New Economics Papers
on Banking
Issue of 2012‒02‒20
25 papers chosen by
Christian Calmès, Université du Québec en Outaouais

  1. Cross-border bank lending, risk aversion and the financial crisis By Düwel, Cornelia; Frey, Rainer; Lipponer, Alexander
  2. Bank heterogeneity and interest rate setting: what lessons have we learned since Lehman Brothers? By Leonardo Gambacorta; Paolo Emilio Mistrulli
  3. Bank balance sheets and the transmission of financial shocks to borrowers: evidence from the 2007-2008 crisis By Emilia Bonaccorsi di Patti; Enrico Sette
  4. Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis By Viral V. Acharya; Nada Mora
  5. Does Macro-Pru Leak? Evidence from a UK Policy Experiment By Shekhar Aiyar; Charles W. Calomiris; Tomasz Wieladek
  6. Transparency in the banking sector By Broll, Udo; Eckwert, Bernhard; Eickhoff, Andreas
  7. The impact of the recent financial crisis on bank loan interest rates and guarantees. By Calcagnini, Giorgio; Farabullini, Fabio; Giombini, Germana
  8. Contagion in financial networks: a threat index By Gabrielle Demange
  9. Bank-related loan supply factors during the crisis: An analysis based on the German bank lending survey By Blaes, Barno
  10. How Should We Bank With Foreigners? An Empirical Assessment of Lending Behaviour of International Banks to Six East Asian Countries By Victor Pontines; Reza Siregar
  11. Determinants of credit to households in a life-cycle model By Michal Rubaszek; Dobromil Serwa
  12. Foreign banks and foreign currency lending in emerging Europe By Brown, Martin; de Haas, Ralph
  13. Pitfalls in modeling loss given default of bank loans By Hibbeln, Martin; Gürtler, Marc
  14. Soundness and unsoundness of banking sector in Nigeria: a discriminant analytical approach. By Okpara, Godwin Chigozie
  15. Impact of Liberalization and Globalization on Productivity in Indian Banking: A Comparative Analysis of Public Sector, Private, and Foreign Banks By Subhash Ray
  16. Bank market concentration and efficiency in the European Union: a panel granger causality approach By Cândida Ferreira
  17. Global survey of development banks By de Luna-Martinez, Jose; Vicente, Carlos Leonardo
  18. Access to credit in times of crisis: measures to support firms and households By Laura Bartiloro; Luisa Carpinelli; Paolo Finaldi Russo; Sabrina Pastorelli
  19. Understanding the high profitability of Chinese banks By Löchel, Horst; Li, Helena Xiang
  20. Comment les banques octroient les crédits aux PME ?. By Smondel, Aymen
  21. Follow the money: what does the literature on banking tell prudential supervisors on bank business models? By Paul Cavelaars; Joost Passenier
  22. Loan and nonloan flows in the Australian interbank network By Andrey Sokolov; Rachel Webster; Andrew Melatos; Tien Kieu
  23. The End of Bank Secrecy? An Evaluation of the G20 Tax Haven Crackdown By Niels Johannesen; Gabriel Zucman
  24. Aggregate Implications of a Credit Crunch By Francisco J. Buera; Benjamin Moll
  25. Mortgage Lending and the Great moderation: a multivariate GARCH Approach By Bezemer, Dirk J; Grydaki, Maria

  1. By: Düwel, Cornelia; Frey, Rainer; Lipponer, Alexander
    Abstract: This study investigates the determinants of adjustments in the provision of cross-border loans by internationally active banks. For the period from 2002 to 2010, we look at quarterly transaction data (excluding valuation effects) on long-term loans issued by the largest 69 German banking groups to the private sector of 66 countries. We show that the parent bank's lending adjustment is based almost exclusively on supply-side determinants, in particular on bank-specific factors. However, foreign countries' demand and risk characteristics become more relevant when loans are distributed by banks' affiliates located abroad. Focusing on risk measures such as the parent bank's ratio of Tier I capital to risk-weighted assets, we find that rising risk aversion among banks curbed cross-border lending during the financial crisis, especially at a later stage following the collapse of Lehman Brothers. However, we find a threshold at around 11% of the Tier I capital ratio above which an increase in the ratio does not curb lending anymore. --
