nep-ban New Economics Papers
on Banking
Issue of 2022‒01‒31
twenty-two papers chosen by
Sergio Castellanos-Gamboa, , Pontificia Universidad Javeriana

  1. Impact of financial development on bank profitability By Ozili, Peterson K; Ndah, Honour
  2. When government expenditure meets bank regulation: The impact of government expenditure on credit supply By Li, Boyao
  3. Consumer Credit with Over-Optimistic Borrowers By Florian Exler; Igor Livshits; James MacGee; Michele Tertilt
  4. The effects of regional banks on economic resilience during the COVID-19 pandemic and the global financial crisis a cross-country comparison of the European countries By Flögel, Franz; Hejnová, Tereza
  5. Democratic Political Economy of Financial Regulation By Igor Livshits; Youngmin Park
  6. Buy Now, Pay Later (BNPL)...On Your Credit Card By Benedict Guttman-Kenney; Christopher Firth; John Gathergood
  7. Short-term Prediction of Bank Deposit Flows: Do Textual Features matter? By Katsafados, Apostolos; Anastasiou, Dimitris
  8. Why did the Peer-to-peer Lending Market Fail in China? By Sunny Yangguang Huang
  9. Financial Consequences of Severe Identity Theft in the U.S. By Nathan Blascak; Julia S. Cheney; Robert M. Hunt; Vyacheslav Mikhed; Dubravka Ritter; Michael Vogan
  10. Carbon emissions and banking stability: Global evidence By Agbloyor, Elikplimi Kolma; Dwumfour, Richard Adjei; Pan, Lei; Yawson, Alfred
  11. Financial inclusion: the globally important determinants By Ozili, Peterson K
  12. E-Money and Deposit Insurance in Kenya By Defina, Ryan; Van Roosebeke, Bert; Manga, Paul
  13. Essays on financial market aspects of corporate lawsuits and investor sentiment in stock markets By Flore, Christian
  14. Individual and Local Effects of Unemployment on Mortgage Defaults By Kevin Bazer; Sílvio Rendon
  15. Bids for Speed: An empirical Study of Investment Strategy Automation in a Peer-to-Business Lending Platform By Eric Darmon
  16. Microfinance, Moneylenders, and Economic Shocks: An Assessment of the Bangladesh Experience By Emran, M. Shahe; Shilpi, Forhad
  17. Assessing Climate-Related Financial Risk: Guide to Implementation of Methods By Hossein Hosseini; Craig Johnston; Craig Logan; Miguel Molico; Xiangjin Shen; Marie-Christine Tremblay
  18. Tackling the Scale-up Gap: Evidence and impact of the scale-up financing gap for innovative firms in Europe and reflections on potential solutions By Anita Quas; Colin Mason; Ramón Compañó; James Gavigan; Giuseppina Testa
  19. Monetary Policy and Endogenous Financial Crises By Frederic Boissay; Fabrice Collard; Jordi Galí; Cristina Manea
  20. Sustainable Finance Literacy and the Determinants of Sustainable Investing By Massimo Filippini; Markus Leippold; Tobias Wekhof
  21. High-Frequency Identification of Monetary Policy Shocks in Japan (Revised version of CARF-F-502)(Forthcoming in the Japanese Economic Review) By Hiroyuki Kubota; Mototsugu Shintani
  22. Effizienz der deutschen Sparkassen in Zeiten von Niedrigzins und Digitaler Transformation By Thiem, Oliver Guido

  1. By: Ozili, Peterson K; Ndah, Honour
    Abstract: In this paper, we examine whether financial development is an important determinant of bank profitability. Using the robust ordinary least square and the generalized method of moments regression methodology, we find a significant negative relationship between the financial system deposits to GDP ratio and the non-interest income of Nigerian banks. This indicates that higher financial system deposits to GDP depresses the non-interest income of Nigerian banks. The result implies that the larger the size of the Nigerian financial system, the lower the profitability of banks in Nigeria. Also, we observe that bank concentration, nonperforming loans, cost efficiency and the level of inflation are significant determinants of the profitability of Nigerian banks.
