What Drives Heterogeneity of Procyclicality of Loan Loss Provisions in the EU?

• Autorzy: Małgorzata Olszak , Mateusz Pipień , Jolanta Kowalska , Sylwia Roszkowska
• Języki publikacji: EN

Abstrakty

EN

Using the two step system GMM Blundell and Bond estimator this paper documents a large cross-bank and cross-country variation in the relationship between loan loss provisions (LLP) and the business cycle and explores bank management specific, bank-activity specific and country specific (institutional and regulatory) features that explain this diversity in the European Union. Our results indicate that LLP in large, publicly traded and commercial banks, as well as in banks reporting consolidated statements, are more procyclical. Better investor protection and more restrictive bank capital regulations reduce the procyclicality of LLP. We do not find support for the view that better quality of market monitoring mitigates the sensitivity of LLP to business cycle. Our findings clearly indicate the empirical importance of income smoothing, capital management and credit risk management for decreased procyclicality of LLP. (original abstract)

Słowa kluczowe

EN

Banking sector; Procyclicality; Bank regulations; Bank supervision; Credit risk

PL

Sektor bankowy; Procykliczność; Regulacje bankowe; Nadzór bankowy; Ryzyko kredytowe

• Czasopismo: University of Warsaw Faculty of Management Working Paper Series
• Rocznik: 2014
• Numer: nr 3
• Strony: 34

Twórcy

autor

Małgorzata Olszak

• University of Warsaw, Poland

autor

Mateusz Pipień

• Cracow University of Economics, Poland

autor

Jolanta Kowalska

• University of Warsaw, Poland

autor

Sylwia Roszkowska

• University of Lodz, Poland; National Bank of Poland

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