- Tytuł:
- What drives heterogeneity of procyclicality of loan loss provisions in the EU?
- Autorzy:
-
Olszak, Olszak
Pipień, Mateusz
Kowalska, Iwona
Roszkowska, Sylwia - Powiązania:
- https://bibliotekanauki.pl/articles/1203986.pdf
- Data publikacji:
- 2014
- Wydawca:
- Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
- Tematy:
-
loan loss provisions
procyclicality
income smoothing
investor protection
bank regulation
bank supervision - Opis:
- 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.
- Źródło:
-
Faculty of Management Working Paper Series; 2014, WPS 3/2014; 1-34
2300-4371 - Pojawia się w:
- Faculty of Management Working Paper Series
- Dostawca treści:
- Biblioteka Nauki
Artykuł