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Olszak Małgorzata (University of Warsaw, Poland), Pipień Mateusz (Cracow University of Economics, Poland / Kolegium Gospodarki i Administracji Publicznej), Kowalska Iwona (University of Warsaw, Poland), Roszkowska Sylwia (University of Lodz, Poland; National Bank of Poland)
Do Regulations and Supervision Shape the Capital Crunch Effect of Large Banks in the EU?
University of Warsaw Faculty of Management Working Paper Series, 2015, nr 3, 27 s., tab., bibliogr. s. 26-27
Słowa kluczowe
Nadzór, Regulacje prawne, Kryzys bankowy, Procykliczność, Kapitał bankowy
Supervision, Legal regulations, Banking crisis, Procyclicality, Bank capital
summ.; Klasyfikacja JEL: E32, G21, G28, G32
Unia Europejska (UE)
European Union (EU)
This paper extends the literature on the capital crunch effect by examining the role of public policy for the link between lending and capital in a sample of large banks operating in the European Union. Applying Blundell and Bond (1998) two-step robust GMM estimator we show that restrictions on bank activities and more stringent capital standards weaken the capital crunch effect, consistent with reduced risk taking and boosted bank charter values. Official supervision also reduces the impact of capital ratio on lending in downturns. Private oversight seems to be related to thin capital buffers in expansions, and therefore the capital crunch effect is enhanced in countries with increased market discipline. We thus provide evidence that neither regulations nor supervision at the microprudential level is neutral from a financial stability perspective. Weak regulations and supervision seem to increase the pro-cyclical effect of capital on bank lending. (original abstract)
Pełny tekst
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