Macroprudential Policy, Credit Cycle, and Bank Risk-Taking

Zhang, Xing; Li, Fengchao; Li, Zhen; Xu, Yingying

doi:10.3390/su10103620

Cited by 26 publications

(16 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Bank behavior is also driven by regulatory, macroeconomic and structural conditions [46][47][48]. To control for these factors, we considered three country-level indicators derived from the dataset of Barth et al [25].…”

Section: Regulatory Structure Macroeconomic Factors and Banking Systmentioning

confidence: 99%

Determinants of Banks’ Net Interest Margin: Evidence from the Euro Area during the Crisis and Post-Crisis Period

2019

View full text Add to dashboard Cite

This paper analyses the determinants of net interest margin during the period 2008–2014 in the Euro Area. The starting point of the analysis is the premise that this variable is a gauge of financial institutions’ health and stability. In particular, since the outbreak of the global financial crisis, difficulties in achieving sustainable levels of profitability, mainly due to the vulnerable margins from the banks’ traditional activity, have significantly increased the fragility of the European banking system. Besides considering the main bank-level drivers affecting the net interest margin such as market power, capitalization, interest risk and the level of efficiency, we explicitly account for the effects of regulatory and institutional settings. The results show a persistence in the vulnerability of the banks’ sustainable profitability, even though this negative trend has been partly mitigated by the European Central Bank (ECB)’s recent monetary policies. The increase in non-traditional activities as well as the heterogeneous efficiency levels characterizing banking systems across the Euro Area, where operating costs remain generally high, have significantly contributed to the slowdown in bank margins from traditional activity. Finally, the regulatory environment is an important driver of the net interest margin, which remained lower in countries with higher capital requirements and greater supervisory power.

show abstract

Section: Regulatory Structure Macroeconomic Factors and Banking Systmentioning

confidence: 99%

Determinants of Banks’ Net Interest Margin: Evidence from the Euro Area during the Crisis and Post-Crisis Period

2019

View full text Add to dashboard Cite

show abstract

“…The GMM method can be used to estimate Equations (2) and (3) "because it accounts for both the endogeneity of certain bank-level variables and the dynamic nature of bank risk" [32]. Further on, "the System GMM method can control the endogenous correlation between the lagged dependent variable and the residual, and also control the possible endogenous correlation between the explanatory variables or control variables and the residual" [33].…”

Section: Micro Level: System Generalized Methods Of Moments Panel Datamentioning

confidence: 99%

Financial Stability and Sustainability under the Coordination of Monetary Policy and Macroprudential Policy: New Evidence from China

Jiang

Zhang

et al. 2019

Sustainability

View full text Add to dashboard Cite

After the financial crisis, financial stability and sustainability became key to global economic and social development, and the coordination of monetary policy and macroprudential policy plays a crucial role in maintaining financial stability and sustainability. This paper provides a theoretical analysis and empirical evidence from China on the impact of monetary policy and macroprudential policy coordination on financial stability and sustainability. We collect data from 2003 to 2017; from the micro level, we use the System Generalized Method of Moments (System GMM) method to analyze the monetary policy and macroprudential policy coordination effect on 88 commercial banks’ risk-taking; from the macro level, we use the Structural Vector Autoregression (SVAR) method to analyze the two policies coordination effect on housing prices and stock price bubbles. The conclusions are as follows: firstly, for regulating bank risk-taking, monetary policy and macroprudential policy should conduct counter-cyclical regulation simultaneously; secondly, for regulating housing prices, tight monetary policy and tight macroprudential policy should be implemented alternately; thirdly, for regulating stock price bubbles, macroprudential policy should be the first line of defense and monetary policy should be the second one.

show abstract

“…In their analysis of Chinese macroprudential policy and banks risk taking based on 231 commercial banks from 2003 to 2016, Zhang et al [7] highlight the important role of implementing Chinese macroprudential supervision, for reducing banks risk taking, and mitigating financial system vulnerabilities.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach

2019

View full text Add to dashboard Cite

One of the main issues in the recent Chinese financial reform is aimed at effectively measuring systemic risk and taking appropriate measures to ensure its sustainability and prevent new crises. In this paper, we firstly introduced the present macro-prudential policies implied in China and pointed out the existing problems. Secondly, we analyzed the banks’ assets riskiness and the banks’ probability to default, then, by means of a leave-one-out model, we measured each commercial bank systemic risk contribution. Thirdly, based on comprehensive empirical results and theoretical analysis, we provided some references for macro-prudential regulation and supervision. Results show that systemic risk is increasing in 2013–2017, in particular with reference to contagion risk, with a specific concentration within joint-stock commercial banks, suggesting a specific attention of regulators and supervisors for this category.

show abstract

Macroprudential Policy, Credit Cycle, and Bank Risk-Taking

Cited by 26 publications

References 40 publications

Determinants of Banks’ Net Interest Margin: Evidence from the Euro Area during the Crisis and Post-Crisis Period

Determinants of Banks’ Net Interest Margin: Evidence from the Euro Area during the Crisis and Post-Crisis Period

Financial Stability and Sustainability under the Coordination of Monetary Policy and Macroprudential Policy: New Evidence from China

Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach

Contact Info

Product

Resources

About