گارانتی ضمنی، مدل های کسب و کار و ریسک پذیری بانک از طریق بحران: دیدگاه جهانی و اروپا

The objectives of this paper are, first, to analyze whether banks’ risk-taking can be explained by factors contributing to implicit guarantees and by factors associated with banks’ business models. Second, it analyzes how risk-taking associated with these factors has changed from a period before the financial crisis (2004-2006), through the crisis (2007-2009), to a period after the crisis (2010-2012). Third, it analyzes whether risk-taking behavior of banks in Europe differs from banks’ risk-taking behavior in the US and globally. The empirical analysis covers 753 banks in a global sample of 45 countries including 86 European banks in 19 countries. Implicit insurance of banks’ creditors is captured both by an expected U-shaped relationship between explicit deposit insurance coverage and banks’ risk-taking, and by factors influencing the likelihood of bail-outs of individual banks. The main business model factors capture banks’ reliance on wholesale funding and their involvement in derivatives markets. A comparison of the results of the cross-section analysis for each sub-period shows that the sources of implicit guarantees have become more pervasive in Europe as well as globally after the crisis. Business models are strongly associated with risk during and after the crisis globally. In Europe, banks relying on wholesale funding as well as those with large derivatives positions are relatively risky. Policy implications of these results are discussed.

Deposit insurance and implicit guarantees of banks’ creditors are prominent among the many explanations of the financial crises offered in the policy debate. Shareholders have incentives to shift risk to tax payers and deposit insurance funds to the extent that creditors do not require a risk premium for lending to banks with a relatively high likelihood of default. To the extent implicit guarantees are particularly strong for banks considered ‘too big and too complex to fail,’ these banks gain a competitive advantage. As a result, constraints on size and complexity may be required for concentration in banking systems not to increase further unless ways to increase market discipline can be found and credibly implemented.

The analysis in this paper should shed light on factors that contributed to risk in the banking system before and after the 2007-2009 crisis. The data set includes 753 banks in 45 industrial and emerging market economies during the period 2003-2012. 86 banks in 19 European countries are studied separately. The focus of the empirical analysis lies on factors contributing to implicit guarantees and factors associated with banks’ business models. Governance variables, macro economic conditions and proxies for strictness of regulation are introduced as control variables. The analysis allows us to evaluate the effects of policy measures during the crisis and reform efforts after the crisis on risk-taking.