    Keywords: Bank profitability, financial development, banks, return on assets, return on equity, Nigeria, financial system, bank concentration, economic growth, size of financial system, domestic credit to private sector
    JEL: F38 G20 G21 G28
    Date: 2022
  2. By: Li, Boyao
    Abstract: I develop a banking model to examine the effects of government expenditures on the credit and money supply under Basel III regulations. Purchases of goods and services from real firms or transfer payments to households as conventional government expenditures (CGEs) inject reserves into banks. Purchases of equity from banks as unconventional government expenditures (UGEs) inject equity into banks. Three Basel III regulations are examined: the capital adequacy ratio, liquidity coverage ratio, and net stable funding ratio. My results demonstrate that the CGE or UGE causes multiplier effects on the credit supply. The multiplier greater (less) than one means that banks amplify (contract) the government expenditure. Multiplier effects on the money supply in response to the CGE or UGE are also presented. My paper sheds considerable light on how government expenditure and bank regulation simultaneously affect the credit and money supply.
    Keywords: Bank credit supply; Government expenditure; Basel III; Multiplier effect; Balance sheet
    JEL: E51 E61 E62 G21 G28
    Date: 2021–12–30
  3. By: Florian Exler; Igor Livshits; James MacGee; Michele Tertilt
    Abstract: Do cognitive biases call for regulation to limit the use of credit? We incorporate over-optimistic and rational borrowers into an incomplete markets model with consumer bankruptcy. Over-optimists face worse income risk but incorrectly believe they are rational. Thus, both types behave identically. Lenders price loans forming beliefs—type scores—about borrower types. This gives rise to a tractable theory of type scoring. As lenders cannot screen types, borrowers are partially pooled. Over-optimists face cross subsidized interest rates but make financial mistakes: borrowing too much and defaulting too late. The induced welfare losses outweigh gains from cross subsidization. We calibrate the model to the U.S. and quantitatively evaluate policies to address these frictions: financial literacy education, reducing default cost, increasing borrowing costs, and debt limits. While some policies lower debt and filings, only financial literacy education eliminates over borrowing and improves welfare. Score-dependent borrowing limits can reduce financial mistakes but lower welfare.
    Keywords: Consumer Credit; Over-Optimism; Financial Mistakes; Bankruptcy; Default; Financial Literacy; Financial Regulation; Type Score; Cross-Subsidization
    JEL: E21 E49 G18 K35
    Date: 2021–12–07
  4. By: Flögel, Franz; Hejnová, Tereza
    Abstract: An economy's ability to resist adverse shocks, such as an economic recession or natural disaster, is associated with its financial system structure due to different countercyclical funding capabilities. This paper uses a novel database of bank headquarter locations in a cross-country comparison to investigate whether a decentralised geographical structure cushioned economic shocks during the COVID-19 pandemic and the global financial crisis (GFC). Findings suggest that the impacts of decentralisation differ between the two crises: while a greater spread of regional banks was associated with economic resilience during the GFC, countries with more centralised banking systems performed better in the first year of the pandemic. Future studies of pandemic recovery paths will show if regional banks have lost their ability for countercyclical funding, or if this non-financial crisis has rendered financial structure less important.
    Keywords: COVID-19 pandemic,regional banks,soft information,economic resilience
    JEL: G21 D82 O47 R58 H12
    Date: 2021
  5. By: Igor Livshits; Youngmin Park
    Abstract: This paper offers a simple theory of inefficiently lax financial regulation arising as an outcome of a democratic political process. Lax financial regulation encourages some banks to issue risky residential mortgages. In the event of an adverse aggregate housing shock, these banks fail. When banks do not fully internalize the losses from such failure (due to limited liability), they offer mortgages at less than actuarially fair interest rates. This opens the door to homeownership for young, low net-worth individuals. In turn, the additional demand from these new homebuyers drives up house prices. This leads to a non-trivial distribution of gains and losses from lax regulation among households. On the one hand, renters and individuals with large non-housing wealth suffer from the fragility of the banking system. On the other hand, some young, low net-worth households are able to get a mortgage and buy a house, and current (old) homeowners benefit from the increase in the price of their houses. When these latter two groups, who benefit from the lax regulation, constitute a majority of the voting population, then regulatory failure can be an outcome of the democratic political process.
