Do Microprudential Regulations and Supervision Affect the Link Between Lending and Capital Ratio in Economic Downturns of Large Banks in the EU?

• Autorzy: Małgorzata Olszak , Sylwia Roszkowska , Iwona Kowalska

Warianty tytułu

Czy regulacje i nadzór mikroostrożnościowy wpływają na związek między aktywnością kredytową a wskaźnikiem kapitałowym w dużych bankach w UE?

• Języki publikacji: EN

Abstrakty

EN

This paper extends the literature on the capital crunch effect by examining the role of public policy for the link between lending and capital in a sample of large banks operating in the European Union during economic downturns. Applying Blundell and Bond (1998) two-step robust GMM estimator, we show that restrictions on bank activities and more stringent capital standards weaken the capital crunch effect, consistent with reduced risk-taking and boosted bank charter values. Official supervision also reduces the impact of capital ratio on lending in downturns; however, its effect is only marginally significant in the sample of unconsolidated banks. Private oversight seems to be related to thin capital buffers in expansions, and therefore the capital crunch effect is enhanced in countries with increased market discipline. We thus provide evidence that neither regulations nor supervision at the microprudential level is neutral from a financial stability perspective. Weak regulations and supervision seem to increase the pro-cyclical effect of capital on bank lending. (original abstract)

Artykuł poszerza dotychczasowe badania nad związkiem między ograniczającym wpływem wskaźnika kapitałowego na podaż kredytu bankowego w okresie dekoniunktury poprzez analizy znaczenia polityki regulacyjnej państwa dla związku między aktywnością kredytową a wskaźnikiem kapitałowym dużych banków prowadzących działalność w Unii Europejskiej. W badaniu zastosowano estymator odporny dwuetapowy Blundella i Bonda (1998) i zidentyfikowano, że ograniczenie skali czynności wykonywanych przez banki oraz bardziej estrykcyjne standardy kapitałowe osłabiają negatywny wpływ wskaźnika kapitałowego na podaż kredytu bankowego w okresie dekoniunktury, co jest spójne z koncepcją, że w krajach o restrykcyjnych regulacjach banki podejmują niższe ryzyko oraz cechują się wyższymi buforami kapitałowymi. Oficjalny nadzór bankowy również ogranicza wpływ wskaźnika kapitałowego, ale jego siła oddziaływania jest jedynie marginalnie istotna statystycznie w populacji banków, które prezentują dane nieskonsolidowane. Prywatny nadzór rynkowy wydaje się nieskuteczny w ograniczaniu negatywnego wpływu wskaźnika kapitałowego na podaż kredytu bankowego w okresie dekoniunktury. Przeprowadzone badania pokazują, że przynajmniej w pewnym zakresie restrykcyjne regulacje mikroostrożnościowe oraz nadzór mikroostrożnościowy są skuteczne w dążeniu do zapewnienia stabilności finansowej i ograniczenia procykliczności. (abstrakt oryginalny)

Słowa kluczowe

EN

Regulatory policy; Prudential policy; Bank supervision; Bank credit; Bank capital

PL

Polityka regulacyjna; Polityka ostrożnościowa; Nadzór bankowy; Kredyt bankowy; Kapitał bankowy

• Czasopismo: Problemy Zarządzania
• Rocznik: 2017
• Numer: vol. 15, nr 1 (66), cz. 2 Zarządzanie ryzykiem instytucji finansowych
• Strony: 11--36

Twórcy

autor

Małgorzata Olszak

• University of Warsaw

autor

Sylwia Roszkowska

• University of Łódź

autor

Iwona Kowalska

• University of Warsaw

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Identyfikatory

DOI

10.7172/1644-9584.66.1