    Keywords: cross-border lending,banks,financial crisis
    JEL: G21 F23 F34
    Date: 2011
  2. By: Leonardo Gambacorta (Bank for International Settlements); Paolo Emilio Mistrulli (Bank of Italy)
    Abstract: A substantial literature has investigated the role of relationship lending in shielding borrowers from idiosyncratic shocks. Much less is known about how lending relationships and bank-specific characteristics affect the functioning of the credit market in an economy-wide crisis, when banks may find it difficult to perform the role of shock absorbers. We investigate how bank-specific characteristics (size, liquidity, capitalization, funding structure) and the bank-firm relationship have influenced interest rate setting since the collapse of Lehman Brothers. Unlike the existing literature, which has focused chiefly on the amount of credit granted during the crisis, we look at its cost. The data on a large sample of loans from Italian banks to non-financial firms suggest that close lending relationships kept firms more insulated from the financial crisis. Further, spreads increased by less for the customers of well-capitalized, liquid banks and those engaged mainly in traditional lending business.
    Keywords: bank interest rate setting, lending relationship, bank lending channel, financial crisis.
    JEL: G21 E44
    Date: 2011–10
  3. By: Emilia Bonaccorsi di Patti (Bank of Italy and World Bank); Enrico Sette (Bank of Italy)
    Abstract: We use Italian data on bank lending to firms to study the transmission of shocks affecting bank balance sheets to the volume and cost of credit granted to business borrowers and to the probability of banks accepting loan applications from new borrowers during the 2007-2008 financial crisis. The identification of the credit-supply effect is based on a difference-in-difference approach because: a large number of firms in Italy borrow from more than one bank; the shocks to the wholesale funding market were exogenous to Italian banks; and Italian banks were affected to a varying extent by the crisis depending on their funding structure. Results indicate that supply conditions worsened most for the banks that were most exposed to the interbank market and for those that made the most use of securitization. While the initial capital position of banks did not significantly affect their lending, the deterioration of bank capitalization as proxied by charge-offs and profitability had a significant impact. Furthermore, our results suggest that bank capital influenced lending indirectly, with higher capital reducing the elasticity of lending to the shocks on the funding side.
    Keywords: bank balance sheet, transmission of shocks, credit supply, financial crisis
    JEL: G21 E51 E44
    Date: 2012–01
  4. By: Viral V. Acharya; Nada Mora
    Abstract: Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The standard argument - that banks can - hinges on deposit inflows that are seeking a safe haven and provide banks with a natural hedge to fund drawn credit lines and other commitments. We shed new light on this issue by studying the behavior of bank deposit rates and inflows during the 2007-09 crisis. Our results indicate that the role of the banking system as a stabilizing liquidity insurer is not one of the passive recipient, but of an active seeker, of deposits. We find that banks facing a funding squeeze sought to attract deposits by offering higher rates. Banks offering higher rates were also those most exposed to liquidity demand shocks (as measured by their unused commitments, wholesale funding dependence, and limited liquid assets), as well as with fundamentally weak balance-sheets (as measured by their non-performing loans or by subsequent failure). Such rate increases have a competitive effect in that they lead other banks to offer higher rates as well. Overall, the results present a nuanced view of deposit rates and flows to banks in a crisis, one that reflects banks not just as safety havens but also as stressed entities scrambling for deposits.
