Integration in European Retail Banking : Evidence from savings and lending rates to non-financial corporations

The aim of this paper is to investigate the integration process in the European Union retail banking sector during the period 1995-2008, by analysing deposit and lending rates to nonfinancial corporations which represent one of the main constituents of retail banking. An important contribution of the paper is the application of the recently developed Phillips and Sul (2007a) panel convergence methodology which has not hitherto been employed in this area. This method analyses the degree as well as the speed of convergence, identifies the presence of club formation, and measures the behaviour of each country’s transition path relative to the panel average. The results obtained point to the presence of close convergence in all deposit rates and in the short-term lending rates to non-financial corporations. However, we also detect the presence of heterogeneity in the European retail banking sector with notably some diverse convergence patterns observed for the transition paths for the deposit and lending rates with longer maturities.Submitted Versio

Market impact under a new regulatory regime: Credit rating agencies in Europe

We investigate whether there are any identifiable differences in market perceptions of rating news released by Moody’s, S&P and Fitch following the establishment of a new regulatory regime in July 2011, when the European Securities and Markets Authority assumed responsibility for rating agencies’ regulation in Europe. We focus the analysis on the impact of bank rating actions on stock returns and volatility during 2008-2013. Among the intended effects of the new regulatory regime are reduced market impact of rating actions and enhanced market stability, yet we find very mixed evidence. Differentials in market responses across CRAs are identified

The Impact of regulatory capital regulation on balance sheet structure, intermediation cost and growth

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2016.htmlDocuments de travail du Centre d'Economie de la Sorbonne 2016.61 - ISSN : 1955-611XAs Europe is subject to a protracted recession, it should be asked whether the reform of the financial sector is not costly in terms of potential growth. Our analysis shows that the negative effect of the Basel III package excepted by the pre-QE studies are almost annihilated today. The recession must then have other causes: falling corporate lending volumes resulted from falling demand in the aftermath of the financial crisis, but this is longer the case. The EU is trying to incentivize corporate lending, via forward guidance as well as ‘supporting factor’ cutting down the Basel capital requirements. The macroeconomic theorists are trying to account for future success of monetary policy around zero nominal interest rate via the risk-taking channel. All these clever initiatives failed to deliver. As a consequence, we might infer that banks are simply not taking any risks: rather than appealing to risk aversion, we would like to argue that the banks seem especially embarrassed by future regulatory developments, which appear remote and uncertain. The binding constraint for corporate lending and growth in the EU is then plausibly a combination of banks' expectations of future regulation and strong uncertainty aversion. While we offer some mitigation prospects, we hope that the theoretical developments of the recent years will quickly yield both theoretical advances and practical results.Malgré les assouplissements récents de la règlementation bancaire afin de permettre une reprise des prêts aux entreprises, il semble que le paquet Bâle III ait un effet néfaste sur la croissance. Le texte s'interroge sur la contrainte active parmi l'ensemble des nouvelles règles. Il semblerait que les banques soient devenues très averses à l'incertitude, en particulier à l'incertitude sur l'évolution des règles qui leurs sont imposées. En conséquence nous proposons de modifier la nature des provisions en capital et le nombre de régulateurs ayant un pouvoir de décision sur le niveau des capitaux

An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking

The 1990s have witnessed a significant growth in bank income generated through non-traditional activities, especially for large EU universal banking institutions. Using the non-parametric Malmquist methodology this study analyses the impact of the inclusion of off-balance sheet (OBS) business in the definition of banks' output when estimating total factor productivity change indexes. Whereas the results reinforce the prevalent view in the recent literature, indicating that the exclusion of non-traditional activities leads to a misspecification of banks' output, the impact of the inclusion of these activities varies. Overall, the inclusion of OBS items results in an increase in estimated productivity levels for all countries under study. However, the impact seems to be the biggest on technological change rather than efficiency change. © 2005 Taylor & Francis

Možnosti identifikace bublin cen aktiv v české ekonomice

The article discusses the approaches and options for identification of disequilibrium asset prices movements. It focuses mainly on theoretical and empirical methods for identifying the so-called "bubbles" in asset prices. Subsequently, the dissimilarity among foreign exchange, stock and real estate markets in the Czech Republic is discussed, and application of selected methods (ratios, statistical and econometric methods) for identification of bubbles on these markets is shown. Its main advantage is that we analyze the problem not only from the perspective of one market, but on the main segments of financial sector. Paper concludes that the misalignment of asset prices during current financial crisis was not significantly different from their values from the second part of nineties.Web of Science59218316

