دانلود مقاله ISI انگلیسی شماره 18291
عنوان فارسی مقاله

نوسانات صنعت بانکداری و بحران های بانکداری

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
18291 2009 20 صفحه PDF سفارش دهید 9600 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Banking industry volatility and banking crises
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Financial Markets, Institutions and Money, Volume 19, Issue 2, April 2009, Pages 351–370

کلمات کلیدی
بحران های بانکی - نوسانات - نیروهای بازار
پیش نمایش مقاله
پیش نمایش مقاله نوسانات صنعت بانکداری و بحران های بانکداری

چکیده انگلیسی

While studies using balance sheet information of banks and macroeconomic indicators to forecast banking crises are prolific, empirical research using market information of banks is relatively sparse. We investigate whether banking industry volatility, constructed with the disaggregated approach from Campbell et al. [Campbell, J.Y., Lettau, M., Malkiel, B.G., Xu, Y., 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk? The Journal of Finance 56, 1–43] using exclusively publicly available market information of banks, is a good predictor of systemic banking crises in the analyses including data from 18 developed and 18 emerging markets. We find that banking industry volatility performs well in predicting systemic banking crises for developed markets but very poor for emerging markets, which suggest that the impact of market forces on the soundness of the banking system might be different for developed and emerging markets. We also find that those macroeconomic and banking risk management indicators have different impact on the probability of banking crises. Therefore, the traditional cross-country results of the studies on banking crises need to be interpreted cautiously.

