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Tytuł artykułu

Bank Risk-Taking in CEE Countries

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Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This study examines whether the lowering interest-rate environment in CEE countries since the early 2000's increased bank risk-taking behaviour. We employ 6,979 annual observations from the Bankscope database over the period 1997-2011 nd find a positive relationship between bank risk-taking, measured by risk assets, and interest rates. On the contrary, there is a negative relationship between non-performing loans and interest rates. These results are robust across a number of different specifications that account, inter alia, for the potential endogeneity of interest rates and/or the dynamics of bank risk. Moreover, we provide evidence that these findings are mainly driven by the banking sector of the Russian Federation rather than that of the rest CEE countries. (original abstract)
Czasopismo
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Strony
103--123
Opis fizyczny
Twórcy
  • Athens University of Economics and Business
  • Athens University of Economics and Business
Bibliografia
  • [1] Agoraki, M.-E.K., Delis, M.D., Pasiouras, F., 2011, Regulations, competition and bank-risk-taking in transition countries, Journal of Financial Stability 7, 38-48.
  • [2] Altumbas, Y., Gambacorta, L., Marques Ibanez, D., 2009, An empirical assessment of the risk-taking channel, paper presented at the BIS/ECB conference on Monetary Policy and Financial Stability, 10-11 September.
  • [3] Angeloni, I., Kashyap, A.K., Mojon, B., 2003, Monetary Policy Transmission in the Euro Area, Cambridge University Press, Cambridge.
  • [4] Arellano, M., Bover, O., 1995., Another look at the instrumental-variable estimation of error-components models. Journal of Econometrics 68, 29-52.
  • [5] Blundell, R. W., Bond, S.R., 1998. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics 87, 115-143.
  • [6] Borio, C., Zhu, H., 2008, Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Bank for International Settlements Working Paper, No. 268.
  • [7] Brissimis, S.N., Delis, M.D., 2009. Bank heterogeneity and monetary policy transmission. Bank of Greece Working Paper, No. 101.
  • [8] Dell' Ariccia, G., Marquez, R., 2006, Lending booms and lending standards, Journal of Finance, 61, 2511-2546.
  • [9] Delis, M. D., Kouretas, G. P., 2011. Interest rates and bank risk-taking, Journal of Banking and Finance 35, 840-855.
  • [10] di Giovanni, J., McCrary, J., von Wachter, T., 2009. Following Germany's lead: using international monetary linkages to estimate the effect of monetary policy on the economy, Review of Economics and Statistics 91, 315-331
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  • [13] Fungacova, Z., Solanko, L., 2008, Risk-taking by Russian banks: Do location, ownership and size matter?, Bank of Finland Institute for Economies in Transition, Discussion Paper No. 28.
  • [14] Haselmann, R., Wachtel, P., 2007, Risk taking by banks in the transition countries, Comparative Economic Studies, 49, 411-429.
  • [15] Ioannidou, V.P., Ongena, S., Peydro, J.L., 2009. Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment. CentER Discussion Paper No. 2009-31S.
  • [16] Jackowicz, K., Kowalewski, O., Kozlowski, L., 2013, The influence of political factors on commercial banks in Central European countries, Journal of Financial Stability, forthcoming.
  • [17] Jimenez, G., Ongena, S., Peydro, J.L., Saurina, J., 2008. Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects of monetary policy on credit risk? CEPR Discussion Paper No. 6514.
  • [18] Juurikkala, T., Karas, A., Solanko, L., 2011, The role of banks in monetary policy transmission: Empirical evidence from Russia, Review of International Economics, 19, 109-121.
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  • [21] Kohler, M., 2012, Which banks are more risky? The impact of loan growth and business model on bank risk-taking, Deutsche Bundesbank, Discussion Paper No. 33/2012.
  • [22] Laeven, L., Levine, R., 2009. Bank governance, regulation and risk taking. Journal of Financial Economics 93, 259-275.
  • [23] Mamonov, M., 2012, The interaction between market power of Russian banks and their credit risk tolerance: A panel study, National Research University-Higher School of Economics, Working Paper.
  • [24] Pawlowska, M., 2012, Competition, concentration and foreign capital in the Polish banking sector (prior and during the financial crisis), Economic Institute, National Bank of Poland, Working Paper.
  • [25] Pawłowska, M., Gajewski, K., Rogowski, W., 2012, Bank-firm relationships in Poland, Economic Institute, National Bank of Poland, Working Paper.
  • [26] Pestova, A., Mamonov, M., 2012, Macroeconomic and bank-specific determinants of credit risk: evidence from Russia, mimeo.
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  • [28] Shleifer, A., 2009, The age of Milton Friedman, Journal of Economic Literature, 47, 123-135.
  • [29] Stock, J. H., M. Yogo, 2005, Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments, [in:] Identification and Inference for Econometric Models: A Festschrift in Honor of Thomas J. Rothenberg, [eds:] D. W. K. Andrews and J. H. Stock. Cambridge, UK: Cambridge University Press
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.ekon-element-000171241565

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