Polski sektor bankowy wobec ryzyka systemowego : analiza banków giełdowych

• Autorzy: Aleksandra Jurkowska

Warianty tytułu

The Polish Banking Sector and Systemic Risk : an Analysis of Publicly Listed Banks

• Języki publikacji: PL

Abstrakty

Głównym celem pracy jest wykazanie, że pomimo wysokich ocen poziomu stabilności polskiego sektora bankowego, sektor ten charakteryzuje się wrażliwością finansową, której źródło stanowią współczesne powiązania informacyjne na rynku kapitałowym wzmocnione przez obecność w akcjonariacie największych polskich banków instytucji o znaczeniu systemowym. Za K. Mitręgą-Niestrój przyjęto, że wrażliwość finansowa sektora bankowego oznacza stan pośredni pomiędzy stabilnością a niestabilnością finansową, charakteryzujący się zwiększoną podatnością na zagrożenia systemowe; w stanie tym system bankowy nadal jednak wypełnia swoje funkcje4. Tak sformułowanemu celowi głównemu podporządkowano cele szczegółowe, którymi były: zdefiniowanie terminów "stabilność finansowa", "ryzyko systemowe" i "efekt zarażania" oraz określenie występujących pomiędzy nimi związków znaczeniowych, przedstawienie kierunków systemowych zmian regulacyjnych po kryzysie w latach 2008-2009 w bankowości amerykańskiej, unijnej i krajowej, a także ocena zagrożeń skuteczności przyjętych rozwiązań, wyodrębnienie podstawowych determinant stabilności finansowej w polskim sektorze bankowym oraz ocena wpływu krajowych rozwiązań regulacyjnych na ograniczanie przejawów jego niestabilności, określenie skali ryzyka systemowego generowanego przez banki giełdowe w Polsce w reakcji na zaburzenia, do jakich doszło w systemach bankowych ich spółek matek oraz wrażliwości tych pierwszych na efekt zarażania. Rozprawa składa się z czterech rozdziałów, co było podyktowane zakresem tematycznym poruszanych w nich zagadnień. Rozdział pierwszy ma charakter teoretycznego wprowadzenia. Zdefiniowano i usystematyzowano w nim takie pojęcia, jak stabilność finansowa, ryzyko systemowe i efekt zarażania, oraz określono wzajemne relacje między nimi. Rozdział drugi poświęcono systemowym zmianom regulacyjnym i zmianom instytucjonalnym, do jakich doszło po globalnym kryzysie finansowym. W rozdziale trzecim wyodrębniono determinanty stabilności polskiego sektora bankowego w latach 2005-2016. W tym celu przeprowadzono analizę treści raportów najważniejszych instytucji odpowiedzialnych za monitorowanie stabilności systemowej i ryzyka systemowego w Polsce. Ostatni, czwarty rozdział pracy poświęcono analizie mechanizmu transmisji ryzyka systemowego za pośrednictwem banków notowanych na Giełdzie Papierów Wartościowych w Warszawie w latach 2005-2016 z wykorzystaniem metod ekonometrycznych. W czwartym rozdziale pracy wykorzystano metody ekonometryczne pozwalające zbadać natężenie i źródła ryzyka systemowego wśród polskich banków giełdowych. (abstrakt oryginalny)

