Miary ryzyka systemowego dla Polski : jak ryzyko systemowe wpływa na akcję kredytową banków?

• Autorzy: Marcin Borsuk , Konrad Kostrzewa

Warianty tytułu

Systemic Risk Metrics for Poland : How Systemic Risk Affects Banks' Credit Growth?

• Języki publikacji: PL

Abstrakty

Głównym celem artykułu jest przegląd kluczowych miar ryzyka systemowego opartych na danych rynkowych dla Polski i zweryfikowanie, czy mogą one służyć jako skuteczne narzędzie monitorowania i oceny poziomu ryzyka systemowego. Celem podrzędnym jest zbadanie wpływu ryzyka systemowego na akcję kredytową banków. W badaniu wykorzystano nowoczesne miary ryzyka systemowego skalkulowane na podstawie danych rynkowych z polskiego sektora bankowego. Aby ocenić ilościowe znaczenie powiązań mikrofinansowych, zastosowano model regresji panelowej przy użyciu estymatora LSDVC i system-GMM. W badaniu wykorzystano kwartalne dane panelowe obejmujące działalność banków komercyjnych na polskim rynku w latach 2007-2017. Wyniki przeprowadzonych badań wska-zują, że wskaźniki ryzyka systemowego dobrze oddają poziom natężenia ryzyka w sektorze bankowym, ale nie generują sygnałów wyprzedzających kryzys. Materializacja ryzyka systemowego w istotny sposób przekłada się na spadek akcji kredytowej. (abstrakt oryginalny)

EN

The main purpose of the article is to review key systemic risk measures based on market data for Poland and to verify whether they can serve as an effective tool for monitoring and assessing the level of systemic risk. The subordinate goal is to examine the impact of systemic risk on bank lending. We use modern systemic risk metrics calculated on the basis of data from the Polish banking sector. To assess the strength of macro-financial linkages we apply the panel regression model using the system-GMM and LSDVC estimators. We cover the activity of all commercial banks operating on the Polish market between 2007-2017. We show that systemic risk indicators are useful in monitoring the current level of risk intensity in the banking sector, but they do not generate signals ahead of the crisis. Materialization of systemic risk leads to a significant decline in banks' lending. (original abstract)

Słowa kluczowe

PL

Sektor bankowy; Ryzyko systemowe; Kredyt bankowy; Polityka ostrożnościowa; Pomiar ryzyka; Modele regresji

EN

Banking sector; Systemic risk; Bank credit; Prudential policy; Risk measures; Regression models

• Czasopismo: Bank i Kredyt
• Rocznik: 2020
• Numer: nr 3
• Strony: 211--238

Twórcy

autor

Marcin Borsuk

• Uniwersytet Kazimierza Wielkiego w Bydgoszczy; Narodowy Bank Polski; Polska Akademia Nauk

autor

Konrad Kostrzewa

• Szkoła Główna Handlowa w Warszawie

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