    JEL: E4 G01 G11 G21 G28
    Date: 2012–02
  5. By: Shekhar Aiyar; Charles W. Calomiris; Tomasz Wieladek
    Abstract: The regulation of bank capital as a means of smoothing the credit cycle is a central element of forthcoming macro-prudential regimes internationally. For such regulation to be effective in controlling the aggregate supply of credit it must be the case that: (i) changes in capital requirements affect loan supply by regulated banks, and (ii) unregulated substitute sources of credit are unable to offset changes in credit supply by affected banks. This paper examines micro evidence—lacking to date—on both questions, using a unique dataset. In the UK, regulators have imposed time-varying, bank-specific minimum capital requirements since Basel I. It is found that regulated banks (UK-owned banks and resident foreign subsidiaries) reduce lending in response to tighter capital requirements. But unregulated banks (resident foreign branches) increase lending in response to tighter capital requirements on a relevant reference group of regulated banks. This “leakage” is substantial, amounting to about one-third of the initial impulse from the regulatory change.
    JEL: E32 E51 F30 G21 G28
    Date: 2012–02
  6. By: Broll, Udo; Eckwert, Bernhard; Eickhoff, Andreas
    Abstract: The paper revisits the impact of uncertainty on the decision problem of a bank. The bank extends risky loans to private investors and sells deposits to savers at fixed rates. The uncertainty under which deposit/loan-portfolios are chosen by banks is endogenized through an information system that conveys public signals about the return distribution of bank loans. Transparency in the banking sector is defined in terms of the reliability of these signals. We find that higher transparency always raises expected bank profits, but may lead to a higher or lower expected loan volume. Moreover, higher transparency may reduce economic welfare. --
    Keywords: market transparency,banking firm
    JEL: G21 G32 D81
    Date: 2011
  7. By: Calcagnini, Giorgio; Farabullini, Fabio; Giombini, Germana
    Abstract: The paper analyzes the role of guarantees on loan interest rates before and during the recent financial crisis in Italian firm financing. The paper improves on existing literature by distinguishing between real and personal guarantees. Further, the paper investigates the potential different role of guarantees in the bank-borrower relationship during the recent financial crisis. This paper draws from individual Italian bank and firm data taken from the Banks’ Supervisory Reports to the Bank of Italy and the Central Credit Register over the period 2006-2009. Our analysis demonstrates that collateral affects the cost of credit of Italian firms by systematically reducing the interest rate of secured loans, while personal guarantees increase it. These effects are amplified during the crisis. Furthermore, guarantees are a more powerful instrument for ex-ante riskier borrowers than for safer borrowers. Indeed, riskier borrowers obtain significantly lower interest rates on secured loans than interest rate they would be charged on unsecured loans.
    Keywords: financial crisis; guarantees; lending relationship
    JEL: E43 D82 G21
    Date: 2012–02–14
  8. By: Gabrielle Demange (PSE - Paris-Jourdan Sciences Economiques - CNRS : UMR8545 - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole des Ponts ParisTech - Ecole Normale Supérieure de Paris - ENS Paris - INRA, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)
    Abstract: An intricate web of claims and obligations ties together the balance sheets of a wide variety of financial institutions. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate defaults and bankruptcy. Building on a simple model for the joint determination of the repayments of interbank claims, this paper introduces a measure of the threat that a bank poses to the system. Such a measure, called threat index, may be helpful to determine how to inject cash into banks so as to increase debt reimbursement, or to assess the contributions of individual institutions to the risk in the system. Although the threat index and the default level of a bank both reflect some form of weakness and are affected by the whole liability network, the two indicators differ. As a result, injecting cash into the banks with the largest default level may not be optimal.
