Wpływ wyższych wymogów kapitałowych w sektorze bankowym na wzrost gospodarczy

• Autorzy: Piotr Wdowiński

Warianty tytułu

The impact of higher capital requirements in the banking sector on economic growth

• Języki publikacji: PL

Abstrakty

W artykule przedstawiono szacunek skutków regulacji kapitałowych w sektorze bankowym wraz z analizą uwarunkowań wzrostu gospodarczego w Polsce. Analizę symulacyjną dotyczącą wpływu zagregowanego współczynnika wypłacalności na efektywny popyt na kredyt oraz na wzrost gospodarczy przeprowadzono na podstawie wielorównaniowego modelu ekonometrycznego. (fragment tekstu)

EN

Financial stability can be seen as the maintenance of proper conditions for financial intermediation in the economy while maintaining an acceptable risk. One of long-term objectives of supervisors are the recommendations for capital requirements in the banking sector related to the solvency ratio, within the micro- and macro-prudential policy oriented on systemic risks. It could affect lending and economic processes in the real economy This paper presents a multi--equational model to analyze an effective demand for credit. On the basis of a simulation analysis for the banking sector in Poland it can be inferred that the increase in average capital adequacy ratio could lead to a moderate increase in lending rates and a slight decline in GDP growth. Consequently, additional capital requirements should not have a significant impact on the price of credit. (original abstract)

Słowa kluczowe

PL

Sektor bankowy; Wzrost gospodarczy; System finansowy; Modele ekonometryczne; Analiza symulacyjna

EN

Banking sector; Economic growth; Financial system; Econometric models; Simulation analysis

• Czasopismo: Wiadomości Statystyczne
• Rocznik: 2012
• Numer: nr 7
• Strony: 31--52