EN

This monograph seeks to fill the research gap regarding the nature of information linkages on the financial market between the Polish and foreign banking systems. The main objective of the work is to show that, while the Polish banking sector has been assessed as highly stable, it is characterised by financial sensitivity. The source of that sensitivity is current information linkages on the capital market strengthened by the presence of systemically important institutions in the shareholder structure of the largest Polish banks. The dissertation consists of four chapters, an introduction and a summary. The first chapter, based on a review of the literature, defines "financial stability", "systemic risk" and "contagion effect" and examines the connections between them. It also identifies the main sources of systemic risk and presents the basic methods used to measure that risk. Financial stability is defined in terms of a dynamic process, providing for a margin of volatility. Systemic risk is defined as the threat of any instability in the financial sector which can transform, through the effect of financial contagion, into a system-wide crisis and whose effects are felt in the real sphere. A broad definition of the effect of contagion was considered appropriate. That definition identifies contagion with the transmission of shock from one or several markets, countries or institutions to other markets, countries or institutions, which is accompanied by an increase in interdependencies between these markets, countries and/or institutions. The second chapter is devoted to systemic regulatory changes and institutional changes that occurred after the global financial crisis in the US and Europe. The review of post-crisis regulations enabled the identification of factors that increase the resilience of financial systems to shocks. These include adopting a macro-prudential perspective, changing the principles governing how managers are remunerated, creating mechanisms to mitigate the effects of potential financial institution bankruptcies, increasing the transparency of financial markets and reducing the moral hazard associated with granting public aid to failing entities. It also identifies the main threats to the effectiveness of the adopted solutions. Those include volatility and instability inscribed in the nature of financial systems, factors resulting from the limited effectiveness of regulation per se, the specificity of regulatory decision-making in integrated and integrating market economies, the s hape a nd c omplexity of the n ew p rudential r egulations a nd n ew s upervisory architecture. Based on the analysis of reports published by institutions monitoring systemic stability and systemic risk in Poland, the third chapter presents threats to the stability of the Polish banking sector (accumulation of credit risk, liquidity gap, financing gap) and determinants of its stability (traditional financing structure, small exposures to market risk, an adequate capital basis) in the years 2005-2016. The analysis showed that actions taken by the national regulatory authorities effectively eliminated the sources of this sector's instability. In the final part of the third chapter, it was concluded that the financial problems of strategic investors of Polish banks caused them to deleverage. Sector-wide, this phenomenon occurred when parent companies sold their shares, while there was no limitation on financing subsidiaries. The deleverisation of parent entities could have contributed to a more pronounced informational contagion effect. The fourth chapter analyses the systemic transmission mechanism via banks listed on the Warsaw Stock Exchange in 2005-2016 using econometric methods including SRISK, Granger causality and an unconditional correlation coefficient that takes into account heteroskedasticity. This chapter bears out the dissertation's three main hypotheses, namely: 1) the scale and time distribution of systemic risk in the group of publicly traded Polish banks was characterised by sensitivity to financial instability of the EU and US banking sectors; 2) in periods when the EU and US banks were financially unstable, the mutual information linkages between banks traded on the Polish stock exchange and their foreign parent companies were tightened; 3) the "shift contagion" effect was observed in publicly traded banks in Poland, the source of which was the banking systems of the EU and the US. During the writing of the monograph, three problems were identified that went beyond the thematic scope specified in the introduction. These problems contributed to the formulation of one regulatory postulate and two research proposals. The regulatory postulate states that there is a need to develop an integrative concept in regulatory policy, taking into account not only the systemic importance of individual institutions, but also the real scale of the systemic risk they generate. The first of the research postulates concerns the legitimacy of attempting to verify the hypothesis that the factor that had an impact on the contagion within the ownership structures during the Eurozone debt crisis was the scale and scope of government assistance previously granted to parent entities. The second research postulate examines the desirability of finding an answer to the question of whether it is possible, and if so how, to measure the critical value of the banking sector's resistance to the financial contagion effect, after which the banking system loses adaptive and self-regulatory abilities, which increases the probability of crisis phenomena both occurring and escalating. (original abstract)

Słowa kluczowe

PL

Sektor bankowy; Ryzyko systemowe; Kryzys finansowy; Stabilność finansowa; Rynki giełdowe; Rozprawa habilitacyjna

EN

Banking sector; Systemic risk; Financial crisis; Financial sustainability; Stock markets; Habilitation thesis

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Krakowie. Seria Specjalna, Monografie
• Rocznik: 2018
• Numer: nr 259
• Strony: 337

Twórcy

autor

Aleksandra Jurkowska

• Uniwersytet Ekonomiczny w Krakowie

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