Ownership, institutions and bank risk-taking in Central and Eastern European countries
Ownership, institutions and bank risk-taking in Central and Eastern European countries
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中东欧国家的所有权、机构和银行风险承担
DOI：
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发表时间：
2013
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通讯作者：
Anastasios A. Drakos
中科院分区：
文献类型：
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作者：
Georgios P. Kouretas;C. Tsoumas;Anastasios A. Drakos
在最近的一系列研究中，2000年代初至中期的低利率环境被视为一个因素，促使银行在寻求收益的过程中增加了冒险意愿。本文使用了1997-2011年期间对中东欧国家银行的约7,000个年度观察数据。计量经济学分析是使用不平衡的面板数据集进行的。我们使用了两种可供选择的估计方法：动态固定效应IV面板数据和ArellanoBover/Blundell-Bond GMM面板估计方法，我们的初步结果提供了强有力的经验证据，表明低利率确实大幅增加了银行的风险承担。这一结果在许多不同的规范中都是稳健的，这些规范特别考虑了利率的潜在内生性和/或银行风险的动态。此外，我们还考虑到在11个中东欧国家开展业务的大量外国银行的存在。作为银行业现代化的最后阶段，在这些经济体中实施的新的体制和管理框架被证明对货币政策的实施和风险渠道的存在提供了重要的影响。平均而言，相对较低的风险资产水平导致银行在研究期间的风险承担行为较高。最后，由于个别银行的特点，利率对银行风险承担的分配效应表明，利率对风险资产的影响对于权益资本较高的银行来说是减弱的，而对于表外项目较高的银行来说是放大的。
In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 7,000 annual observations on banks of the CEE countries over the period 1997-2011. The econometrics anlysis is conducted with the use of an unbalanced panel data set. We use two alternative estimation methods: A Dynamic Fixed Effects IV panel data and the ArellanoBover/Blundell-Bond GMM panel estimation method Our preliminary result provide strong empirical evidence that low interest rates indeed increase bank risk-taking substantially. This result is robust across a number of different specifications that account, inter alia, for the potential endogeneity of interest rates and/or the dynamics of bank risk. Furthermore, we take into consideration the presence of a significant number of foreign banks that operate in the 11 CEE countries. The new institutional and regulatory framework that has been implemented in these economies as the final stage of the modernization of the banking sector is shown to provide important implication in the conduct of monetary policy and the existence of a risk-channel. On average a relatively low level of risk assets leads to a higher risk-taking behaviour by banks over the period under examination. Finally, the distributional effects of interest rates on bank risk-taking due to individual bank characteristics reveal that the impact of interest rates on risk assets is diminished for banks with higher equity capital and is amplified for banks with higher off-balance sheet items.