Twórcy

autor

Piotr Wdowiński

• Uniwersytet Łódzki

Bibliografia

• Addressing financial system procyclicality: a possible framework (2008), Bank for International Settlements, Note for the FSF Working Group on Market and Institutional Resilience, September
• Aghion P., Bolton P., Dewatripont M. (2000), Contagious bank failures in a free banking system, "European Economic Review", vol. 44, No. 4-6
• Alfon I., Argimon I., Bascunana-Ambros P. (2004), What determines how much capital is held by UK banks and building societies?, "Occasional Paper", No. 22, Financial Services Authority, UK
• Altman E. I., Brady B., Resti A., Sironi A. (2005), The link between default and recovery rates: theory, empirical evidence, and implications, "Journal of Business", vol. 78, No. 6
• An explanatory note on the Basel II IRB risk weight functions (2005), Bank for International Settlements, July
• Angelini P., Clerc L., Cúrdia V., Gambacorta L., Gerali A., Locarno A., Motto R., Roeger W., Van den Heuvel S., Vlcek J. (2011), BASEL III: Long-term impact on economic performance and fluctuations, "BIS Working Papers", No. 338, Bank for International Settlements
• Assessing the macroeconomic impact of the transition to stronger capital and liquidity requirements, Final Report (2010), Macroeconomic Assessment Group, Bank for International Settlements, December
• Ayuso J., Pérez D., Saurina J. (2002), Are capital buffers pro-cyclical? Evidence from Spanish panel data, "Banco de España Working Papers", No. 0224, Banco de España
• Berger A. N., Udell G. F. (1994), Did risk-based capital allocate bank credit and cause a "credit crunch" in the United States?, "Journal of Money, Credit, and Banking", vol. 26, No. 3, part 2: Federal Credit Allocation: Theory, Evidence, and History
• Berger A. N., Herring R. J., Szegö G. P. (1995), The role of capital in financial institutions, "Journal of Banking and Finance", vol. 19, No. 3
• Bernanke B. S., Lown C. S. (1991), The credit crunch, "Brookings Papers on Economic Activity", No. 2
• Bernanke B. S., Gertler M. (1995), Inside the black box: the credit channel of monetary policy transmission, "Journal of Economic Perspectives", vol. 9, No. 4
• Bernanke B. S. (2008), Reducing systemic risk, speech at the Federal Reserve Bank of Kansas City's Annual Economic Symposium, Jackson Hole, Wyoming
• Bernauer T., Koubi V. (2005), On the interconnectedness of regulatory policy and markets: lessons from banking, ETH, Zürich, Center for Comparative and International Studies
• Bikker J., Metzemakers P. (2004), Is bank capital procyclical? A cross-country analysis, "DNB Working Papers", No. 009
• Borio C. E. V., Furfine C., Lowe P. (2001), Procyclicality of the financial system and financial stability: issues and policy options, [w:] Marrying the macro- and micro-prudential dimensions of financial stability, "BIS Papers", No. 1
• Borio C. E. V., Lowe P. (2002), Assessing the risk of banking crises, "BIS Quarterly Review", December
• Borio C. E. V. (2003), Towards a macroprudential framework for financial supervision and regulation?, "BIS Working Paper", No. 128
• Borio C. E. V., Drehmann M. (2009), Towards an operational framework for financial stability: "fuzzy" measurement and its consequences, "BIS Working Papers", No. 284
• Borio C. E. V., Huertas T. (eds.) (2010), An assessment of the long-term economic impact of stronger capital and liquidity requirements, BIS Working Papers, August
• Brunnermeier M., Crockett A., Goodhart C., Persaud A. D., Shin H. (2009), The fundamental principles of financial regulation, Geneva Reports on the World Economy, No. 11
• Clement P. (2010), The term 'macroprudential': origins and evolution, "BIS Quarterly Review", March
• Cole R. A., Gunther J. W. (1995), Separating the likelihood and timing of bank failure, "Journal of Banking and Finance", vol. 19, No. 6
• Cole R. A., Wu Q. (2009), Is hazard or probit more accurate in predicting financial distress? Evidence from U.S. bank failures, MPRA Paper 24688, University Library of Munich, Germany
• Countercyclical capital buffer proposal - consultative document (2010), Basel Committee on Banking Supervision, July
• Crockett A. (2000), Marrying the micro- and macro-prudential dimensions of financial stability, "BIS Speeches", September
• De Bondt G. (2002), Retail bank interest rate pass-through: new evidence at the Euro area level, No. 136, "Working Paper Series", European Central Bank
• Drumond I. (2009), Bank capital requirements, business cycle fluctuations and the Basel Accords: a synthesis, "Journal of Economic Surveys", vol. 23, No. 5
• Egert B., MacDonald R. (2009), Monetary transmission mechanism in Central and Eastern Europe: surveying the surveyable, "Journal of Economic Surveys", vol. 23, No. 2
• Elliot D. J. (2009), Quantifying the effects on lending of increased capital requirements, Pew Financial Reform Project, Briefing Paper, No. 7
• Elliot D. J. (2010), A further exploration of bank capital requirements: effects of competition from other financial sectors and effects of size of bank or borrower and of loan type, The Brookings Institution
• Engle R. F., Granger C. W. J. (1987), Co-integration and error correction: representation, estimation, and testing, "Econometrica", vol. 55, No. 2
• Estrella A., Park S., Peristiani S. (2000), Capital ratios as predictors of bank failure, "Economic Policy Review", Federal Reserve Bank of New York Financial stability review (2010), European Central Bank, December
• French K. R., Baily M. N., Campbell J. Y., Cochrane J. H., Diamond D. W., Duffie D., Kashyap A. K., Mishkin F. S., Rajan R. G., Scharfstein D. S., Shiller R. J., Shin H. S., Slaughter M. J., Stein J. C., Stulz R. M. (2010), The squam lake report: fixing the financial system, Princeton University Press
• Guttentag J., Herring R. (1987), Emergency liquidity assistance for international banks, [w:] Portes R., Swoboda A. K. (red.), Threats to international financial stability, Cambridge University Press