    Date: 2022–01–10
  6. By: Benedict Guttman-Kenney; Christopher Firth; John Gathergood
    Abstract: We show consumers taking out buy now, pay later (BNPL) - an interest-free FinTech product enabling consumers to defer payments into instalments - commonly charge instalments to their credit card (a higher interest rate product). We find $19.5\%$ of credit cardholders in our UK transactions data charged at least one BNPL instalment to their credit card in 2021: a practice $24\%$ more prevalent in the most deprived geographies and among younger consumers. Our analysis provides an example of how consumer financial protection regulators can use real-time transactions data to monitor markets and evaluate potential risks - especially (largely) unregulated, financial innovations such as BNPL.
    Date: 2022–01
  7. By: Katsafados, Apostolos; Anastasiou, Dimitris
    Abstract: The purpose of this study is twofold. First, to construct short-term prediction models for bank deposit flows in the Euro area peripheral countries, employing machine learning techniques. Second, to examine whether textual features enhance the predictive ability of our models. We find that Random Forest models including both textual features and macroeconomic variables outperform those that include only macro factors or textual features. Monetary policy authorities or macroprudential regulators could adopt our approach to timely predict potential excessive bank deposit outflows and assess the resilience of the whole banking sector in the Euro area peripheral countries.
    Keywords: Bank deposit flows; European banks; textual analysis; short-term prediction; machine learning
    JEL: C0 C22 C5 C51 C54 E44 E47 G10
    Date: 2022–01
  8. By: Sunny Yangguang Huang (Assistant Professor, Department of Economics and IEMS Faculty Associate; The Hong Kong University of Science and Technology)
    Abstract: From 2007 to 2020, China's Peer-to-peer lending market experienced a drastic boom and bust, and ended up with zero surviving platforms. The key reason for the collapse of China's P2P sector was that almost all P2P platforms deviate from the role of information intermediary and became shadow banks offering principal guarantee. As the number of P2P platforms increases, each platform has a greater incentive to offer principal guarantee in responses to fierce competition and the lure of financial fraud under limited regulatory capacity. This hurts the investors' and social welfare. The existence of naive investors makes offering principal guarantee more attractive to platforms. Promoting information disclosure may not solve the problem.
    Date: 2022–01
  9. By: Nathan Blascak; Julia S. Cheney; Robert M. Hunt; Vyacheslav Mikhed; Dubravka Ritter; Michael Vogan
    Abstract: We examine how a negative shock from severe identity theft affects consumer credit market behavior in the United States. We show that the immediate effects of severe identity theft on credit files are typically negative, small, and transitory. After those immediate effects fade, identity theft victims experience persistent increases in credit scores and declines in reported delinquencies, with a significant proportion of affected consumers transitioning from subprime-to-prime credit scores. Those consumers take advantage of their improved creditworthiness to obtain additional credit, including auto loans and mortgages. Despite having larger balances, these individuals default on their loans less than they did prior to the identity theft incident.
    Keywords: identity theft; fraud alert; consumer credit; credit performance; limited attention; inattention
    JEL: G5 D14 D18
    Date: 2021–12–02
  10. By: Agbloyor, Elikplimi Kolma; Dwumfour, Richard Adjei; Pan, Lei; Yawson, Alfred
    Abstract: This paper examines the impact of per capita CO2 emissions on banking stability. To identify the causal effect of carbon emissions on the stability of banking system, we use plausibly exogenous source of variations in energy use as an instrumental variable (IV) for CO2 emissions. Using data for a panel of 122 countries over the period 2000-2013, our IV regression results indicate that there is an inverted U-shaped relationship between per capita CO2 emissions and banking stability. Our findings reveal that CO2 emissions have a positive effect on banking stability at a low level of emissions and an adverse effect at a higher emissions level. We also find that industrialization as proxied by the ratio of manufacturing value added to GDP can be a potential channel through which per capita CO2 emissions affect banking stability. Our results are robust to alternative specifications and have important implications for policy on banking stability.
