New Economics Papers
on Banking
Issue of 2009‒06‒03
eight papers chosen by
Roberto J. Santillán–Salgado, EGADE-ITESM

  1. Leverage Bubbles By Fares Triki
  2. Efficiency of the Bulgarian Banking System: Traditional Approach and Data Envelopment Analysis By Nikolay Nenovsky; Petar Chobanov; Gergana Mihaylova; Darina Koleva
  3. Dynamic Analysis of the Behavioural Patterns of the Largest Commercial Banks in the Russian Federation Abstract: This paper presents a pattern behavio ral analysis of 100 largest Russian commercial banks by total assets during an eight- year period: from the first quarter of 1999 to the second quarter of 2007. Bank performance indicators are analyzed. Structural similarities in the development of the banks are examined. A cluster analysis is applied to determine banks with a similar structure of operations. This analysis allows to estimate how the structure of the Russian banking system has been changing over time. In particular, it allows to identify prevailing patterns in the behavior of Russian commercial banks and to analyze the stability of their position in a particular pattern. By Fuad Aleskerov; V. Belousova; M. Serdyuk; V. Solodkov
  4. Behold the 'Behemoth'. The privatization of Japan Post Bank By Uwe Vollmer; Diemo Dietrich; Ralf bebenroth
  5. The topology of the interbank market: developments in Italy since 1990 By Michele Manna; Carmela Iazzetta
  6. Determinants of interest rate exposure of Spanish banking industry By Gloria M. Soto Pacheco; Cristóbal González; Laura Ballester; Román Ferrer
  7. Market Power versus Efficient-Structure in Arab GCC Banking By Al-Muharrami, Saeed; Matthews, Kent
  8. Why Do Firms Switch Their Main Bank? - theory and evidence from Ukraine By Stephan, Andreas; Tsapin, Andriy; Talavera, Oleksandr