    Keywords: Contagion ; Systemic risk ; Financial linkages ; Bankruptcy
    Date: 2012–01
  9. By: Blaes, Barno
    Abstract: This paper analyses the role of bank-related constraints in explaining the sharp slowdown in bank lending to non-financial corporations in Germany during the recent financial crisis. We use a panel approach based on a unique data set which matches the individual responses of the banks participating in the Eurosystem's Bank Lending Survey with the corresponding micro data on loan quantities and prices. Our main finding is that bank-related supply and demand-side indicators were both important in explaining the slowdown of bank lending during the crisis years. The results suggest that the dampening impact of the bank-related restrictions was strongest from the third quarter of 2009 to the first quarter of 2010. Over this short period, more than one-third of the explained negative loan development was due to the restrictive adjustments of purely bank-related factors, such as the costs related to the bank's capital, market financing conditions and the bank's liquidity position. --
    Keywords: Bank Lending Survey,credit supply,panel data,financial crisis,Germany
    JEL: C23 E30 E51 G21
    Date: 2011
  10. By: Victor Pontines; Reza Siregar
    Abstract: The possible crucial role of international bank lending in the transmission of adverse economic disturbance from advanced economies to emerging economies in the recent global financial crisis has once again placed this type of capital flows into sharper scrutiny both in academic and policy discussions. We construct macro-and micro-panel data on international bank lending to six Asian economies, viz., Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand, to analyze a number of objectives. We first examine the influence of a number of critical determinants not only to overall international bank lending but also to cross-border bank lending, and obtained one critical finding in this part of the study that cross-border lending by international banks tend to pull-out from host economies during difficult times in source economies, whereas such retrenchment are not evident on an aggregated basis. This may suggest that encouraging brick-and-mortar affiliates of international banks to ‘set up shop’ in recipient economies may be the judicious choice for these economies. We next critically examine the difference between subsidiaries and branches of international banks in terms of their ability to shield themselves from the financial difficulties of their global parent banks and thus their ability to continue lending in destination markets. According to our results, foreign bank subsidiaries are more capable in this regard. This finding carries with it the obvious attraction of favouring an organizational banking structure that is biased towards subsidiaries. However, national banking regulators should remember that apart from encouraging a host of other domestic and cross-border initiatives, encouraging the entry of brick-and mortar subsidiaries of international banks should not viewed as a panacea to the financial stability concerns not only in Asia but also across emerging markets in general.
    JEL: C23 F34 F36 G15 N25
    Date: 2012–02
  11. By: Michal Rubaszek (National Bank of Poland, 00-919 Warszawa, ul. Świętokrzyska 11/21, Poland and Warsaw School of Economics.); Dobromil Serwa (National Bank of Poland, 00-919 Warszawa, ul. Świętokrzyska 11/21, Poland and Warsaw School of Economics.)
    Abstract: This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries. JEL Classification: E21, E43, E51.
    Keywords: Household credit, life cycle economies, banking sector.
    Date: 2012–02
  12. By: Brown, Martin; de Haas, Ralph
    Abstract: Based on survey data from 193 banks in 20 countries we provide the first bank-level analysis of the relationship between bank ownership, bank funding and foreign currency (FX) lending across emerging Europe. Our results contradict the widespread view that foreign banks have been driving FX lending to retail clients as a result of easier access to foreign wholesale funding. Our cross-sectional analysis shows that foreign banks do lend more in FX to corporate clients but not to households. Moreover, we find no evidence that wholesale funding had a strong causal effect on FX lending for either foreign or domestic banks. Panel estimations show that the foreign acquisition of a domestic bank does lead to faster growth in FX lending to households. However, this is driven by faster growth in household lending in general not by a shift towards FX lending.