    Keywords: CO2 emissions; Banking stability; Energy use; Nonlinearity
    JEL: G21 Q50 Q53
    Date: 2021–12
  11. By: Ozili, Peterson K
    Abstract: This paper highlights the globally-important determinants of financial inclusion. The determinants identified in this paper are formal account ownership; demand for formal savings; demand for formal borrowings; financial literacy and education; debit and credit cards usage; the need to receive remittances from family and friends; size of the financial system; number of automated teller machines (ATMs); number of bank branch; closeness to a bank; availability and access to mobile phones; availability of digital financial products and services; technology infrastructure; government policy; culture and traditional belief systems; national financial inclusion strategy and implementation; and direct legislation.
    Keywords: financial inclusion; determinants; unbanked adults; access to finance; digital finance; financial literacy
    JEL: G20 G21 I31
    Date: 2021
  12. By: Defina, Ryan; Van Roosebeke, Bert; Manga, Paul
    Abstract: E-money is widespread in Kenya, especially through MPESA, a form of e-money stored on mobile phones and issued by Safaricom, a mobile network operator (MNO). Integration between the MPESA platform and the traditional banking system is increasing. Given the very high use-grade of MPESA throughout the population, it has reached critical importance in Kenya. In Kenya, e-money issuers must back their e-value with bank balances at commercial banks (float), through trust accounts. Deposit insurance does not cover a default of the e-money issuer. However, the Kenya Deposit Insurance Corporation aims at offering pass-through coverage in case of a default of the deposit-taking commercial bank holding the trust accounts. Pass-through coverage is confronted with a number of challenges, including regarding data on the identity of e-money users and their balances held. Also, the critical importance of MPESA raises questions as to how to deal with a potential default of the MNO and the role of deposit insurance in such a scenario. Looking forward, there is merit in further coordination amongst safety net participants as well as in the management of trust accounts and the strengthening of data-availability requirements to e-money issuers.
    Keywords: deposit insurance; bank resolution
    JEL: G21 G33
    Date: 2021–12–09
  13. By: Flore, Christian
    Abstract: This dissertation’s first subject area considers the impact of legal proceedings on corporate valuation. The first paper of this subject area analyzes the shareholder wealth effects of corporate prosecution settlements in the U.S. from 2001 to 2014. The results show that the settlement of criminal prosecution leads to positive shareholder wealth effects due to the resolution of uncertainty. Stockholders generally view the announcement of plea agreements more positively than the announcement of deferred prosecution and non-prosecution agreements. Therefore, the argument that particularly large corporations are treated preferentially and suffer comparatively less when using pretrial diversions cannot be confirmed by the empirical results. The second paper considers the reaction of banks’ stocks, bonds, and credit default swaps to the announcements of monetary penalties. From 2005 to 2015, the 25 largest global financial institutions paid combined more than $285 billion in legal penalties. A reduction in default risk and lower financing costs, as well an increase in the stock market valuation is observed, suggesting that banks benefit from settling lawsuits. Again, the positive reaction is likely driven by the resolution of uncertainty. While the sued bank’s systemic risk increases in the size of the relative monetary penalty, also positive spillover effects to other banks facing pending lawsuits with the same plaintiff are observed, demonstrating the systemic effect of law enforcement against banks. Furthermore, banks appear to correctly anticipate penalties, as they are cash flow-effective but not income-effective in the year they are announced. In the second subject area of this dissertation, the impact of self-disclosed sentiment on the stock market is investigated using the two major social media platforms Seeking Alpha (SA) and StockTwits (ST). It is found that negative self-disclosed sentiment on SA produces economically significant negative returns on the next day. In contrast, self-disclosed disagreement and positive self-disclosed sentiment on ST induce significant trading volume the next day. Both effects are predominantly driven by small stocks. The results indicate that self-disclosed sentiment is a powerful means of measurement and that the quality oriented SA is connected to stock returns while the quantity oriented ST is connected to trading activity.