Regional Financial Integration in East Asia against the Backdrop of Recent European Experiences

This article discusses recent trends in regional financial integration in East Asia and current efforts of the Association of Southeast Asian Nations (ASEAN) member countries to foster regional financial integration against the backdrop of three decades of experience with financial integration in Europe. It reviews the two major crisis episodes of the recent European financial history to illustrate the risks associated with comprehensive capital account liberalisation and financial integration without commensurate supervisory structures. The article highlights the importance of targeted macroprudential policies and the development of an adequate region-wide regulatory and supervisory framework to reduce the risks associated with regional – and hence international – financial integration

SMEs’ growth under financing constraints and banking markets integration in the euro area

We explore the impact of financing constraints and the role of banking markets integration on SMEs’ growth. The data are drawn from the ECB/SAFE survey on SMEs’ access to finance aggregated at country level for the largest 11 euro-area countries over 2009-2015. Our findings suggest that financing constraints hamper SMEs’ growth and that the effect is stronger for perceived, rather than actual, financing constraints. On the other hand, increased banking market integration in the euro area appears to foster SMEs’ growth. Furthermore, we find that the reduction in financing constraints is crucial in the transmission channel from banking markets integration to growth. This effect appears significantly stronger when integration is measured by the intensity of cross-border lending than through convergence in interest rates to loans to non-financial corporations

Analysis of the Relation between Macroprudential and Microprudential Policy

The article deals with the analysis of a relationship between macroprudential and microprudential policy on a general level and on an example of regulatorily required structure and volume of bank capital. Regulatory requirements and supervisory methods are described in connection with the institutional structure of regulation and supervision within the European economic area. An attention is paid to the development of supervision on an individual basis through consolidated supervision to supplementary supervision of financial conglomerates, which corresponds with the activity and structure of the financial sector, high rate of integration and transboundary action of financial groups headed by a bank. The European System of Financial Supervision and Single Supervisory Mechanism are presented. Development of the regulation of bank capital is analysed. The original microprudential approach is mentioned that involved macroeconomic impacts from its introduction. Based on the analysis of capital structure as conceived from Basel I to Basel III approaches of regulation to this important indicator are discussed. Instability sources and indicative instruments of macroprudential policy are analysed on an example of the excessive growth of credits and leverage as an instability source and countercyclical capital buffer, sectoral capital requirements and leverage ratio in the role of indicative instruments

Monetary Policy Implementation and Liquidity Management of the Czech Banking System

Implementation of monetary policy assumes that monetary policy instruments stabilize O/N interest rates to the proximity of main policy rate to archive monetary targets. The function of stabilizing mechanism is based on simple rule that the volume of liquidity in the banking system is held in line with the demand of banks for reserves. In this paper main factors of banking system liquidity are analyzed in the context of bank’s imperfect intertemporal substitution of reserves and with respect to predictibility of O/N interest rates volatility. Analysis of O/N PRIBOR and CZEONIA reference interest rates prove Czech National Bank’s ability to stabilise O/N interest rates disregard overall excess liquidity in the banking system. It also identified structural changes acting in the money market like reduced instability of demand for reserve and decreased volatility of O/N interest rates due to introduction of credit facility or increased volatility of the spread between O/N interest rates and repo rate due to reduction of frequency of repo tenders. Rapid increase in the volatility of differences between OMO target and bank’s supply of excess reserves is also resulting in the weakening of a direct relationship between O/N PRIBOR dynamics and repo tenders

The transmission of unconventional monetary policy to bank credit supply : evidence from the TLTRO

We assess the transmission of the Targeted Longer-Term Refinancing Operations (TLTRO) to the bank credit supply for the Euro area (2014:05-2018:01) and for Portugal (2011:01-2018:01), using a panel data setup. For the Euro area, we find a positive relationship between the TLTRO and the amount of credit granted to the real economy. For the vulnerable countries, the effects of the TLTRO on the stock of credit increased from 2016 to 2017. Among the group of small banks, the effects are stronger in less vulnerable countries. We also find that competition has no statistically significant impact on the transmission of the TLTRO to the bank credit supply for the Euro area. For Portugal, using a difference-in-differences model, we find no statistically significant impact of the TLTRO on credit granted by banks. Finally, bidding banks set lower interest rates than non-bidding banks and the difference seems to be larger in 2017. In Portugal, the effects of the TLTRO on loan interest rates also increased from 2016 to 2017 and are stronger for small banks.info:eu-repo/semantics/publishedVersio