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    Wyświetlanie 1-8 z 8
    Tytuł:
    Macroprudential policy instruments and procyclicality of loan-loss provisions – cross-country evidence
    Autorzy:
    Olszak, Małgorzata
    Roszkowska, Sylwia
    Kowalska, Iwona
    Powiązania:
    https://bibliotekanauki.pl/articles/482937.pdf
    Data publikacji:
    2016
    Wydawca:
    Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
    Tematy:
    macroprudential policy
    loan-loss provisions
    business cycle
    procyclicality
    Opis:
    We analyze the effectiveness of various macroprudential policy instruments in reducing the procyclicality of loan-loss provisions (LLPs) using individual bank information from over 65 countries and applying the two-step GMM Blundell-Bond (1998) approach with robust standard errors. Our research identifies several new facts. Firstly, borrower restrictions are definitely more effective in reducing the procyclicality of loan-loss provisions than other macroprudential policy instruments. This effect is supported in both unconsolidated and consolidated data and is robust to several robustness checks. Secondly, dynamic provisions, large exposure concentration limits and taxes on specific assets are effective in reducing the procyclicality of loan-loss provisions. And finally, we find that both loan-to-value caps and debt-to-income ratios, are especially effective in reducing the procyclicality of LLP of large banks. Off-balance-sheet restrictions, concentration limits and taxes are also effective in reducing the procyclicality of LLP of large banks. Dynamic provisions reduce the procyclicality of LLP independently of bank size.
    Źródło:
    Faculty of Management Working Paper Series; 2016, WPS 4/2016; 1-52
    2300-4371
    Pojawia się w:
    Faculty of Management Working Paper Series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    THE IMPACT OF CAPITAL RATIO ON LENDING OF EU BANKS – THE ROLE OF BANK SPECIALIZATION AND CAPITALIZATION
    Autorzy:
    Olszak, Małgorzata
    Pipień, Mateusz
    Roszkowska, Sylwia
    Powiązania:
    https://bibliotekanauki.pl/articles/517156.pdf
    Data publikacji:
    2016
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    loan supply
    capital ratio
    procyclicality
    Opis:
    In this paper we aim to find out whether bank specialization and bank capitalization affect the relationship between loans growth and capital ratio, both in expansions and in contractions. We hypothesize that the impact of bank capital on lending is relatively strong in cooperative banks and savings banks. We also expect that this effect is nonlinear, and is stronger in “low” capital banks than in “high” capital banks. In order to test our hypotheses, we apply the two-step GMM robust estimator for data spanning the years 1996–2011 on individual banks available in the Bankscope database. Our analysis shows that lending of poorly capitalized banks is more affected by capital ratio than lending of well-capitalized banks. Loans growth of cooperative and savings banks is more capital constrained that lending of commercial banks. Capital matters for the lending activity in contractions only in the case of savings and “low” capital banks.
    Źródło:
    Equilibrium. Quarterly Journal of Economics and Economic Policy; 2016, 11, 1; 43-59
    1689-765X
    2353-3293
    Pojawia się w:
    Equilibrium. Quarterly Journal of Economics and Economic Policy
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Macroprudential policy effect on the link between lending and capital ratio – the role of economic development and capital account openness
    Autorzy:
    Olszak, Małgorzata
    Roszkowska, Sylwia
    Kowalska, Iwona
    Powiązania:
    https://bibliotekanauki.pl/articles/2097066.pdf
    Data publikacji:
    2017
    Wydawca:
    Polska Akademia Nauk. Komitet Nauk o Finansach PAN
    Tematy:
    loan supply
    capital ratio
    procyclicality
    macroprudential policy
    Opis:
    In this paper we ask about the role of macroprudential policies to affect the link between lending and capital ratio in countries differing in economic development and capital account openness. To resolve this problem we apply the GMM 2-step Blundell and Bond approach to a sample covering over 60 countries. Our results show that the effect of macroprudential policies on the association between lending and the capital ratio in non-crisis periods is stronger in advanced countries than in emerging countries. Differentiating by the level of capital account openness, we find that macroprudential policies are more effective in increasing the resilience of banks and thus weakening the association between loan supply and capital ratio for relatively closed economies but less effective for relatively open economies. Generally, with our study we are able to support the view that macroprudential policy has the potential to curb the procyclical impact of bank capital on lending.
    Źródło:
    FINANSE Czasopismo Komitetu Nauk o Finansach PAN; 2017, 1(10); 315-329
    1899-4822
    Pojawia się w:
    FINANSE Czasopismo Komitetu Nauk o Finansach PAN
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Do macroprudential policy instruments affect the link between lending and capital ratio? – cross-country evidence
    Autorzy:
    Olszak, Małgorzata
    Roszkowska, Sylwia
    Kowalska, Iwona
    Powiązania:
    https://bibliotekanauki.pl/articles/482969.pdf
    Data publikacji:
    2016
    Wydawca:
    Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
    Tematy:
    loan supply
    capital ratio
    procyclicality
    macroprudential policy
    Opis:
    In this paper we ask about the capacity of macroprudential policies to reduce the positive association between loans growth and the capital ratio. We focus on aggregated macroprudential policy measures and on individual instruments and test whether their effect on the association between lending and capital depends on bank size, the economic development of a country as well as on the extent of capital account openness. Applying the GMM 2-step Blundell and Bond approach to a sample covering over 60 countries, we find that macroprudential policy instruments reduce the impact of capital on bank lending during both crisis and non-crisis times. This result is stronger in large banks than in other banks. Of individual macroprudential instruments, only borrower-targeted LTV caps and DTI ratio weaken the association between lending and capital. Our results also show that the effect of macroprudential policies on the association between lending and the capital ratio in non-crisis periods is stronger in advanced countries than in emerging countries. Additionally, differentiating by the level of capital account openness, we find that macroprudential policies are more effective in increasing the resilience of banks and thus weakening the association between loan supply and capital ratio for relatively closed economies but less effective for relatively open economies. Generally, with our study we are able to support the view that macroprudential policy has the potential to curb the procyclical impact of bank capital on lending and therefore, the introduction of more restrictive international capital standards included in Basel III and of macroprudential policies are fully justified.