    Date: 2022
  14. By: Kevin Bazer; Sílvio Rendon
    Abstract: Using survey data from the Panel Study of Income Dynamics, we document descriptively that unemployment has a relatively large effect on individual mortgage default rates: The average default rate for the employed is 2.4%; whereas for the unemployed, it is 8.5%. Once several other characteristics are controlled for, the unemployed have default rates that are 4 percentage points larger than those of the employed; and when endogeneity is additionally accounted for, the unemployment effect on default rates declines to 3 percentage points. Moreover, we find that more granular metrics for unemployment entail lower comparable effects of unemployment on default rates. That is, the comparable effect of individual unemployment on mortgage defaults is rather lower than the effect of state or county unemployment rates. This finding suggests that local metrics of unemployment, rather than attenuating possibly large individual unemployment effects on defaults, indeed contain more information than the aggregation of these individual effects.
    Keywords: mortgage debt; mortgage default; unemployment; consumer credit
    JEL: G21 R31 J64
    Date: 2021–12–01
  15. By: Eric Darmon
    Abstract: We investigate how introducing a bidding agent impacts the process and outcome of an online reverse auction in the context of a crowdlending platform. We consider this issue in the context of a peer-to-business platform that connects individual lenders to small and medium-sized enterprises. Using a before/after study design, we perform an econometric analysis and find that introducing a bidding agent had a positive and dramatic impact on the number of bids and bidders and reduced the time necessary to collect the funds. For projects with lower ratings, it also positively impacted the number of lenders and indirectly enhanced portfolio diversification. We find that after the bidding agent was introduced, well-rated projects benefited from lower interest rates, the magnitude of the change depending positively on their rating. These results provide evidence that the bidding agent generates savings in the screening and bidding costs incurred by lenders and benefits both sides of the platform. Our contribution documents the role of bidding agent as a strategic tool to enhance financial intermediation. It also sheds light on how two types of decision support systems (rating-based and bidding agent) interact and shows that this interaction is of crucial importance with respect to the financial regulation of platforms if the crowd has low financial literacy.
    Keywords: decision support system; crowdlending; bidding agent; online reverse auction.
    JEL: D44 D83
    Date: 2022
  16. By: Emran, M. Shahe; Shilpi, Forhad
    Abstract: The effectiveness of microfinance in improving the economic lives of the poor has been under extensive scrutiny in last two decades. Most of the studies on Bangladesh focus on the poverty and women’s empowerment impacts of microfinance. We provide a discussion on two relatively neglected aspects: the impacts on moneylenders, and the coping ability of households facing adverse shocks. The available evidence suggests that the microfinance in Bangladesh helped free many households from the “clutches” of moneylenders, contradicting the claim of some critics that microfinance exacerbates their dependence on moneylenders. The likelihood that a household takes loans from moneylenders declines by about 70 percent once it becomes a member of a microfinance program. However, the evidence also suggests that the moneylender interest rate goes up when the MFI coverage is high enough in a village, implying that the remaining clients of moneylenders suffer a negative pecuniary externality. The evidence on coping ability suggests that microfinance membership improves food security during flood and Monga. But microfinance membership does not reduce the propensity to sell labor in advance in the lean season and may not help a household undertake short-term migration to urban labor market in response to a shock.