    Keywords: Foreign banks; FX lending; financial integration; Emerging Europe
    JEL: F15 F36 G21
    Date: 2012–01
  13. By: Hibbeln, Martin; Gürtler, Marc
    Abstract: The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage. For bank loans, the estimation is usually based on discounted recovery cash flows, leading to workout LGDs. In this paper, we reveal several problems that may occur when modeling workout LGDs, leading to LGD estimates which are biased or have low explanatory power. Based on a data set of 71,463 defaulted bank loans, we analyze these issues and derive recommendations for action in order to avoid these problems. Due to the restricted observation period of recovery cash flows the problem of length-biased sampling occurs, where long workout processes are underrepresented in the sample, leading to an underestimation of LGDs. Write-offs and recoveries are often driven by different influencing factors, which is ignored by the empirical literature on LGD modeling. We propose a two-step approach for modeling LGDs of non-defaulted loans which accounts for these differences leading to an improved explanatory power. For LGDs of defaulted loans, the type of default and the length of the default period have high explanatory power, but estimates relying on these variables can lead to a significant underestimation of LGDs. We propose a model for defaulted loans which makes use of these influence factors and leads to consistent LGD estimates. --
    Keywords: Credit risk,Bank loans,Loss given default,Forecasting
    JEL: G21 G28
    Date: 2011
  14. By: Okpara, Godwin Chigozie
    Abstract: This paper set out to determine the factors that discriminate most in the classification of banks into sound and unsound position using method of discriminant analysis. Data used were sourced from the annual report of the Nigerian deposit and insurance corporation. The findings revealed the order of severity of institutional factors that could lead to bank distress. The none performing loans to total loans contributed about 53.4% of the total discriminant scores while capital to risk weighted asset contributed 19 percent to the group separation of the discriminant function. Others, gross loan to deposit ratio (with 14.34%), average liquidity ratio (with 9.25%) and insured deposit to total deposit (with 3.76%) made little discriminating contributions while the rest of the variables made insignificant contributions. Thus, by this reason of contribution, the 25% non scientifically determined (and subjective based judgment) component weight attached to asset quality in the CAMEL rating should be increased to at least 1/3 (30%) of the total weight components since its components are found to dominate the discriminant score.
    Keywords: Soundness; Unsoundness; Bank Distress; Non Performing Loan; Capital to Risk Weighted Assets; CAMEL; Discriminant Analysis
    JEL: E58 G18 G32 G21 G01
    Date: 2012–02–03
  15. By: Subhash Ray (University of Connecticut)
    Abstract: Although dominated by public sector banks, India already had a significant presence of private domestic banks and foreign banks. What the banking reforms have done is to create a more level playing field where banks of different ownership types compete within a new set of broad (and far more relaxed) regulations. Data on the performance of the three different categories of banks over the past two decades offer an opportunity to assess to what extent the regulatory changes have improved the productive efficiency of the banking sector in India. Apart from analyzing the standard descriptive measures of performance, this paper uses the nonparametric approach of Data Envelopment Analysis to measure total factor productivity growth and its components to assess the impact of liberalization on different ownership categories of banks in India. The broad conclusion is that it is possible to promote financial soundness by introducing proper prudential norms and to improve operational efficiency without wholesale privatization by allowing competition between public, private and foreign banks. This can be a valuable lesson for other developing countries. JEL Classification: G21, C61 Key words: Banking Reforms, Data Envelopment Analysis, Efficiency Analysis
    Date: 2011–11
  16. By: Cândida Ferreira
    Abstract: The relationships between bank market concentration and bank efficiency are of particular relevance in the European Union (EU), but they remain controversial. Using a panel Granger causality approach, this paper contributes to the literature, testing not only the causality running from bank market concentration to bank efficiency, but also the reverse causality running from efficiency to concentration. The results obtained confirm the relative complexity of these causality relationships, although they generally point to a negative causation running both from concentration to efficiency and from efficiency to concentration. These findings are in line with the Structure Conduct Performance (SCP) paradigm and the suggestions that the increase of the banks’ market power will contribute to inefficiency, since these banks will face less competition to obtain more output results with less input costs. Our results suggest that within this panel of all 27 EU countries over a relatively long time period, from 1996 to the onset of the 2008 financial crisis, the more cost-efficient commercial and savings banks operated in less concentrated markets.
    Keywords: Concentration, Efficiency, Granger causality, European banks.
