scholarly journals Política Monetária, Macroprudencial e Bancos: Evidências Empíricas usando VAR em Painel

2015 ◽  
Vol 13 (4) ◽  
pp. 691
Author(s):  
Fernando Da Silva Vinhado ◽  
José Angelo Divino
Keyword(s):  
Financial Stability ◽  
Financial Risk ◽  
Banking Sector ◽  
Capital Requirements ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Risk Capital ◽  
Macroprudential Policies ◽  
Section Structure ◽  
The Relationship

The objective of this paper is to investigate the relationship between monetary and macroprudential policies and the banking sector of the Brazilian economy, exploiting its cross-section structure as a source of interrelations between systemic aspects of those policies and the behavior of banks. Impulse-response functions are computed from the estimation of panel-VAR for 56 institutions that were active in the Brazilian banking sector between 2001 and 2013. Among the results, we can highlight the influence of monetary and macroprudential policies on levels of exposure to financial risk, capital and financial stability of banks. There is a complementarity between the instruments of those policies and the stabilization of inflation. The relationships involving banking metrics reveal preference for liquidity in contexts of higher risks, evidence of a competitive banking structure, and formation of capital buffer that lead to financial stability. This confirms the importance of capital requirements as a tool to maintain a stable financial system.

Countercyclical Capital Buffer for Banks: is There a Premise for its Application in Russia?

2018 ◽  
pp. 97-116
Author(s):  
Svetlana Khasyanova
Keyword(s):  
Strategic Management ◽  
Banking Sector ◽  
Capital Requirements ◽  
Capital Adequacy ◽  
Gap Dynamics ◽  
Macroprudential Policy ◽  
Filtration Method ◽  
Minimum Capital ◽  
Macroprudential Policies ◽  
Russian Economy

Recently, the concept of countercyclical regulation in the financial sector has become key for the implementation of macroprudential policies in many countries, while a countercyclical buffer capital of banks is becoming a primary tool of regulation. The purpose of this research is to study the appropriateness and specifics of the countercyclical capital buffer application in Russia’s banking sector based on the analysis of credit aggregates’ dynamics for 2004-2016 and for the mid-term. Drawing on the filtration method, the study shows that the most effective indicator of excessive lending in the Russian economy is credit-to-GDP, the gap dynamics of which testifies a possible activation of capital buffer in 2007 and 2013. At the same time, the size of the buffer appeared to be insignificant, with a short activation period, which suggests the replacement of the buffer with alternative regulative tools. The minimum capital adequacy, taking into account the buffer, is not critical for the banking sector. However, some of the largest banks appeared to be vulnerable to increased capital requirements. The results of this study are of great value both for the implementation of macroprudential policy, and for strategic management of banks capital adequacy.

scholarly journals FINANCIAL CRISIS, MACROPRUDENTIAL POLICIES AND DEPOSITOR DISCIPLINE

2017 ◽  
Vol 62 (01) ◽  
pp. 5-25 ◽  
Author(s):  
AHMET FARUK AYSAN ◽  
MUSTAFA DISLI ◽  
HUSEYIN OZTURK
Keyword(s):  
Financial Crisis ◽  
Financial Stability ◽  
Banking Sector ◽  
Positive Impact ◽  
Bank Performance ◽  
Macroprudential Policies ◽  
Bank Behavior ◽  
Depositor Discipline

This paper examines to what extent macroprudential policies in the Turkish banking sector affected the functioning of depositor discipline. Our results suggest that depositors’ responses for poor bank performance get stronger after the 2008 crisis, when various macroprudential measures were implemented to preserve financial stability. In the aftermath of the crisis, bank behavior toward depositors also alters. Ahead of the crisis, banks did not significantly respond to the discipline exerted by depositors, however, banks begin offering higher rates to curb deposit withdrawals afterwards. Our findings suggest that the implementation of macroprudential tools seem to have a positive impact on financial stability, since, in the post-2008 period, regulatory supervision have been more firmly assisted by the market.

scholarly journals DOES THE PROCYCLICALITY OF CAPITAL REQUIREMENTS AFFECT FINANCIAL STABILITY IN CEMAC?

