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2016 | nr 428 Wrocław Conference in Finance: Contemporary Trends and Challenges | 104--116
Tytuł artykułu

Bank Solvency and Liquidity Risk in Different Banking Profiles - The Study of European Banking Sectors

Treść / Zawartość
Warianty tytułu
Ryzyko niewypłacalności i płynności w różnych profilach działalności banków - badanie dla europejskiego sektora bankowego
Języki publikacji
EN
Abstrakty
Celem badania jest weryfikacja empiryczna wpływu wielkości i działalności bankowej na ryzyko niewypłacalności oraz utraty płynności w różnych profilach banków. Wykorzystując bazę 4250 banków europejskich obejmującą okres 1996-2011 oraz metodykę regresji panelowej, podjęto próbę odpowiedzi min. na pytanie badawcze: czy największe banki, wchodzące w skład grupy SIFI, są najbardziej niestabilnym sektora bankowego? Aby pokazać różnorodność uwarunkowań ryzyka systemowego, próba banków została podzielona w następujący sposób: duże/małe aktywa i duży/mały kapitał własny. Wyniki mają znaczenie zarówno dla zarządzania ryzykiem bankowym jak i władz regulacyjnych. Artykuł powinien stanowić wytyczne dla kształtowania polityki makroostrożnościowej(abstrakt oryginalny)
EN
The goal of this study is to identify empirically how the banking size and activities affect directly the bank solvency and liquidity risk in different banking profiles. Through a dataset that covers 4250 European banks, spanning the period of 1996-2011, and the methodology of panel regression, I examine the implications of banks' size (in terms of assets and equity) and the nature of the business activity on the stability of European banking sector. The research questions are: whether the biggest banks, included in the SIFIs group are the most unstable link of systemic risk, and whether they manifest themselves as spreading and growing instability in the banking sector. To show the heterogeneity of risk determinants, the sample of banks was divided as follows: large/small assets and large/small equity. The findings have implications for both bank risk management and regulators. This paper advances the agenda of making macroprudential policy operational(original abstract)
Twórcy
  • University of Warsaw
Bibliografia
  • Acharya, V.V., Thakor, A.V., 2010, The Dark Side of Liquidity Creation: Leverage- Induced Systemic Risk and the Lender of Last Resort, New York University, Working Paper.
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  • Adrian, T., Brunnermeier M., 2008, CoVaR, Report 348, Federal Reserve Bank of New York.
  • Adrian, T., Shin, H.S., 2008, Financial intermediaries, financial stability, and monetary policy, Staff Report No. 346, Federal Reserve Bank of New York.
  • Arellano, M., Bond S., 1991, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies, no. 58, pp. 277-297.
  • Basel Committee on Banking Supervision (BCBS), 2010, December, Basel III: A global regulatory framework for more resilient banks and banking systems, Bank for International Settlements.
  • Beltratti, A., Stulz, R.M., 2012, Why did some banks perform better? Journal of Financial Economics, no. 105, pp. 1-17.
  • Blundell, R., S. Bond, 1998, Initial conditions and moment conditions in dynamic panel data models, Journal of Econometrics, no. 87, pp. 115-143.
  • Bongini, P., Nieri, L., Pelagatti, M., 2014, The importance of being systemically important financial institutions Journal of Banking and Finance, no. 50, pp. 562-574.
  • Brownlees, C., R. Engle, 2010, Volatility, correlation, and tails for systemic risk measurement, Stern Business School, Discussion Paper.
  • Das, S., A. Sy, 2012, How risky are banks risk-weighted assets? Evidence from the financial crisis, IMF Working Paper, no. WP/12/36.
  • Diamond, D., R. Rajan, 2005, Liquidity shortages and banking crises, Journal of Finance, vol. 60:2, pp. 615-647.
  • Diamond, D., R. Rajan, 2011, Fear of fire sales, illiquidity seeking, and credit freezes, Quaterly Journal of Economics, vol. 126:2, pp. 557-591.
  • Drehmann M., N. Tarashev, 2011, Measuring the systemic importance of interconnected banks, IMF Working Papers, no. 342.
  • Elsinger, H., A. Lehar, M. Summer, 2004, Risk assessment for banking systems, University of Vienna, Discussion Paper.
  • Elsinger, H., A. Lehar, M. Summer, 2006a, Using market information for banking system risk assessment, International Journal of Central Banking, no. 2, pp. 137-65.
  • Elsinger, H., A. Lehar, M. Summer, 2006b, Systematically important banks: an analysis for the European banking system, International Economics and Economic Policy, no. 3, pp. 73-89.
  • European Central Bank, 2009, The concept of systemic risk, Financial Stability Review, December, pp. 134-142.
  • Fiordelisi, F., Galloppo, G., Ricci, O., 2014, The effect of monetary policy interventions on interbank markets, equity indices and G-SIFIs during financial crisis, Journal of Financial Stability, no. 11, pp. 49-61.
  • Goodhart, C., 2008, Liquidity risk management, Financial Stability Review, no. 11, Banque de France.
  • Gorton, G., A. Metrick, 2012, Securitized banking and the run on repo, Journal of Financial Economics, vol. 104:3, pp. 425-451.
  • Gouriéroux, C., Héam, J.C., Monfort, 2012, Bilateral exposures and systemic solvency risk, Canadian Journal of Economics, vol. 45, no. 4, pp. 1273-1309.
  • Greenwood, R., Landier, A., Thesmar, D., 2012, Vulnerable Banks, Working Paper.
  • International Monetary Fund, 2008, April, Global financial stability report: Containing systemic risks and restoring financial soundness, International Monetary Fund.
  • Kim, S., Lee, L., Wu, E., 2013, The impact of domestic and international monetary policy news on U.S. and German bank stocks, International Finance Review no. 14, pp. 177-212.
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  • Pierret, D., 2013, Systemic Risk and the Solvency-Liquidity Nexus of Banks, SSRN Electronic Journal. http://doi.org/10.2139/ssrn.2346606 (15-07-2015).
  • Rochet, J.-C., X. Vives, 2004, Coordination failures and the lendr of last resort: was bagehot right after all? Journal of the European Economics Association, vol. 2.6, pp. 1116-1147.
  • Yin, H., Yang, J., 2013, Bank characteristics and stock reactions to federal funds rate target changes, Applied Financial Economics, no. 23, pp. 1755-1764.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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