    JEL: G21 F36 D24 L11
    Date: 2012–01
  17. By: de Luna-Martinez, Jose; Vicente, Carlos Leonardo
    Abstract: Historically, development banks have been an important instrument of governments to promote economic growth by providing credit and a wide range of advisory and capacity building programs to households, small and medium enterprises, and even large private corporations, whose financial needs are not sufficiently served by private commercial banks or local capital markets. During the current financial crisis, most development banks in Latin America, followed by Asia, Africa, and Europe, have assumed a countercyclical role by scaling up their lending operations exactly when private banks experienced temporary difficulties in granting credit to the private sector. Despite the importance of development banks during crisis and non-crisis periods, little is known about them. This survey examines how development banks operate, what their policy mandates are, what financial services they offer, which type of clients they target, how they are regulated and supervised, what business models they have adopted, what governance framework they have, and what challenges they face. It also examines the countercyclical role played by development banks during the recent financial crisis. This survey is based on new data that have been collected from 90 national development banks in 61 countries.
    Keywords: Banks&Banking Reform,Access to Finance,Debt Markets,Bankruptcy and Resolution of Financial Distress,Emerging Markets
    Date: 2012–02–01
  18. By: Laura Bartiloro (Banca d'Italia); Luisa Carpinelli (Banca d'Italia); Paolo Finaldi Russo (Banca d'Italia); Sabrina Pastorelli (Banca d'Italia)
    Abstract: The financial crisis that started in August 2007 has led to a worsening in the conditions of credit supply to customers. Since the second half of 2008, several measures have been adopted in order to sustain access to credit for both firms and households, such as debt moratoria, provisions of guarantees on specific types of loans, and various forms of incentives to increase the supply of lending. The initiatives aimed at firms have been sizeable, involving financial resources up to as much as 5 per cent of total bank loans granted between the beginning of 2009 and September 2011. The corresponding value for households has been more modest, slightly above 1 per cent; this is mainly because of the strict qualification requirements applied to some of the initiatives and to their limited financial endowment.
    Keywords: access to credit, debt moratoria, guarantee provisions
    JEL: E65 G28 H81
    Date: 2012–01
  19. By: Löchel, Horst; Li, Helena Xiang
    Abstract: The big Chinese state-owned banks came as winners out of the global financial crisis. According to the Banker ranking, Chinese banks led the global banking profitability ranking through the years from 2008 to 2010 and contributed one fifth of global banking profits in 2010. The Chinese banking sector, which was deemed as wholly insolvent ten years ago, was reborn like a phoenix from the fire of the Asian financial crisis and the current financial crisis. The banking reform in the last decade with large-scale capital injection, assets carve-outs, restructuring and public listing celebrated great success. However, the low efficiency in Chinese banks is still persistent, as evident in many empirical studies (e.g. Feyzioglu, (2009)). The contradiction of high profitability and low efficiency causes great confusion in understanding banking in China. Our paper aims to reveal the real sources of the high profitability of the big Chinese banks. We compare their profitability pattern with peer banks from Asia, Europe and North America. We first test the hypothesis that the average asset return of the big five Chinese banks will fall below the international comparative level if the current high net interest margin given by the managed interest system in China falls to the international peer average level. Surprisingly, the hypothesis has to be rejected. Instead, our results show that the profitability of Chinese banks stays at international comparative level, despite the high inefficiency in Chinese banks. We therefore test a second hypothesis stating that the profitability of Chinese banks will fallbelow their international peers if staff costs increase by 30 percent in average to reach the international level, with the joint condition of margin decrease. This hypothesis can be proved, which means that the big five Chinese banks compensate its inefficiency by a combination of a non-competitive high interest margin and unsustainable lower labor cost. The above results of course raise the question how the big Chinese banks can stay competitive if China continues to liberalize its interest rate system and labor cost increases. In our concluding remarks, we discuss the possibility that Chinese banks change their business model towards universal banking with additional non-interest income to compensate the drop in interest margin. --