    Keywords: Microfinance, Microcredit, Moneylenders, Interest rate, Cream Skimming, Economic Shocks, Flexible Loan Contract, Seasonal Hunger, Monga, Missing Markets Microfinance, Microcredit, Moneylenders, Interest rate, Cream Skimming, Economic Shocks, Flexible Loan Contract, Seasonal Hunger, Monga, Missing Markets Microfinance, Microcredit, Moneylenders, Interest rate, Cream Skimming, Economic Shocks, Flexible Loan Contract, Seasonal Hunger, Monga, Missing Markets
    JEL: D4 G23 L3 O12 O16
    Date: 2021–12–19
  17. By: Hossein Hosseini; Craig Johnston; Craig Logan; Miguel Molico; Xiangjin Shen; Marie-Christine Tremblay
    Abstract: The Bank of Canada and the Office of the Superintendent of Financial Institutions completed a climate scenario analysis pilot project with the collaboration of six Canadian financial institutions. The project aimed to increase understanding of the financial sector’s potential exposure to risks in transitioning to a low-carbon economy and to help build the capabilities of authorities and financial institutions in assessing climate-related risks. To support the broader financial-sector community in building these capabilities, this report provides detail on the methodologies the pilot used to assess credit and market risks, which were informed by the financial impacts generated by the climate transition scenarios. The method to assess credit risk combined top-down and bottom-up approaches. Variables from the climate transition scenarios were first translated into sector-level financial impacts. The financial institutions then used these impacts to estimate the implications on credit outcomes through borrower-level assessments. Using the transition scenarios’ financial impacts, and the stressed credit outcomes, the project estimated a relationship between climate transition information and credit risk. This was used to calculate expected credit losses at the portfolio level. The method to assess market risk was solely top-down. Using the scenario analysis, the project used a dividend discount model to estimate sectoral equity revaluations, which it then applied to equity portfolio holdings.
    Keywords: Climate change; Financial stability; Econometric and statistical methods; Credit and credit aggregates
    JEL: C C5 C53 C83 G G1 G32
    Date: 2022
  18. By: Anita Quas (University of Milan); Colin Mason (University of Glasgow); Ramón Compañó (European Commission - JRC); James Gavigan (European Commission - JRC); Giuseppina Testa (European Commission - JRC)
    Abstract: The number of scale-up businesses in the EU, particularly unicorns, lags behind the US and China. This is partially attributed to a deficit in scale-up finance. Based on an a webinar between experts which took place on 5th October 2021, this paper reports and comments on the available evidence of the scale-up financing gap in the EU and discusses its causes and consequences. The paper also reviews what types of instruments might address this gap and discusses issues that need to be addressed in the formulation of effective policy interventions. Finally, it points to missing data, existing knowledge gaps, and areas on which further analysis is required to define better policies.
    Keywords: startups, scaleups, venture capital, finance, innovation
    JEL: O32 O31 O25
    Date: 2021–12
  19. By: Frederic Boissay; Fabrice Collard; Jordi Galí; Cristina Manea
    Abstract: We study whether a central bank should deviate from its objective of price stability to promote financial stability. We tackle this question within a textbook New Keynesian model augmented with capital accumulation and microfounded endogenous financial crises. We compare several interest rate rules, under which the central bank responds more or less forcefully to inflation and aggregate output. Our main findings are threefold. First, monetary policy affects the probability of a crisis both in the short run (through aggregate demand) and in the medium run (through savings and capital accumulation). Second, a central bank can both reduce the probability of a crisis and increase welfare by departing from strict inflation targeting and responding systematically to fluctuations in output. Third, financial crises may occur after a long period of unexpectedly loose monetary policy as the central bank abruptly reverses course.