مقدمه انگلیسی

Recent empirical research has strongly supported the theoretical view that a well-functioning banking system is important in a country's economic development. Banks have boosted growth at the country level (King and Levine, 1993, Levine and Zervos, 1998, Beck et al., 2000 and Beck and Levine, 2004), at the industry level (Rajan and Zingales, 1998, Cetorelli and Gambera, 2001 and Beck and Levine, 2002), and at the firm level (Demirguc-Kunt and Maksimovic, 1998 and Demirguc-Kunt and Maksimovic, 2002). The positive effect of banks on economic development is robust to different econometric methods (Levine, 2005). Since banks have played such an important role in economic development, banking crises can generate serious disruptions of a country's economic activity (Hoggarth et al., 2002). Therefore, to ensure the soundness of the banking system and prevent the occurrence of banking crises is undoubtedly a main concern of policy makers and regulators. The role of market discipline in ensuring financial stability is becoming so prominent that the New Basel Capital Accord developed by the Basel Committee on Banking Supervision (2003) has included market discipline as one of the three pillars1 to recognize its importance in promoting safety and soundness in banks and financial systems. The strength of market discipline derives from the immense power of the price system to aggregate information (Crockett, 2002). There is extensive literature on the forecasting of banking crises using balance sheet information of banks as well as macroeconomic indicators. However, studies on the probabilities of banking crises using market information of banks are relatively sparse. This research contributes to the literature by using the publicly available market information of banks to predict the probability of systemic banking crises. Publicly traded banks are broadly representative of a country's banking sector, so that the stock prices of banks listed in the domestic exchanges will reflect the performance of a country's banking sector. A certain degree of price fluctuations is desirable since it reflects the information flows in an efficient market, while excessive changes of stock prices might signify uncertainty of the future economic status. Therefore banking industry volatility could indicate the stability of a country's banking sector performance. From this point of view, we investigate whether banking industry volatility, among those leading macroeconomic variables, is a useful predictor of systemic banking crises. To address this issue, we first construct the portfolios of banks listed in domestic stock exchanges for 36 markets which consist of 18 developed markets and 18 emerging markets.2 Secondly, we construct the value-weighted banking industry volatility using the unique disaggregated approach from Campbell et al. (2001). Thirdly, we construct the macroeconomic variables that are traditionally thought to be the leading indicators of banking crises for each of the 36 markets, including real GDP growth rates, real interest rates, inflation rates, changes of exchange rates, domestic credit growth rates, ratios of M2 against reserves, and the volatility of GDP growth rates. Finally we use a Logit econometric model to test whether banking industry volatility is a good predictor of banking crises with the controls of those macroeconomic indicators; we also test whether those banking institutional characteristics that affect the risk management of banks, including government ownership of banks, bank accounting disclosure standards, bank audit management, and the existence of deposit insurance scheme, would also affect the predictive power of bank volatility. We run the tests for the full sample of all markets and the subsamples of developed markets and emerging markets, respectively, which enable us to identify the differences between developed and emerging markets. We contribute to the literature in a few respects. First, we use the bank stock prices to assess the probability of systemic banking crises for a large number of countries, with controls of the macroeconomic and banking institutional determinants of systemic banking crises. Although the research on the probability of systemic banking crises using macroeconomic and banking institutional indicators is prolific, empirical studies using the market information of banks to predict systemic banking crises are relatively meager. We adopt the unique disaggregated approach from Campbell et al. (2001) to measure bank volatility using exclusive market information of banks. This approach is superior to the traditional volatility measure of moving standard deviation; it extracts the individual industrial shock from the market and takes into account the market capitalization of the components and the variations of all individual bank stock prices within the period rather than between the periods. Secondly, we improve the estimations by using lagged variables on the right hand side. Previous research uses almost exclusively contemporaneous variables on the right hand side (e.g., Demirguc-Kunt and Detragiache, 1998 and Beck et al., 2006), and therefore the direction of causality is ambiguous, which limits the usefulness of the findings. Thirdly, most of the previous research applies a common methodology to all countries without differentiating the level of market development. We acknowledge this difference by analyzing the full sample of all countries as well as the subsamples of developed and emerging markets, respectively. We find that the marginal contribution of bank volatility to the probability of the occurrence of systemic banking crises is negligible in the sample for all markets, and this result is mainly driven by the data from the emerging markets. When we test the subsamples of developed and emerging markets, however, we find that bank volatility is a significant predictor of banking crises for the subsample of developed markets, even after being controlled for those macroeconomic indicators. This result indicates that the market forces are more powerful in promoting the safety and soundness of the banking system in developed markets. We also find that those macroeconomic and banking risk management indicators have different impacts on the probability of banking crises for the emerging and developed markets, which suggests that the leading indicators of banking crises could be more country-specific. Therefore, caution needs to be taken in interpreting the traditional cross-country results. The paper is structured as follows: Section 2 describes the data sets and the summary statistics. Section 3 presents the methodology. Section 4 reports the empirical results, and Section 5 concludes.

نتیجه گیری انگلیسی

It has been well recognized that market discipline is important in ensuring the soundness and safety of a financial system. The disciplinary strength of market forces derives from the immense power of the price system to aggregate information (Crockett, 2002). Extensive literature has examined the prediction of banking crises using balance sheet information of banks as well as macroeconomic indicators. However, empirical research using market information of banks to predict banking crises is insufficient. This research contributes to the literature by using the publicly available market information of banks to predict the probability of systemic banking crises. We investigate whether banking industry volatility, among those leading macroeconomic indicators of banking crises, is a useful predictor of systemic banking crises. We address this issue using a Logit econometric model to analyze the data from 18 developed and 18 emerging markets. Our findings have two very important policy implications: first, market forces may have a different impact on developed and emerging markets. We find that the marginal effect of bank volatility on the probability of the occurrence of systemic banking crises is negligible for the sample of all markets. However, when we repeat the same estimations for the subsamples of developed and emerging markets, we find that bank volatility is a good predictor of banking crises for the subsample of developed markets, and this result is robust to the controls of macroeconomic indicators that are traditionally thought to be the determinants of banking crises. This finding indicates that the market forces are more influential in promoting the safety and soundness of the banking system in developed markets. Second, the leading indicators of banking crises may be more country-specific. We also find that those macroeconomic and banking risk management indicators have a different impact on the probability of banking crises for emerging and developed markets. Therefore, the traditional cross-country results of the research on banking crises need to be interpreted with caution.

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