    Keywords: China,banks,finance,banking business model,universal banking
    JEL: G01 G20 G21 G28
    Date: 2011
  20. By: Smondel, Aymen
    Abstract: L'application des recommandations de Bâle II en matière d'information impose aux banques l'utilisation de l'information « hard » dans le processus de prise de décision pour les crédits des PME. Ces banques doivent choisir entre substituer l'information « soft », déjà utilisée, par l'information « hard » ou combiner les deux formes d'information. Cette thèse explore les différents éléments qui peuvent influencer ce choix et cherche à monter l'effet de ce choix sur la performance bancaire. Etant donné que le coût de l'information représente un élément fondamental pour élaborer ce choix, nous essayons de représenter ce coût en se basant sur le temps nécessaire à la collecte et le traitement de l'information. L'utilisation de l'information « hard » diminue la flexibilité des banques lors de l'octroi des crédits aux PME, à cet effet, nous examinons les différents éléments qui influencent la prise de cette décision et nous intégrons la nature de l'information parmi les éléments étudiés. Les résultats montrent une relation positive entre la disponibilité des crédits et l'utilisation de l'information « soft ». L'asymétrie d'information représente un handicap majeur pour les banques à distinguer les différents types d‟emprunteur. Des décisions de rationnement peuvent pénaliser des bons emprunteurs. Les banques qui craignent la perte de leurs clients adoptent des nouvelles activités en quête de rentabiliser les crédits les plus risqués. La dernière étude de notre thèse essaye de montrer l'effet de l‟offre de ces services sur le volume des crédits octroyés et sur la marge nette d'intérêt.
    Abstract: The recommendations of Basel II impose to banks the use of the "hard" information in the decision making process of SMEs loans. These banks must choose between replacing the "soft" information, already used, by the "hard" information and combining the two forms of information. This thesis explores the various elements that can influence this choice and tries to get the effect of this choice on the bank performance. Since, the cost of information is a fundamental element to adopt this choice; we tried to represent a measure to this cost of information. This cost is based on the time required for the collection and processing of the information. It turns out that the use of "hard" information decreases the flexibility of banks to grant loans to SMEs, for this purpose we tried to examine the different elements that influence the decision-making. We tried to integrate the nature of information among the elements studied. The results show a positive relationship between credit availability and the use of "soft" information. Information asymmetry is a major handicap for banks to distinguish between different types of borrower so the decision of rationing can penalize the good borrowers. Banks, which fear the loss of their customers, are looking to find a solution to this situation: they adopt new activities in search to make profits from riskier loans. The latest study of our thesis tries to show the effect of such services on the volume of loans granted and the net interest margin. Keywords: "soft" information, "hard" information, bank-SME relationship, information asymmetries, credit rationing, new services, non-interest income.
    Keywords: "soft" information; "hard" information; bank-SME relationship; information asymmetries; credit rationing; new services; non-interest income; information « soft »; information « hard »; relation banque-PME; asymétrie d'information; rationnement des crédits; nouveaux services; revenus non liés à l‟intérêt;
    JEL: L11 G32 D82
    Date: 2011–12
  21. By: Paul Cavelaars; Joost Passenier
    Abstract: This paper gives an overview of the recent literature on bank business models, structured along what we deem to be the three central questions when analysing business models. By doing so, we endeavour to provide the recent shift in prudential supervision towards the analysis of bank business models with a sound economic basis. The bottom-line for supervisors - in our view - is that it is essential to understand where the profit comes from and what risks the bank or the banking sector is exposed to in generating those profits.
