Warianty tytułu
Języki publikacji
Abstrakty
Theoretical background: An important source of systemic risk in the banking system is the ownership structure, especially the ratio of foreign capital, which affects not only the results of individual banks but also the situation of the entire sector during the financial crisis. The effects of foreign capital engagement in a local banking system not always have to be exclusively positive. In particular, this refers to the systemic risk contribution of foreign capital in the national banking system as well as foreign capital concentration and potential systemic risk transfer through foreign capital. These threats are becoming especially important for the Polish banking sector, where foreign capital to assets ratio - despite its gradual decrease since 2008 - is still higher than 40%.
Purpose of the article: The aim of this article is to assess foreign capital systemic risk contribution in the Polish banking system and the scale of threat posed by possible transfer of this risk through foreign capital.
Research methods: Two methods were employed in this study, i.e. (1) supervisory measure of individual banks' systemic risk contribution, including the guidelines of the European Banking Authority, and (2) SRISK% measure, which shows which part of the systemic capital shortfall is generated by which bank. The systemic capital shortfall, on the other hand, is defined as a sum of additional own funds necessary to meet the regulatory minimum should a 40% fall of total capitalisation of the banking system occur within the subsequent 6 months. At the same time, owing to the application of both of the above methods, we could draw on their strengths while eliminating the identified weaknesses.
Main findings: Our analyses did not indicate that the level of foreign capital concentration in the Polish systemically important banks may contribute to systemic risk transfer through foreign capital. Although all Polish banks owned by foreign capital, identified as systemically important, are subsidiaries of the banks which - in their home countries - are also considered as systemically important, their contribution to the Polish systemic risk is generally a few times lower than systemic risk contribution of their parent institutions, with the exception of one bank, which should be carefully monitored by the Polish financial safety net. The rising systemic risk contribution of the banks owned by foreign capital and identified as systemically important in the Polish banking system should not be a matter of concern thanks to the diversified share of individual banks in it. The conclusions drawn in the study are important both in terms of the policies adopted by the safety net institutions and from the point of view of further improvement of systemic risk measures, especially those assessing the contribution of individual banks to this risk. (original abstract)
Purpose of the article: The aim of this article is to assess foreign capital systemic risk contribution in the Polish banking system and the scale of threat posed by possible transfer of this risk through foreign capital.
Research methods: Two methods were employed in this study, i.e. (1) supervisory measure of individual banks' systemic risk contribution, including the guidelines of the European Banking Authority, and (2) SRISK% measure, which shows which part of the systemic capital shortfall is generated by which bank. The systemic capital shortfall, on the other hand, is defined as a sum of additional own funds necessary to meet the regulatory minimum should a 40% fall of total capitalisation of the banking system occur within the subsequent 6 months. At the same time, owing to the application of both of the above methods, we could draw on their strengths while eliminating the identified weaknesses.
Main findings: Our analyses did not indicate that the level of foreign capital concentration in the Polish systemically important banks may contribute to systemic risk transfer through foreign capital. Although all Polish banks owned by foreign capital, identified as systemically important, are subsidiaries of the banks which - in their home countries - are also considered as systemically important, their contribution to the Polish systemic risk is generally a few times lower than systemic risk contribution of their parent institutions, with the exception of one bank, which should be carefully monitored by the Polish financial safety net. The rising systemic risk contribution of the banks owned by foreign capital and identified as systemically important in the Polish banking system should not be a matter of concern thanks to the diversified share of individual banks in it. The conclusions drawn in the study are important both in terms of the policies adopted by the safety net institutions and from the point of view of further improvement of systemic risk measures, especially those assessing the contribution of individual banks to this risk. (original abstract)