    JEL: E32 E44 E52
    Date: 2021–12
  20. By: Massimo Filippini (ETH Zürich; University of Lugano - Faculty of Economics); Markus Leippold (University of Zurich; Swiss Finance Institute - University of Zurich); Tobias Wekhof (ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich)
    Abstract: This paper introduces the concept of sustainable finance literacy, which refers to retail investors' knowledge of regulations, norms, and standards for financial products with sustainable characteristics. We survey a large sample of Swiss households and measure different literacy concepts using two complementary approaches. First, we use traditional multiple-choice questions, and second, a novel approach based on open-ended questions that ask respondents to write a text response. We find that Swiss households, which typically show high financial literacy by international standards, exhibit a low level of sustainable finance literacy. Interestingly, multiple-choice questions lead to a gender gap, with women performing worse than men. However, this difference disappears when open-ended questions are used. Moreover, despite its low level, sustainable finance literacy is a highly significant factor for sustainable product ownership. Therefore, our results reveal an urgent need to establish transparent regulatory standards and strengthen information campaigns on sustainable financial products.
    Keywords: Sustainable finance literacy, sustainable finance products, ESG, household finance, open-ended questions, gender gap
    JEL: G02 G11 G18 C83
    Date: 2022–01
  21. By: Hiroyuki Kubota (The University of Tokyo); Mototsugu Shintani (The University of Tokyo)
    Abstract: We identify monetary policy shocks in Japan during the unconventional monetary policy period using high-frequency data for interest rate futures. Following the empirical strategy of Gürkaynak, Sack, and Swanson (2005), we conduct an event study analysis to estimate the effects of the monetary policy surprises on asset prices around the timing of policy announcements made by the Bank of Japan between 1999 and 2020. We find that a monetary policy shock can be described by two factors that have statistically significant effects on the financial market. A surprise monetary tightening has negative effects on stock returns and positive effects on government bond yields, even in the low-interest environment. We also find that the responses of the longer term yields tend to be larger than those of the shorter term yields. The response is the largest for the 10-year government bond yield, which has, in the last two decades, been effectively targeted by the Bank of Japan. This finding contrasts with those of previous studies of the conventional monetary policy period, in which responses are larger for the shorter term yields.
    Date: 2021–12
  22. By: Thiem, Oliver Guido
    Abstract: Das Umfeld, in dem Sparkassen als regionale Kreditinstitute agieren, wird zunehmend herausfordernder. Der gesamte Finanzsektor befindet sich in einer massiven Transformation und stellt traditionelle Kreditinstitute vor nachhaltige Herausforderungen. Der deutsche Sparkassensektor hat als eine zentrale Säule der deutschen Kreditwirtschaft eine hohe Bedeutung und unterliegt seit Jahrzehnten strukturellen Änderungen. Die Institute lancieren zunehmend zwischen Ertragserosion und Kostendruck. Betriebswirtschaftliche Leistungsfähigkeit und damit auch effizientes Wirtschaften gewinnt an Bedeutung, auch weil diese Dimensionen unabdingbare Voraussetzungen sind, um die Aufgaben aus dem öffentlichen Auftrag, welcher Sparkassen von anderen Bankensektoren abgrenzt und letztlich ihre Daseinsberechtigung im Markt darstellt, wahrnehmen zu können. Diese Dissertation widmet sich der produktionsökonomischen Effizienz der deutschen Sparkassen im Zeitraum 2009–2018. Aufbauend auf einer umfassenden Systematisierung der Forschungsergebnisse der vergangenen ~25 Jahre werden drei Schwerpunktthemen im Rahmen von separaten empirischen Studien auf Basis der