2020 ◽  
Vol 8 (7) ◽  
pp. 17-37
Author(s):  
Djimoudjiel Djekonbé ◽  
Ningaye Paul ◽  
Nafé Daba
Keyword(s):  
Monetary Policy ◽  
Financial Stability ◽  
Policy Instruments ◽  
Factorization Method ◽  
Capital Requirements ◽  
Panel Var ◽  
Regulatory Capital ◽  
Short Term ◽  
Discretionary Monetary Policy

The objective of this article is to analyze the effects of procyclical variations of the capital requirements for risk coverage on financial stability in the CEMAC[1]. In order to achieve this objective, we have specified and estimated a panel VAR model using the structural factorization method on quarterly Central Bank data over the period 2006-2017. Firstly, the results show that procyclical capital adjustments in the CEMAC region lead to short-term financial instability through the contraction of credit to the private sector. Secondly, despite the low level of financial development, the effects maintained by the adjustment of monetary policy instruments in the short term remain significant on price stability. Finally, in the long term, the procyclicality of regulatory capital makes it possible to revive economic activity and guarantee financial stability. These results lead us to recommend the adoption of a more discretionary monetary policy so as to make more procyclical the capital requirement.     [1] Economic Community of Central African States comprising Cameroon, Central African Republic, Chad, Congo, Gabon and Equatorial Guinea.

scholarly journals Investigating the Market Interest Rate on Commercial Banks Financial Performance in Bangladesh

2021 ◽  
Vol 5 (1) ◽  
pp. 3-12
Author(s):  
Debashis Saha ◽  
Prodip Chandra Bishwas ◽  
Md. Mustofa Ahmed Sumon
Keyword(s):  
Interest Rate ◽  
Financial Performance ◽  
Commercial Banks ◽  
Financial Stability ◽  
Banking Sector ◽  
Time Series Data ◽  
Positive Impact ◽  
Series Data ◽  
Market Interest Rate ◽  
The Relationship

The banking sector is the most vital partner of development for countries' economies. It has a remarkable contribution to the country's Gross Domestic Product. This study investigates the relationship between the market interest rate and commercial banks' financial performance. As Bangladesh's banking industry is growing, it is vital to maintain a more robust profitability level for its financial stability and soundness. Banks have some determinants that have a significant impact on their performance. The convenience sampling method is used to select the targeted sample. The study includes the time series data of eight years of fifteen commercial banks listed on the Dhaka Stock Exchange in Bangladesh. Multiple variable linear regression and correlation analysis are performed to examine the relationship of market interest rate with banks' profitability with statistical software, IBM SPSS version 25, and Microsoft excel. The study explored that the market interest rate has a significant positive impact on banks' profitability. It is also found that the lending rate and interest rate spread are significantly correlated with the banks' financial performance. The study recommended that banks make their investment to make a higher profit margin to enhance their management and financial soundness efficiency.

Bank regulation and credit crunch: evidence from MENA region commercial banks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Chawki EL-Moussawi ◽  
Mohamad Kassem ◽  
Josse Roussel
Keyword(s):  
Commercial Banks ◽  
Banking Sector ◽  
Explanatory Power ◽  
Banking Regulation ◽  
Capital Requirements ◽  
Mena Region ◽  
Institutional Variables ◽  
Content Type ◽  
The Impact ◽  
The Relationship

PurposeThis paper focuses on the relationship between the regulatory capital requirements and the supply of credit for commercial banks that are operating in the MENA region from 1999 till 2017.Design/methodology/approachThe application of the Fixed Effects Model on a panel of commercial banks in the MENA region has shown a negative relationship between supply of credit and both the capital requirements and solvency ratios.FindingsThe results showed that the idiosyncratic, the macroeconomic and the institutional variables affect the supply of credit behavior of banks. The robustness tests using the Two-Stage Least Square method (2SLS) also led to a negative correlation between the growth of credit and capital requirements. Specific macroeconomic and institutional variables have revealed the expected sign and are significant regardless of the estimated specifications.Research limitations/implicationsThis work can be subjected to further future extensions. The explanatory power of our model can be improved by incorporating variables that reflect the corporate governance and structure of banking sector. Similarly, we can also include a variable that takes into account the increasing competition that could affect the stability of the banking sector and therefore the prudential banking regulation.Originality/valuePrevious studies that investigated only the relationship between capital level and risk-taking behavior of banks in the MENA region did not take into account neither the economic and institutional environment nor the impact of these regulations on credit (loans) supply.

China’s Monetary and Macroprudential Policies: Are They Complementary or Substitutive?

