New Economics Papers
on Banking
Issue of 2009‒09‒19
ten papers chosen by
Roberto J. Santillán–Salgado, EGADE-ITESM

  1. Bank risk and monetary policy By Yener Altunbas; Leonardo Gambacorta; David Marqués-Ibáñez
  2. Openness and geographic neutrality: How do they contribute to international banking integration? By Pérez, Francisco; Arribas, Iván; Tortosa-Ausina, Emili
  3. Einführung in das Kapitalstrukturmanagement By Böger, Andreas; Heidorn, Thomas; Rupprecht, Stephan
  4. Income diversification in the German banking industry By Busch, Ramona; Kick, Thomas
  5. Efficiency and profitability of European banks: how important is operational efficiency? By Werner, Karl; Moormann, Jürgen
  6. Concentração e Inadimplência nas Carteiras de Empréstimos dos Bancos Brasileiros By Patricia L. Tecles; Benjamin M. Tabak; Roberta B. Staub
  7. Concentração Bancária, Lucratividade e Risco Sistêmico: uma abordagem de Contágio Indireto By Bruno Silva Martins; Leonardo S. Alencar
  8. Loss Given Default: um estudo sobre perdas em operações prefixadas no mercado brasileiro By Antonio Carlos Magalhães da Silva; Jaqueline Terra Moura Marins; Myrian Beatriz Eiras das Neves
  9. Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas By Clodoaldo Aparecido Annibal
  10. Die Rolle des Internets als Informationsbeschaffungsmedium in Banken By Rossbach, Peter