• Hannoun H. (2010), Towards a global financial stability framework, 45th SEACEN Governors' Conference, Siem Reap province, Cambodia, 26-27 February 2010
• Hanson S. G., Kashyap A. K., Stein J. C. (2011), A macroprudential approach to financial regulation, "Journal of Economic Perspectives", vol. 25, No. 1
• Hodgman D. R. (1960), Credit risk and creditrationing, "Quarterly Journal of Economics", vol. 74, No. 2
• Huang D.-T., Chang B., Liu Z.-C. (2010), Bank failure prediction models: for the developing and developed countries, Quality&Quantity, No. 1-6
• Hubbard R. G., Kuttner K. N., Palia D. N. (2002), Are there bank effects in borrowers' costs of funds? Evidence from a matched sample of borrowers and banks, "Journal of Business", vol. 75, No. 4
• Jackson P., Furfine C., Groeneveld H., Hancock D., Jones D., Perraudin W., Radecki L., Yone-yama M. (1999), Capital requirements and bank behaviour: the impact of the Basle Accord, "BIS Working Paper", No. 1
• Jaffee D. M., Modigliani F. (1969), A theory and test of credit rationing, "American Economic Review", vol. 59, No. 5
• Jaffee D. M. (1971), Credit rationing and the commercial loan market, John Wiley&Sons, N. Y.
• Johansen S., Juselius K. (1992), Testing structural hypothesis in a multivariate cointegration analysis of the PPPand the UIP for the UK, "Journal of Econometrics", vol. 53
• Jokipii T., Milne A. (2008), The cyclical behaviour of European bank capital buffers, "Journal of Banking and Finance", vol. 32
• Juselius K. (1991), Long-run relations in a well defined statistical model for the data generating process: cointegration analysis of the PPP and UIP relations between Denmark and Germany, [w:] J. Gruber (ed.), Econometric decision models: new methods of modeling and applications, Springer-Verlag, N. Y.
• Juselius K. (1995), Do purchasing power parity and uncovered interest rate hold in the long run, "Journal of Econometrics", vol. 69
• Juselius K., MacDonald R. (2004), The international parities between Japan and the USA, "Japan and the World Economy", vol. 16
• Juselius K., MacDonald R. (2007), International parity relationships and a nonstationary real exchange rate. Germany versus the US in the post Bretton Woods period, [w:] V. Morales (ed.), Recent issues in international macroeconomics, Nova Publications, N. Y.
• Kashyap A. K., Stein J. C. (2004), Cyclical implications of the Basel II capital standards, "Economic Perspectives", Federal Reserve Bank of Chicago, QI
• Kashyap A. K., Rajan R., Stein J. C. (2008), Rethinking capital regulation, [w:] Maintaining stability in a changing financial system, Federal Reserve Bank of Kansas City
• Keeley M. C. (1988), Bank capital regulation in the 1980s: effective or ineffective?, "Economic Review", Federal Reserve Bank of San Francisco
• Kębłowski P., Welfe A. (2010), Estimation of the equilibrium exchange rate: the CHEER approach, "Journal of International Money and Finance", vol. 29
• King M. R. (2010), Mapping capital and liquidity requirements to bank lending spreads, "BIS Working Paper", November
• Koskela E. (1976), A study of bank behavior and credit rationing, Helsinki, Academia Scientiarum Fennica
• Lane W. R., Looney S. W., Wansley J. W. (1986), An application of the cox proportional hazards model to bank failure, "Journal of Banking and Finance", vol. 10, No. 4
• Lindquist K.-G. (2004), Banks' buffer capital: how important is risk, "Journal of International Money and Finance", vol. 23, No. 3
• MacDonald R., Marsh I. W. (1997), On Casselian PPP, cointegration and exchange rate forecasting, "Review of Economics and Statistics", vol. 70
• MacDonald R., Marsh I. W. (1999), Exchange rate modelling, Boston, MA: Kluwer
• Perotti E., Suarez J. (2009), Liquidity insurance for systemic crises, "CEPR Policy Insight", No. 31
• Santomero A. M., Watson R. D. (1977), Determining an optimal capital standard for the banking industry, "Journal of Finance", vol. 32, No. 4
• Santos J. A. C. (2001), Bank capital regulation in contemporary banking theory: a review of the literature, "Financial Markets", Institutions & Instruments, vol. 10
• Saporta V., Haldane A., Hall S., Tanaka M. (2004), Financial stability and macroeconomic models, "Bank of England Financial Stability Review", vol. 16
• Segoviano B. M., Lowe P. W. (2002), Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy, "BIS Working Paper", No. 117
• Stein J. C. (2011), Monetary policy as financial-stability regulation, "NBER Working Paper Series", No. 16883
• Stiglitz J. E., Weiss A. (1981), Credit rationing in markets with imperfect information, "American Economic Review", vol. 71, No. 3
• Stolz S., Wedow M. (2005), Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks, Discussion Paper Series 2: Banking and Financial Studies, No. 07/2005, Deutsche Bundesbank, Research Centre
• Tanaka M. (2002), How do bank capital and capital adequacy regulation affect the monetary transmission mechanism?, "CESifo Working Paper Series", No. 799
• The Basel Committee 's response to the financial crisis: report to the G20 (2010), Basel Committee on Banking Supervision, Bank for International Settlements, October
• The role of macroprudentialpolicy: a discussion paper (2009), Bank of England, November
• VanHoose D. (2008), Bank capital regulation, economic stability, and monetary policy: what does the academic literature tell us?, "Atlantic Economic Journal", vol. 36, No. 1
• Wdowiński P. (2005), Teorie parytetu siły nabywczej PPP i parytetu stóp procentowych UIP w modelu kursu walutowego, [w:] W. Milo, P. Wdowiński (red.), Wybrane zagadnienia ilościowych analiz ekonomiczno-finansowych, "Acta Universitatis Lodziensis. Folia Oeconomica", wydanie 193, Wydawnictwo Uniwersytetu Łódzkiego, Łódź
• Wdowiński P. (2010), Modele kursów walutowych, rozprawa habilitacyjna, Wydawnictwo Uniwersytetu Łódzkiego, Łódź
• Wdowiński P. (2011), Analiza kointegracji kursu PLN/EUR na podstawie modelu równowagi CHEER,, "Bank i Kredyt", vol. 42, nr 1