    Źródło:
    Faculty of Management Working Paper Series; 2016, WPS 2/2016; 1-50
    2300-4371
    Pojawia się w:
    Faculty of Management Working Paper Series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The impact of capital on lending in publicly-traded and privately- held banks in the EU
    Autorzy:
    Olszak, Małgorzata
    Pipień, Mateusz
    Kowalska, Iwona
    Roszkowska, Sylwia
    Powiązania:
    https://bibliotekanauki.pl/articles/482947.pdf
    Data publikacji:
    2015
    Wydawca:
    Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
    Tematy:
    loan supply
    capital ratio
    procyclicality
    accounting conservatism privately-held and publicly-traded banks
    Opis:
    This paper extends the literature on the link between lending and capital by examining the role of equity ownership structure for this link in banks operating in the European Union. As theory predicts, publiclytraded banks are more prone to heightened agency problems (moral hazard and adverse selection) due to dispersed ownership and therefore have stronger incentives to engage in excessive risk-taking especially in economic expansions. This may bring about procyclical lending effect in economic downturns. Theory also predicts that these banks are also more affected by capital market frictions in economic downturns. Applying Blundell and Bond (1998) two step robust GMM estimator we predict and find that the link between lending and capital in economic downturns is stronger in publicly-traded banks than in privately- held banks, which may be a result of greater conditional accounting conservatism of publicly-traded banks. Additionally, the link between lending and capital during expansions is stronger in the case of privately- held banks reporting unconsolidated data, but not for banks reporting consolidated financial reports, consistent with the view that limited access to capital markets increases the cost of external finance of private banks. Finally, we find empirical support for the view that lending of privately- held banks is not constrained by capital ratio in economic downturns. Our results stress the importance of conditional conservatism for the effectiveness macroprudential policy, in particular countercyclical capital buffers.
    Źródło:
    Faculty of Management Working Paper Series; 2015, WPS 7/2015; 1-25
    2300-4371
    Pojawia się w:
    Faculty of Management Working Paper Series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The impact of capital on lending in economic downturns and investor protection – the case of large EU banks
    Autorzy:
    Olszak, Małgorzata
    Pipień, Mateusz
    Kowalska, Iwona
    Roszkowska, Sylwia
    Powiązania:
    https://bibliotekanauki.pl/articles/482952.pdf
    Data publikacji:
    2015
    Wydawca:
    Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
    Tematy:
    capital ratio
    lending
    shareholders protection
    creditor power
    procyclicality
    Opis:
    This paper attempts to find out whether better quality of investor protection matters for the effect of capital ratio on loan growth of large EU banks in 1996-2011. We focus on several measures of the quality of investor protection with a proven track record in the banking literature, i.e.: anti-self-dealing index, ex-antecontrol and ex-post-control of anti-self-dealing indices, and creditor protection rights index. Our results show that better investor protection increases the procyclical impact of capital on lending in the sample of banks reporting unconsolidated data. This is consistent with the view that better shareholders rights protection induces bank borrowers to take more loans and to engage in more risk-taking, in particular during economic booms, which results in greater sensitivity of bank lending to capital ratios in economic downturns. The opposite effect is found in the sample of banks reporting consolidated data. This effect is consistent with the view that better minority shareholders protection may reduce risk-taking incentives of large banks and result in better risk management of credit portfolio (and other investments of such banks).
    Źródło:
    Faculty of Management Working Paper Series; 2015, WPS 6/2015; 1-33
    2300-4371
    Pojawia się w:
    Faculty of Management Working Paper Series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    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
    Tytuł:
    Do regulations and supervision shape the capital crunch effect of large banks in the EU?
    Autorzy:
    Olszak, Małgorzata
    Pipień, Mateusz
    Kowalska, Iwona
    Roszkowska, Sylwia
    Powiązania:
    https://bibliotekanauki.pl/articles/482945.pdf
    Data publikacji:
    2015
    Wydawca:
    Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
    Tematy:
    capital ratio
    lending, capital crunch
    regulations
    supervision
    procyclicality
    Opis:
    This paper extends the literature on the capital crunch effect by examining the role of public policy for the link between lending and capital in a sample of large banks operating in the European Union. Applying Blundell and Bond (1998) two-step robust GMM estimator we show that restrictions on bank activities and more stringent capital standards weaken the capital crunch effect, consistent with reduced risk taking and boosted bank charter values. Official supervision also reduces the impact of capital ratio on lending in downturns. Private oversight seems to be related to thin capital buffers in expansions, and therefore the capital crunch effect is enhanced in countries with increased market discipline. We thus provide evidence that neither regulations nor supervision at the microprudential level is neutral from a financial stability perspective. Weak regulations and supervision seem to increase the pro-cyclical effect of capital on bank lending.
    Źródło:
    Faculty of Management Working Paper Series; 2015, WPS 3/2015; 1-27
    2300-4371
    Pojawia się w:
    Faculty of Management Working Paper Series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-8 z 8

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