Banking Sector and Monetary Policy Transmission: Bank Capital, Credit and Risk-Taking Channels

Gilles, Philippe; Gauvin, Marie-Sophie; Huchet, Nicolas

doi:10.4236/me.2013.41010

Cited by 5 publications

(6 citation statements)

References 42 publications

(42 reference statements)

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“…Risk aversion explains this evolution. Gilles et al, 2013, arrive at the same conclusion; they concluded that during expansion phases, monetary policy can induce failure in credit activity and increase in financial instability; on the contrary, during recessions, banks tend to credit rationing and quality of credits. Authors suggest the necessity of cooperation between central banks and micro prudential supervision.…”

Section: Previous Resultsmentioning

confidence: 63%

Credit Risk Management: An Examination on the Basis of Exposures with Risk Weighting in Greek Banks

Karafolas¹

2017

JFRM

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Bank's exposure values are classified by categories on the basis of the borrower or the kind of credit. On every credit a risk weight is applied depending on the risk of the exposure value. The exposure value multiplied by risk weight determines the weighted asset of the bank. This amount determines the regulatory capital a bank needs since the total capital ratio of a bank is defined as the ratio of regulatory capital over the weighted asset. The paper examines the evolution and structure of the exposure values considering the risk weighting of the systemic Greek banks during the crisis period. Due to mergers and acquisitions, these banks cover more than 98% of the Greek banking market by the end of 2016. The paper offers an analysis on a consolidated basis but also through a comparative analysis investigates similarities and differences existing within those banks and during the crisis period. Thus the paper can conclude on the policy followed by banks during the crisis period.

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Section: Previous Resultsmentioning

confidence: 63%

Credit Risk Management: An Examination on the Basis of Exposures with Risk Weighting in Greek Banks

Karafolas¹

2017

JFRM

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“…The core model presented in this paper departs from Gilles, Gauvin, & Huchet (2013) essentially by using an analysis based on the observation of the balance sheet of the banking sector. Here, we added a differentiated analysis of bank categories according to their initial characteristics.…”

Section: Outline Of the Modelmentioning

confidence: 99%

“…In the next section, the banks' characteristics, that can influence the relationship between monetary policy and banks, are identified. The third section outlines a theoretical model developed in Gilles, Gauvin, & Huchet (2013). Next, the model is extended by including banks' characteristics, and especially banks' equities and liquidity.…”

Section: Introductionmentioning

confidence: 99%

Bank Characteristics and Procyclicality: A Theoretical Approach

Gauvin¹

2014

JFRM

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The 2007-2008 crisis highlighted liquidity management troubles. We witness a real estate asset price boom during the pre-crisis period and a difficulty for banks to raise funding afterwards. Consequently, bank choices in response to the conduct of the monetary policy along the cycle can be studied. Despite usual financial accelerator, the excessive (lack of) confidence of banks in the upward (down) phase explains procyclical balance sheet movements. Moreover, the monetary policy effects on bank behaviors vary according to their initial specifications. From a theoretical point of view, this paper examines the response of the banking sector to monetary authorities impulses, in function of their initial characteristics. So, the paper highlights a theoretical model, based on accounting identities, in which banks are distinguished in different categories according to their level of capitalization and liquidity. The principal result is that the less capitalized and liquid banks have more procyclical behaviors.

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“…If some Bonds, as German, continue to represent a safe haven, other Bonds, which have bad performance (Greece, Ireland), are neglected. The flight to quality in Eurozone actually plays an important role but occurs in the form of a rise in deposit facilities (Gilles et al, 2013) (see Figure 1).…”

Section: Introductionmentioning

confidence: 99%

Cycles and Bank Credit Allocation in EU Countries: An Empirical Study

Ella

Gauvin

2015

IJEF

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The increase in the amount of commercial papers and the real estate price boom before the 2007-2008 crisis witness a preference for speculative assets by banks. In contrast, after the crisis, banks tended to opt for safe assets, and especially during the Eurozone debt crisis with a sharp increase in deposit facilities from July 2011 to December 2011. This credit allocation can be at the detriment of productive assets; therefore, it can affect the real economy. This paper analyzes empirically the credit allocation of monetary and financial institutions in countries of the European Union over the period 1997-2013. Our results show that risk aversion stands as a main explanation of balance sheet movements. If risk aversion is largely influenced by monetary policy before the crisis, risk perception is uncorrelated to monetary policy afterwards.

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Banking Sector and Monetary Policy Transmission: Bank Capital, Credit and Risk-Taking Channels

Cited by 5 publications

References 42 publications

Credit Risk Management: An Examination on the Basis of Exposures with Risk Weighting in Greek Banks

Credit Risk Management: An Examination on the Basis of Exposures with Risk Weighting in Greek Banks

Bank Characteristics and Procyclicality: A Theoretical Approach

Cycles and Bank Credit Allocation in EU Countries: An Empirical Study

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