentially depend on (i) the composition of banks' asset portfolios, (ii) the approach adopted by banks to compute their minimum capital requirements, (iii) the nature of the rating system used by banks, (iv) the view adopted concerning how credit risk evolves through time, (v) the capital buffers over the regulatory minimum held by the banking institutions, (vi) the improvements in credit risk management, and (vii) the supervisor and market intervention under Basel II. |
| Keywords: | Bank Capital Channel, Basel Accords, Business Cycles, Procyclicality |
| JEL: | E44 G28 |
| Date: | 2008–06 |
| URL: | http://d.repec.org/n?u=RePEc:por:fepwps:277&r=ban |
| By: | Dániel Holló (Magyar Nemzeti Bank); Mónika Papp (Magyar Nemzeti Bank) |
| Abstract: | This paper investigates the main individual driving forces of Hungarian household credit risk and measures the shockabsorbing capacity of the banking system in relation to adverse macroeconomic events. The analysis relies on survey evidence gathered by the Magyar Nemzeti Bank (MNB) in January 2007. Our study presents three alternative ways of modelling household credit risk, namely the financial margin, the logit and the neural network approaches, and uses these methods for stress testing. Our results suggest that the main individual factors affecting household credit risk are disposable income, the income share of monthly debt servicing costs, the number of dependants and the employment status of the head of the household. The findings also indicate that the current state of indebtedness is unfavourable from a financial stability point of view, as a relatively high proportion of debt is concentrated in the group of risky households. However, risks are somewhat mitigated by the fact that a substantial part of risky debt is comprised of mortgage loans, which are able to provide considerable security for banks in the case of default. Finally, our findings reveal that the shock-absorbing capacity of the banking sector, as well as individual banks, is sufficient under the given loss rate (LGD) assumptions (i.e. the capital adequacy ratio would not fall below the current regulatory minimum of 8 per cent) even if the most extreme stress scenarios were to occur. |
| Keywords: | financing stability, financial margin, logit model, neural network, stress test. |
| JEL: | C45 D14 E47 G21 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:opaper:2008/70&r=ban |
| By: | Matić, Branko; Serdarušić, Hrvoje |
| Abstract: | Raising money and directing it into savings is the most important passive task in banking. Restrictive monetary policy makes it increasingly difficult for banking institutions to take loans, thus they turn to the general population as a money source. Their interest is partly served through inclusion of financially inactive population. As the new legislation will correct the current illogical situation (some deposit institutions have not been under control of the central bank), this will eliminate the unfair competition which is at the moment existing in the banking system. At the same time, the operation of a new form of non-profit deposit institutions, i.e. credit unions, will be regulated. With solidarity and common interest as the basic tenets of their operation they can be attractive to this particular segment of population. The paper explores and proposes some possible models and ways of including the financially inferior population into the financial system. |
| Keywords: | financial system; financially inactive population; money source; solidarity; common interest; credit union |
| JEL: | E2 E5 G24 E4 G21 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:8955&r=ban |