1. Иностранные банки в условиях кризиса: Грешники и ли святые? Ноябрь 2011 Alexander Pivovarsky (EBRD) Ralph De Haas (EBRD) Yevgeniya Korniyenko (EBRD) Elena Loukoianova (IMF)
15. Замедление роста кредитования в странах, где банки подписали и не подписали соглашения ВИ Примечание : страны ВИ: Босния и Герцеговина, Венгрия, Латвия, Румыния, Сербия 0% 10% 20% 30% 40% 50% 60% 70% До кризиса 2008 2009 Банки не-Венской Инициативы Банки ВИ, которые не подписали индивидуальных соглашений Банки ВИ, которые подписали индивидуальные соглашения
16. Перекрестные результаты ( Подход похожий на Cetorelli and Goldberg, 2010) Соглашение об обязательствах, ВИ 0.105* 0.201** 0.226*** 0.122** 0.106** 0.115** (0.070) (0.012) (0.005) (0.011) (0.034) (0.018) Поддерживаемый банк 0.140*** 0.056 0.112** 0.079 (0.003) (0.387) (0.013) (0.268) Предкризисный средний годовой рост кредитов/активов -0.110*** -0.111*** -0.109** -0.101** (0.000) (0.000) (0.026) (0.043) Размер банка (лаг) -0.110*** -0.111*** -0.024 -0.024 (0.000) (0.000) (0.374) (0.385) Потери по ссудам резервы / валовые кредиты (лаг) -0.015* -0.0164* -0.013** -0.014*** (0.092) (0.057) (0.013) (0.008) Размер родительского банка (лаг) 0.033** 0.013 (0.039) (0.470) № наблюдений 48 48 48 48 48 48 Коэффициент детерминации 0.218 0.504 0.553 0.411 0.560 0.570 Фиксированные эффекты для страны? Yes Yes Yes Yes Yes Yes Фиксированные эффекты для банков? No No No No No No Банковское специфическое регулирование? No Yes Yes No Yes Yes Фиксированные эффекты для родительского банка? No No No No No No Специфическое регулирование для родительских банков? No No Yes No No Yes 2009 Credit growth Total assets growth 2009
First contributes to the literature on the implications of foreign bank presence for financial stability: - Morgan, Rime and Strahan (2004) used a two-country version of the seminal Holmstrom and Tirole (1997) model to show how multinational banks, by reallocating capital across countries to equalize returns, transmit both real shocks (i.e. Shocks to firms’ net worth) and financial shocks (i.e. Shocks to bank capital). Peek and Rosengren (1997, 2000) find that the drop in Japanese stock prices in 1990, which wiped out part of the Japanese banks’ capital, led Japanese bank branches in the U.S. to reduce credit.
Second our research is linked to work on the impact of state-ownership and state support on bank lending stability. Micco and Panizza (2006) find that lending by state banks is less procyclical than lending by foreign-owned or domestic private banks, because government use state banks to smooth credit over business cycle. Mian (2006) using systematic comparison of foreign, private domestic and state banks show that lending by state banks is less volatile in the face of macroeconomic shocks. Anecdotal evidences: - Kamil and Rai (IMF 2010): “Rescue programs may have pressurized (…) banks to accelerate the curtailment of cross-border bank flows’ - RBS “promised to lend GBP 50 billion more in the next two years, expanding its domestic loan book by a fifth (The Economist, 28-03-09) - Bernanke: “Banks cannot do whatever they like with capital they receive from the state. For instance, Citibank has to clear strategic decisions with the regulators (The Economist 28-02-09) - ING would lend US$ 32 billion to Dutch businesses and consumers in return for another round of government assistance (World Bank 2009) - Statements by Greek and Austrian officials on the ‘leaking’ of state support
Finally we are trying to investigate the impact of the co-called “Vienna Initiative” on bank lending stability.
To eliminate the potential impact of outliers we clean the data by truncating the 1% of the sample from the both sides of the distribution for the variables of our interest.
Our econometric approach is as follow: first we are using the panel regressions
And to look closer on the Vienna Initiative we adopt an approached used by the Goldberg and Cetorelli.
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