Słowa kluczowe
Rocznik
Tom
Numer
Strony
157--175
Opis fizyczny
Twórcy
autor
- SGH Warsaw School of Economics
Bibliografia
- Brownlees, Ch., & Engle, R. (2017). SRISK: A conditional capital shortfall measure of systemic risk. The Review of Financial Studies, 30(1), 48-79. doi:10.1093/rfs/hhw060
- Chen, M., Wu, J., Jeon, B. N., & Wang, R. (2017). Do foreign banks take more risk? Evidence from emerging economies. Journal of Banking & Finance, 82, 20-39. doi:10.1016/j.jbankfin.2017.05.004
- De Haas, R., & Van Lelyveld, I. (2014). Multinational Banks and the Global Financial Crisis. Weathering the Perfect Storm? Journal of Money, Credit, and Banking, 46(s1), 333-364. doi:10.1111/jmcb.12094
- EBA. (2022). Other Systemically Important Institutions (O-SIIs). Retrieved from https://www.eba.europa.eu/risk-analysis-and-data/other-systemically-important-institutions-o-siis-
- ECB. (2017). Financial Stability Review. Retrieved from https://www.ecb.europa.eu/pub/pdf/other/financialstabilityreview201705.en.pdf
- Epstein, R.A. (2013). Central and East European bank responses to the financial 'crisis': Do domestic banks perform better in a crisis than their foreign-owned counterparts? Europe-Asia Studies, 65(3), 528-547. doi:10.1080/09668136.2013.779453
- Epstein, R.A. (2014a). Assets or liabilities? The politics of bank ownership. Review of International Political Economy, 21(4), 765-789. doi:10.1080/09692290.2014.912990
- Epstein, R.A. (2014b). When do foreign banks "cut and run"? Evidence from west European bailouts and east European markets. Review of International Political Economy, 21(4), 847-877. doi:10.1080/09692290.213.824913
- Feyen, E., & Gonzalez del Mazo, I. (2013). European bank de-leveraging and global credit conditions. Policy Research Working Paper, 6388. The World Bank. Retrieved from https://openknowledge.worldbank.org/entities/publication/7f9e2413-ba8d-50db-9d5c-a2b21fe3f3e3
- Flejterski, S., & Postuła, M. (2022). Banks ownership and development indicators prior to the COVID-19 pandemic. A comparative study. Annales Universitatis Mariae Curie-Skłodowska, sectio H - Oeconomia, 56(4), 23-39. doi:10.17951/h.2022.56.4.23-39
- FSB. (2022). Global Systemically Important Financial Institutions (G-SIFIs). Retrieved from https://www.fsb.org/work-of-the-fsb/market-and-institutional-resilience/global-systemically-important-financial-institutions-g-sifis/
- Goyer, M., & Valdivielso del Real, R. (2014). Protection of domestic bank ownership in France and Germany: The functional equivalency of institutional diversity in takeovers. Review of International Political Economy, 21(4), 790-819. doi:10.1080/09692290.2014.910539
- Greenbaum, S., Thakor, A., & Boot, A.W.A. (2015). Contemporary Financial Intermediation. Amsterdam - Tokyo: Elsevier Academic Press.
- KNF. (2017). Raport o sytuacji banków w 2016 roku. Retrieved from https://www.knf.gov.pl/knf/pl/komponenty/img/RAPORT_O_SYTUACJI_BANKOW_2016_54435.pdf
- KNF. (2022). Przegląd adekwatności wskaźnika bufora innej instytucji o znaczeniu systemowym. Retrieved from https://www.knf.gov.pl/knf/pl/komponenty/img/Przeglad_adekwatnosci_wskaznika_bufora_innej_instytucji_o_znaczeniu_systemowym_80606.pdf
- Koleśnik, J. (2019). Bankowe ryzyko systemowe - źródła i instrumenty redukcji. Warszawa: Difin.
- Kozak, S. (2020). Are larger banks more efficient in the Central Eastern European countries? Annales Universitatis Mariae Curie-Skłodowska, sectio H - Oeconomia, 54(2), 31-40. doi:10.17951/h.2020.54.2.31-40
- Laidroo, L. (2016). Bank ownership and lending: Does bank ownership matter? Journal Emerging Markets Finance and Trade, 52(2), 285-301. doi:10.1080/1540496X.2015.1095032
- Lee, C-.C., Hsieh, M.-F., & Yang S.-J. (2016). The effects of foreign ownership on competition in the banking industry: The key role of financial reforms. Japan and the World Economy, 37-38, 27-46. doi:10.1016/j.japwor.2016.02.002
- McLemore, P., Mihov, A., & Sanz, L. (2022). Global banks and systemic risk: The dark side of country financial connectedness, Journal of International Money and Finance, 129, 102734. doi:10.1016/j.jimonfin.2022.102734
- Zaleska, M., & Kondraciuk, P. (2019). Theory and practice of innovation development in the banking sector. Financial Sciences, 24(2), 76-87. doi:10.15611/fins.2019.2.06
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171678063
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