    Keywords: banking; business model
    JEL: G21 G28
    Date: 2012–02
  22. By: Andrey Sokolov; Rachel Webster; Andrew Melatos; Tien Kieu
    Abstract: High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments sourced from the SWIFT, the Austraclear, and the interbank transactions entered directly into RITS. In this paper, we analyse a dataset received from the Reserve Bank of Australia that includes all interbank transactions settled in RITS on an RTGS basis during five consecutive weekdays from 19 February 2007 inclusive, a week of relatively quiescent market conditions. The source, destination, and value of each transaction are known, which allows us to separate overnight loans from other transactions (nonloans) and reconstruct monetary flows between banks for every day in our sample. We conduct a novel analysis of the flow stability and examine the connection between loan and nonloan flows. Our aim is to understand the underlying causal mechanism connecting loan and nonloan flows. We find that the imbalances in the banks' exchange settlement funds resulting from the daily flows of nonloan transactions are almost exactly counterbalanced by the flows of overnight loans. The correlation coefficient between loan and nonloan imbalances is about -0.9 on most days. Some flows that persist over two consecutive days can be highly variable, but overall the flows are moderately stable in value. The nonloan network is characterised by a large fraction of persistent flows, whereas only half of the flows persist over any two consecutive days in the loan network. Moreover, we observe an unusual degree of coherence between persistent loan flow values on Tuesday and Wednesday. We probe static topological properties of the Australian interbank network and find them consistent with those observed in other countries.
    Date: 2012–02
  23. By: Niels Johannesen (Department of Economics - University of Copenhagen - University of Copenhagen); Gabriel Zucman (PSE - Paris-Jourdan Sciences Economiques - CNRS : UMR8545 - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole des Ponts ParisTech - Ecole Normale Supérieure de Paris - ENS Paris - INRA, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)
    Abstract: During the financial crisis, G20 countries compelled tax havens to sign bilateral treaties providing for exchange of bank information. Is it the end of bank secrecy? Exploiting a unique panel dataset, we study how the treaties affected bank deposits in tax havens. Our results suggest that most tax evaders did not respond to the treaties but that a minority responded by transferring their deposits to havens not covered by a treaty. Overall, the G20 tax haven crackdown caused a modest relocation of deposits between havens but no significant repatriation of funds: the era of bank secrecy is not yet over.
    Keywords: Tax havens ; Tax evasion
    Date: 2012–02
  24. By: Francisco J. Buera; Benjamin Moll
    Abstract: We take an off-the-shelf model with financial frictions and heterogeneity, and study the mapping from a credit crunch, modeled as a shock to collateral constraints, to simple aggregate wedges. We study three variants of this model that only differ in the form of underlying heterogeneity. We find that in all three model variants a credit crunch shows up as a different wedge: efficiency, investment, and labor wedges. Furthermore, all three model variants have an undistorted Euler equation for the aggregate of firm owners. These results highlight the limitations of using representative agent models to identify sources of business cycle fluctuations.
    JEL: E32 E44
    Date: 2012–01
  25. By: Bezemer, Dirk J; Grydaki, Maria
    Abstract: Financial innovation during the Great Moderation increased the size and scope of credit flows in the US. Credit flows increased both in volume and with regard to the range of activities and investments that was debt-financed. This may have contributed to the reduction in output volatility that was the Great Moderation. We hypothesize that during the Great Moderation (i) growth in mortgage finance partly decoupled from fundamentals as measured by overall output growth and (ii) this allowed mortgages less to finance residential investment and more to finance spending on other GDP components. We document that the start of the Moderation coincided with a surge in bank credit creation (especially mortgage credit), a rise in property income, a rise in the consumption share of GDP, and a change in correlation (from positive to negative) between consumption and non-consumption GDP components (investment, export and government expenditure). In a multivariate GARCH framework, we observe unidirectional causality in variance from total output to mortgage lending before the Great Moderation, which is no longer detectable during the Great Moderation. We also find that bidirectional causality in variance of home mortgage lending and residential investment existed before, but not during the Great Moderation. Both these findings are consistent with a role for credit dynamics in explaining the Great Moderation.
    Keywords: great moderation; mortgage credit; multivariate GARCH; causality
    JEL: C51 C32 C52 E44
    Date: 2012–01

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