  1. By: Fares Triki (EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)
    Abstract: This paper investigates the relation between liquidity and asset prices. It shows that, when banks balance sheets are marked to market and banks are targeting a financial leverage level - a situation similar to current environment - formation of Leverage Bubble phenomenon and suggests a new regulation rule based on a Dynamic Leverage Ratio (DLR) rule.
    Keywords: Financial crises, rational bubbles, Dynamic Leverage Ratio, mark to market accounting, asset pricing, macroprudential regulation, market liquidity.
    Date: 2009–05
  2. By: Nikolay Nenovsky; Petar Chobanov; Gergana Mihaylova; Darina Koleva
    Abstract: The present paper traces the trends in the development of the Bulgarian banking system focusing on the dynamics of bank efficiency. Although the financial crisis in 1996-1997 and the following shift in monetary regime (introduction of Currency Board Arrangement) exerted significant influence on the development of the banking sector characteristics, the study covers only the period of 1999-2006 because of the lack of consistent available data prior to 1999. During the period analysed, the impact on bank efficiency of the following factors is studied: change in property, penetration of foreign commercial banks on the local banking market, competition, structure of bank assets and liabilities, central bank policy in regard to credit activity, etc. The limits of traditional accounting approaches to bank efficiency evaluation are discussed, as well as the implementation of non-parametric methods, in particular Data Envelopment Analysis (DEA). Different specifications of DEA like the intermediation and operating approaches were applied to separate groups and sub-groups. The results show that: firstly, foreign banks perform better than domestic and state-owned banks because of the technological and managerial improvements; and secondly, large banks are more efficient than small banks due to decreasing operating costs and scale economies.
    Keywords: DEA, bank efficiency, Bulgarian banking system, foreign banks
    JEL: G21 C61
    Date: 2008–06
  3. By: Fuad Aleskerov; V. Belousova; M. Serdyuk; V. Solodkov
    Keywords: Bank, dynamic pattern analysis, cluster analysis
    JEL: C61 G21 O16
    Date: 2008–06
  4. By: Uwe Vollmer (Economics Department, University of Leipzig); Diemo Dietrich (Halle Institute for Economic Research); Ralf bebenroth (Research Institute for Economics and Business Administration, Kobe University)
    Abstract: This paper analyzes the privatization process of the Japanese Post Bank (JPB), the largest bank in the world. We report some evidence in favour of the "political view" of SOB's and argue that, before privatization, postal savings banks served as vehicles for politicians to reallocate funds in exchange for private rents. We ask why politicians in Japan decided to privatize the postal savings system, predict how the privatization will proceed and study the expected results of the privatization process. We argue that there will be no level playing field in bank competition after the start of the privatization process and discuss possible out-comes of JPB privatization on financial stability in Japan.
    Keywords: Public banking, Japan, Privatization, Postal savings banks
    JEL: G21 G28 L32 P12
    Date: 2009–02
  5. By: Michele Manna (Bank of Italy); Carmela Iazzetta (Bank of Italy)
    Abstract: When a bank defaults or stops trading in the interbank market, both a liquidity shortage in the market itself and mounting trading losses should be anticipated. To gain more insight into the way a liquidity crisis spreads, we apply network topology techniques to monthly data on deposits exchanged by Italian banks, from 1990 to 2008. Our research yields three main results: first, only a few banks are today pivotal in the redistribution of liquidity across the system, while banks close to, but outside this core circle, weigh less than they used to; secondly, the halt in operations in a second set of banks may cut off some of their counterparts from the rest of the network, with increasingly less negligible effects; finally, only 2-3 banks out of the 10 we identify as most interconnected within the network are currently also among the top 10 banks by volume of traded deposits.
    Keywords: interbank market, topology, liquidity crisis
    JEL: D4 E5 G2
    Date: 2009–05
  6. By: Gloria M. Soto Pacheco (Universidad de Murcia); Cristóbal González (Universitat de València); Laura Ballester (Universidad de Castilla-La Mancha); Román Ferrer (Universitat de València)
    Abstract: Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. The aim of this paper is to empirically investigate the main determinants of the interest rate exposure of Spanish commercial banks by using panel data methodology. The results indicate that interest rate exposure is systematically related to some bank-specific characteristics. In particular, a significant positive association is found between bank size, derivative activities, and proportion of loans to total assets and banks¿ interest rate exposure. In contrast, the proportion of deposits to total assets is significantly and negatively related to the level of bank¿s interest rate risk. El riesgo de interés representa una de las principales fuentes de riesgo financiero a las que se enfrentan las entidades bancarias. Este riesgo ha dado lugar a un extenso cuerpo de investigación, centrado básicamente en la estimación de la sensibilidad del rendimiento de las acciones bancarias ante las variaciones de los tipos de interés. Sin embargo, el análisis de los determinantes del riesgo de interés ha recibido mucha menos atención en la literatura.El objetivo de este trabajo es investigar empíricamente los principales determinantes de la exposición al riesgo de interés de las entidades bancarias españolas utilizando metodología de datos de panel. Los resultados obtenidos indican que la exposición al riesgo de interés se encuentra sistemáticamente relacionada con varias características bancarias. En particular, se ha constatado una significativa asociación positiva entre el tamaño de la entidad, el volumen de operaciones con activos derivados y el ratio de préstamos sobre activos bancarios totales y el grado de exposición al riesgo de interés. Por el contrario, se ha observado una relación negativa significativa entre el ratio de depósitos sobre activos bancarios totales y el nivel del riesgo de interés de las entidades bancarias.
    Keywords: riesgo de interés, entidades bancarias, acciones, características bancarias. interest rate risk, banking firms, stocks, balance sheet characteristics.
    JEL: G12 G21 C52
    Date: 2009–04
  7. By: Al-Muharrami, Saeed; Matthews, Kent (Cardiff Business School)
    Abstract: This paper evaluates the performance of the Arab GCC banking industry in the context of the Structure-Conduct-Performance hypothesis in the period 1993-2002. The paper uses panel estimation differentiating between bank fixed effects and country fixed effects. It examines the Relative-Market-Power and the Efficient-Structure hypotheses differentiating between the two by employing a non-parametric measure of technical efficiency, and finds that the banking industry in the Arab GCC countries is best explained by the mainstream SCP hypothesis. The empirical results do not find any support for the Hicks (1935) "Quiet Life" version of the market power hypothesis.
    Keywords: GCC Banking; Structure Conduct Performance
    JEL: G2 L1
    Date: 2009–06
  8. By: Stephan, Andreas (CESIS - Centre of Excellence for Science and Innovation Studies, Royal Institute of Technology); Tsapin, Andriy (European University Viadrina); Talavera, Oleksandr (Aberdeen Business School)
    Abstract: We examine why firms change their main bank and how this affects loans, interest payments and firm performance after switching. Using unique firm-bank matched Ukrainian data, the treatment effect estimates suggest that more transparent and riskier companies are more likely to switch their main bank. Importantly,main bank power, measured by equity holdings, appears to be one of the main drivers of firm switching behavior. Furthermore, we find that firms have lower performance after changing their main bank as they have to contend with higher interest payments.
    Keywords: financial constraints; switching; main bank power; firm performance; Ukraine
    JEL: G21 G30 G32
    Date: 2009–06–04

This issue is ©2009 by Roberto J. Santillán–Salgado. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
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