2020 ◽  
Author(s):  
Peter Sinclair ◽  
Lixin Sun
Keyword(s):  
Financial Stability ◽  
Banking Sector ◽  
Dynamic Stochastic General Equilibrium ◽  
Macroeconomic Policies ◽  
Macroprudential Policies ◽  
Policy Experiments ◽  
Quantitative Results ◽  
Dynamic Stochastic ◽  
The Interest Rate ◽  
Reserve Ratio

Abstract This paper develops a calibrated dynamic stochastic general equilibrium model incorporating a banking sector and some unique features of China’s macroeconomic policies to simulate China’s monetary and macroprudential policies. The quantitative results show, first, that the interest rate is a better instrument for China’s monetary policy than the required reserve ratio (RRR) when the central bank is solely concerned about price stability; second, that the loan-to-value ratio is a very useful macroprudential tool for China’s financial stability, and the RRR could be used as an instrument for both objectives; third, monetary and macroprudential policies could be either complements or substitutes in China, depending on the choices of instruments for the two policies. Our policy experiments recommend three combination choices of instruments for China’s monetary and macroprudential policies. (JEL codes: E52, E61and G18)

scholarly journals Exploring the causality between economic growth, financial development and inflation in sixteen high-income countries

2021 ◽  
Vol 22 (45) ◽  
Author(s):  
José Alberto Fuinhas ◽  
Matheus Koengkan ◽  
Matheus Belucio
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Banking Sector ◽  
High Income ◽  
Market Development ◽  
Impulse Response Functions ◽  
Vector Autoregressive ◽  
Stock Market Development ◽  
Banking Sector Development ◽  
The Relationship

This paper examined the relationship between economic growth, inflation, stock market development, and banking sector development for a panel of sixteen high-income countries for the period from 2001 to 2016, by using the mechanism impulse response functions and Granger causality tests derived from a panel vector autoregressive model. The evidence of bidirectional causality between all variables in the model was found. Overall, feedback and supply-leading theories have been confirmed in the literature. A plus sign in the relationship between the development of the banking sector and the stock market with economic growth was found. Therefore, stock market development and banking sector development stimulate the economy.

scholarly journals Monetary Policy, Macroprudential Policy, and Financial Stability

2019 ◽  
Vol 11 (1) ◽  
pp. 809-832 ◽  
Author(s):  
David Martinez-Miera ◽  
Rafael Repullo
Keyword(s):  
Monetary Policy ◽  
Equilibrium Model ◽  
Financial Stability ◽  
Theoretical Perspective ◽  
Capital Requirements ◽  
Equity Capital ◽  
Open Market ◽  
Macroprudential Policy ◽  
Macroprudential Policies

This review reexamines from a theoretical perspective the role of monetary and macroprudential policies in addressing the build-up of risks in the financial system. We construct a stylized general equilibrium model in which the key friction comes from a moral hazard problem in firms’ financing that banks’ equity capital serves to ameliorate. Tight monetary policy is introduced by open market sales of government debt, and tight macroprudential policy by an increase in capital requirements. We show that both policies are useful, but macroprudential policy is more effective in fostering financial stability and leads to higher social welfare.

scholarly journals The Impact of COVID-19 on Bank Equity and Performance: The Case of Central Eastern South European Countries

2021 ◽  
Vol 13 (19) ◽  
pp. 11036
Author(s):  
Sylwester Kozak
Keyword(s):  
Financial Stability ◽  
Banking Sector ◽  
Capital Requirements ◽  
Financial Supervision ◽  
Annual Data ◽  
Stress Tests ◽  
Global Database ◽  
Nonperforming Loans ◽  
Central Eastern ◽  
The Impact

The purpose of this article is to examine the impact of the shock increase, in the value of nonperforming loans, on the equity level and profitability of 141 banks in 18 countries of Central Eastern South Europe (CESE). This study is important for assessing the financial stability of banks in this region in the face of the continuing negative effects of the COVID-19 pandemic. Based on the annual data, as of the end of 2020, from the S&P Global database, stress tests were carried out to check what value of NPL growth, over the next year, will lead to breach the regulatory capital requirements in domestic sectors and in individual groups of banks. The results indicate that the banks in CESE were well capitalized and had the ability to maintain capital requirements with a 12% increase in nonperforming loans. The resilience of domestic banking sectors varies, and it is higher in non-EU countries. Smaller and non-public banks show a greater ability to preserve the appropriate level of equity, although there is a risk that they may postpone the time of provisioning credit risk and additionally increase lending to lower the NPL ratio. Larger banks are more profitable in times of crisis. The results of the research are important for assessing the stability of the banking sector in CESE during the crisis and can be used by financial supervision of the region’s countries and banking market analysts.

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