nicht-parametrischen Effizienzmessung mittels der Data Envelopment Analysis (DEA) bearbeitet. Studie 1 analysiert die produktionsökonomische Effizienz mittels der Data-Envelopment-Analysis für den Zeitraum 2009–2018 unter Berücksichtigung interner effizienzbeeinflussender Faktoren. Die Ergebnisse belegen, dass die technische Effizienz der Primärinstitute weiter gesunken ist. Hingegen hat sich die Kosteneffizienz im Beobachtungszeitraum im Gegensatz zu bisherigen Effizienzstudien merklich verbessert. Die Ergebnisse lassen darauf schließen, dass Sparkassen negative Effekte aus der Produktivität durch ein effizienteres Faktorpreis- bzw. Kostenmanagement kompensiert haben. Trotz dieses Umkehrtrends wird aber auch deutlich, dass weiterhin teils erhebliche Ineffizienzen im Sektor vorhanden sind und die Divergenz zwischen effizienten und weniger effizienten Sparkassen zunimmt. Studie 2 analysiert den Einfluss von externen Umfeldfaktoren auf die Effizienz unter Berücksichtigung von Betriebsgrößeneffekten. Der Einfluss von Umfeldfaktoren auf die Effizienz von regionalen Kreditinstituten wie Sparkassen und Kreditgenossenschaften hat in den vergangenen Jahrzehnten in der Forschung eine hohe Aufmerksamkeit erfahren. Wirkungszusammenhänge wurden primär mittels traditioneller Clusteranalysen bzw. ein- und zweistufiger OLS- oder Tobit-Regressionsmodelle analysiert. Die Geeignetheit dieser Methoden bei nicht-parametrischen Effizienzstudien wird trotz ihrer hohen Dominanz in der Wissenschaft sehr kontrovers diskutiert. So bestehen methodische Probleme, die zu fehlgeleiteten Aussagen führen können. Zentrales Element der Schätzstrategie ist ein zweistufiger Algorithmus mit doppeltem, sequenziellem Bootstrapping unter Anwendung eines trunkierten Regressionsmodells. Die empirischen Schätzergebnisse belegen die Relevanz der Bevölkerungsdichte und des Wettbewerbs für die Effizienz. Es konnte der in der Wissenschaft dokumentierte positive Zusammenhang zwischen der Bevölkerungsdichte und der Kosteneffizienz nachgewiesen werden. Die Ergebnisse belegen die Gültigkeit einer Stadt-Land-Dichotomie unabhängig von der Betriebsgröße. Eine neue Erkenntnis ist, dass zwischen Wettbewerbsintensität und technischer Effizienz bzw. Kosteneffizienz ein negativer Zusammenhang besteht, was auf die Gültigkeit der Effizienz-Struktur-Hypothese hindeutet. Insgesamt dokumentieren die Analysen jedoch nur schwache Wirkungszusammenhänge zwischen den Umfeldfaktoren und der Effizienz. Die in der Wissenschaft bisher intensive Diskussion zur Notwendigkeit der Berücksichtigung von externen Umfeldfaktoren bei Effizienzstudien im Regionalbankensektor kann auf Basis der Ergebnisse dieser Arbeit nur sehr eingeschränkt geteilt werden. Studie 3 untersucht Fusionsdeterminanten und Fusionserfolg für den Zeitraum 2009–2018 auf Basis der produktionsökonomischen Effizienz. In dem für diese Arbeit relevanten Untersuchungszeitraum hat sich die Anzahl der deutschen Sparkassen von 431 Instituten in 2009 auf 386 Sparkassen in 2018 reduziert. Im Rahmen einer ex-ante Analyse wird mittels multinomialer logistischer Regressionsmodelle der Einfluss der Effizienz auf Basis der Modellspezifikation des Wertschöpfungsansatzes sowie weiterer interner Faktoren und externer Umfeldfaktoren untersucht. Die Analysen dokumentieren für die produktionsökonomische Effizienz keine signifikanten Wirkungszusammenhänge. Relevante Determinanten sind die Betriebsgröße, die Cost-Income-Ratio (CIR) und die Fusionserfahrung. Der ex-post Fusionserfolg wird auf Basis einer dynamischen Panelregression analysiert. Bemerkenswert sind die Ergebnisse bei der Kosteneffizienz: Es zeigen sich für die drei Nachfusionsjahre positive Fusionseffekte, wobei erst im dritten Jahr das Schätzmodell einen signifikanten Wirkungszusammenhang liefert. Die Ergebnisse belegen, dass Fusions-SK im Vergleich zu Nicht-Fusions-SK in den ersten drei Nachfusionsjahren erfolgreich ihre Faktorpreise managen und Ineffizienzen beseitigen konnten.
    Date: 2022

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