  1. By: Yener Altunbas (University of Wales); Leonardo Gambacorta (Bank for International Settlements); David Marqués-Ibáñez (European Central Bank)
    Abstract: We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the other indicators (i.e. size, liquidity and capitalization), traditionally used in the bank lending channel literature to assess a bankÂ’s ability and willingness to supply new loans. Using a large sample of European banks, we find that banks characterized by lower expected default frequency are able to offer a larger amount of credit and to better insulate their loan supply from monetary policy changes.
    Keywords: Bank, Risk, Bank Lending Channel, Monetary Policy
    JEL: E44 E52
    Date: 2009–05
  2. By: Pérez, Francisco; Arribas, Iván; Tortosa-Ausina, Emili
    Abstract: The aim of this article is to develop new international financial integration indicators together with their determinants: financial openness and regularity (balance) of the bilateral financial flows. The study's contribution is based on the definition of the Standard of Perfect Financial Integration (SPFI). This standard characterizes the scenario attainable when financial flows are not geographically biased, and cross-border asset trade is not affected by home bias. We assess the gap between a hypothetical scenario of geographic neutrality and the current level of financial integration, along with both of its components. The empirical application to the banking systems of 18 countries —accounting for 83% of international banking markets— over the 1999-2006 period enables us to conclude that the level of financial integration has advanced rapidly over the last few years, and is close to 50% as of 2006, i.e., we are halfway to the SPFI. However, notable differences among countries are both persistent and growing, and the integration level achieved for each banking system differs when either assessed from the financial inflows or outflows perspective.
    Keywords: Banking Integration; Financial Globalization; Geographic Neutrality; Network Analysis
    JEL: F15 F21 Z13 F36
    Date: 2009
  3. By: Böger, Andreas; Heidorn, Thomas; Rupprecht, Stephan
    Abstract: This paper gives an overview of the capital requirements for banks. Regulatory capital is analyzed, followed by the discussion of economic capital. These ideas are used to explain risk adjusted performance measures.
    Keywords: Regulatorisches Kapital,ökonomisches Kapital,RAROC,RORAC
    Date: 2009
  4. By: Busch, Ramona; Kick, Thomas
    Abstract: In the last few years it has been possible to observe decreasing interest margins for German universal banks. At the same time, institutions increasingly moved part of their business from interest to fee-earning activities. This study analyzes the determinants of non-interest income and its impact on financial performance and the risk profile of German banks between 1995 and 2007. We find empirical evidence that for all German universal banks risk-adjusted returns on equity and total assets are positively affected by higher fee income activities. Additionally, for commercial banks we show that a strong engagement in fee-generating activities goes along with higher risk. In order to analyze possible cross-subsidization effects between interest and fee business we also examine how banks' expansion in fee-based services has affected their interest margin. For savings and commercial banks we find that institutions with a strong focus on fee business charge lower interest margins when credit risk is controlled.
    Keywords: Income diversification,interest income,fee income,interest margin,two-stage least squares estimator
    JEL: G11 G21 G32
    Date: 2009
  5. By: Werner, Karl; Moormann, Jürgen
    Abstract: Most previous research on efficiency in banking takes a regulatory perspective. In contrast, this paper investigates the empirical relation between efficiency and profitability in five large economies of the European Union during the period 1998-2005 and discusses the results from the perspective of corporate bank strategy. Methodologically the existing literature is expanded by the use of DEA super-efficiency values to regress profitability, the incorporation of risk by calculative costs of capital, and a model specification built on the modern understanding of banks as centers of value creation. The results of the conducted static and dynamic regression analyses show that profitable banks operate with higher technical efficiency than their competitors. Furthermore, the strategic environment and in this regard the structure and concentration of the national financial sector have a considerable impact on a bank's financial performance. Both issues proved to be statistically and economically significant. Thus, the results support the appropriateness of the generic strategy of cost leadership for the European banking market. Banks following this strategic position were able to achieve higher excess returns during the analyzed period.
    Keywords: Banks,corporate strategy,efficiency,operational efficiency,profitability
    JEL: C14 G21 L25 M21
    Date: 2009
  6. By: Patricia L. Tecles; Benjamin M. Tabak; Roberta B. Staub
    Abstract: This paper evaluates the loans market in Brazil in the 2003 to 2008 period. It measures diversification and nonperforming loans for Banks credit portfolios. We employ the credit risk bureau database, which classifies loans by sector and risk. Results show an increase in higher risk loans and diversification in low risk loans. The non-performing loans figures have shown a downward trend for most economic activities.
    Date: 2009–09
  7. By: Bruno Silva Martins; Leonardo S. Alencar
    Abstract: We investigate the impact of the banking system concentration on the perception of financial institutions interdependencies, as measured by the correlations of their return on assets. This correlation is observed by the market, and may provide an indicator of systemic risk potential, which we argue represents an indirect contagion channel. By changing this correlation, the degree of concentration may change the systemic risk exposure of the banking sector. Our findings suggest the existence of an indirect contagion channel in Brazil, and that a more concentrated financial system is associated with an increase in the potential of systemic risk among banks with similar characteristics of credit volume, leverage and ownership (state or private-owned). Our findings call attention to the implications of financial system consolidation to the contagion of idiosyncratic shocks. Banking consolidation may bring benefits by improving the diversification of the portfolios of banks, reducing their idiosyncratic risks, but may also increase the systemic risk, by increasing the probability of an idiosyncratic shock be interpreted as an aggregate shock.
    Date: 2009–09
  8. By: Antonio Carlos Magalhães da Silva; Jaqueline Terra Moura Marins; Myrian Beatriz Eiras das Neves
    Abstract: Using data drawn from the Brazilian Central Bank Credit Information System (SCR), this paper investigates the loss incurred by financial institutions given clients defaults - Loss Given Default (LGD) - in Brazilian credit market from January 2003 to September 2007. According to Basel II, it is necessary to calculate LGD to evaluate credit risk in IRB Advanced approach. Selecting a sample of 9.557 non-retail credit operations, we calculate their LGD based on the opportunity cost incurred during the default period and on the principal loss. Other recovery costs were not taken into account. According to the results, the empirical probability distribution of LGD is bimodal, ranging on average between 47% and 92%. Using a Tobit model, we verified that variables related to economic activity level, collateral, exposure size and renegotiation influenced LGD behavior. Results were similar to Dermine and Carvalho (2006), Asarnow and Edwards (1995), Schuermann (2004) and Hurt and Felsovalyi (1998).
    Date: 2009–09
  9. By: Clodoaldo Aparecido Annibal
    Abstract: One of the main variables observed in the performance evaluation of banking credit is the index that measures the default rate. Different approaches are used, or were proposed, to perform the calculation of this index. However, the difficulty of defining default leads to the creation of different measures which sometimes fail to measure the stricto sense default. This paper aims to describe and analyze, using the Credit Information System of Central Bank of Brazil (SCR), among other sources, the behavior of three major default rates found in literature. The difference in the behavior of each index is observed using a system that seeks to simulate a portfolio of personal loans and using statistical techniques for analyzing time series of real data. The conclusion is that the most appropriate indicator to measure the default, in the stricto sense, is obtained based on the number of delayed operations.
    Date: 2009–09
  10. By: Rossbach, Peter
    Abstract: Subject of the study presented in this paper is the analysis of the relevance of the Internet as an information source in German banks. The results show, that today the Internet is indeed the most important information source for many types of information used in the business processes of banks. Especially sources free of charge are not only used widely, they are moreover evaluated very high in quality. It is argued, that attitude and behavior are mainly influenced by psychological and sociological factors. Finally, it is stated, that due to the loss of control over parts of the input factors it is necessary for the banks to actively incorporate the Internet into the quality management processes.
    Keywords: Information Search Behavior,Internet,Banks,Psychology,Sociology
    Date: 2009

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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