- Tytuł:
- Bank-specific determinants of sensitivity of loan-loss provisions to business cycle
- Autorzy:
-
Olszak, Małgorzata
Chodnicka-Jaworska, Patrycja
Kowalska, Iwona
Świtała, Filip - Powiązania:
- https://bibliotekanauki.pl/articles/482965.pdf
- Data publikacji:
- 2016
- Wydawca:
- Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
- Tematy:
-
loan-loss provisions
procyclicality
bank size
capital ratio
discretionary income-smoothing - Opis:
- In this paper we explore several new factors which may affect the procyclicality of loan-loss provisions. In particular, we test whether there are visible differences in sensitivity of loan-loss provisions to the business cycle between commercial and cooperative banks as well as between large, medium and small banks. We also aim to find out whether the level of bank capital ratio and the application of discretionary income-smoothing affect procyclicality of loan-loss provisions. Our results show that loan-loss provisions of banks are procyclical. This procyclicality is particularly visible and stronger in the sample of commercial banks. We also find that loan-loss provisions of large banks are more negatively affected by the business cycle than those of medium or small banks. We show that banks with low capital ratios exhibit increased procyclicality of loan-loss provisions. And finally, we also find empirical evidence that banks with a greater degree of discretionary income-smoothing have loan-loss provisions more negatively affected by the business cycle, and thus more procyclical.
- Źródło:
-
Faculty of Management Working Paper Series; 2016, WPS 3/2016; 1-43
2300-4371 - Pojawia się w:
- Faculty of Management Working Paper Series
- Dostawca treści:
- Biblioteka Nauki
Artykuł