Badanie efektu domina w polskim systemie bankowym

• Autorzy: Grzegorz Hałaj

Warianty tytułu

Survey on the domino effect in the Polish banking system

• Języki publikacji: PL

Abstrakty

Celem analizy zawartej w artykule jest wykrycie zagrożenia przenoszenia się w polskim systemie bankowym skutków niewypłacalności lub bankructwa wybranej grupy banków, czyli zbadanie występowania tzw. efektu domina. Podjęto próbę odpowiedzi na pytania: czy brak możliwości spłaty zobowiązania wynikającego z lokaty międzybankowej powoduje trudności w regulowaniu zobowiązań przez wierzycieli i czy w konsekwencji podobne trudności dotykają inne banki, w jakiej skali i w jakim stopniu?; jak można mierzyć zagrożenie efektem domina do celów monitorowania ryzyka systemowego?

EN

The aim of the article is to answer the question whether there is a threat in the Polish banking system of spreading the results of insolvency or bankruptcy of a given group of banks, called the domino effect (contagion effect). By modifying the method proposed by Elsinger et. al. (2003) adequately and focusing the attention on the market for interbank placements, the author determines the degree of domino effect threat in the Polish banking system as of the end of 2003 and 2004. He shows in what way the financial situation of a given bank may depend on the capability to meet liabilities by other participants of the interbank market. In addition, the bank whose placements are not paid back may not be able to satisfy claims of other banks. A major deterioration in the bank's financial standing, in particular the bank's bankruptcy, may occur even if its financial statements do not indicate that there are any difficulties. To find out whether there is a threat of the domino effect which may adversely affect the assessment of financial system stability it is necessary to conduct a system analysis which should account, e.g. for relations between banks on the interbank placement market. The indicator that serves to identify the contagion effect is the relation of the bank's unpaid and outstanding liabilities on the interbank market to the total value of placements in other banks. Using this ratio a few hypothetical situations that may occur in the banking system have been analysed. First, the assumption was made that one bank or a group of banks have gone bankrupt and the impact on the repayment of placements by other banks was analysed. Two variants of bankruptcy definition were taken into account - bankruptcy occurs either when the bank's capital falls below 0 or it falls below 50 procent of its initial value. Second, the author examines the bank's bankruptcy resulting from losses incurred due to market or credit risk that is not related to the interbank

Słowa kluczowe

PL

System bankowy; Upadłość banku; Rynek międzybankowy; Efekt domino

EN

Banking system; Bank bankruptcy; Interbank market; Domino effect

• Czasopismo: Bank i Kredyt
• Rocznik: 2005
• Numer: nr 10
• Strony: 39--50

Twórcy

autor

Grzegorz Hałaj

Bibliografia

• 1. S. Das, R. Uppal: Systemic Risk and International Portfolio Choice. CEPR Discussion Paper nr 3305/2002.
• 2. P. De Bandt, P. Hartmann: Systemic Risk: A Survey. ECB Working Paper nr 35/2000.
• 3. J. Dow: What Is Systemic Risk? Moral Hazard, Initial Shocks, and Propagation. "Monetary and Economic Studies", December 2000,
• 4. H. Degryse, G. Nguyen: Interbank exposures: an empirical examination of systemic risk in Belgium banking system. CentER Discussion Paper nr 2004-04/2004.
• 5. M. Drehmann: Will an optimal deposit insurance always decrease the probability of systemic banking crises. Uniwersytet w Bonn, Working Paper, 2002.
• 6. L. Eisenberg, T. Noe: Systemic Risk in Financial Systems. "Management Science" nr 47/2001, s. 23B-249.
• 7. H. Elsinger, A. Lehar, M. Summer: Risk Assessment for Banking Systems. EFA 2003 Conference Paper nr 437/2003.
• 8. H. Elsinger, A. Lehar, M. Summer: Analyzing Systemic Risk in the European Banking System: A Portfolio Approach. Uniwersytet Wiedeński, Working Paper, 2004.
• 9. C. H. Furfine: Interbank Exposures: Quantifying the Risk of Contagion. "Journal of Money, Credit and Banking" nr 35/2003, s. 111-128.
• 10. H. Huang, C. Xu: Financial Institutions, Contagious Risks, and Financial Crises. Working Paper nr 444/2001.
• 11. G. Iori, S. Jafarey, F. Padilla: Interbank Lending and Systemic Risk. King's College, Department of Mathematics Working Paper, 2003.
• 12. S. Karlin: Mathematical Methods and Theory in Games, Programming and Economics. New York 1959, Addi-son-Wesley Publishing Company.
• 13. H. Leland, K. Toft: Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads. "Journal of Finance" vol. 51, nr 3/1996, s. 987-1019.
• 14. H. Naqvi: Banking Crises and the Lender of Last Resort: How crucial is the role of information? Economics Working Paper Archive at WUSTL, 2004.
• 15. J. C. Rochet, J. Tirol: Interbank Lending and Systemic Risk. "Journal of Money, Credit and Banking" vol. 28, nr 4/1996, s. 733-762.
• 16. S. Wells: Financial Interlinkages in the United Kingdom's interbank market and the risk of contagion. Working Paper of Bank of England, nr 230/2004.