بانک ها، صندوق بین المللی پول و بحران آسیا

This paper examines the impact of the Asian crisis on bank stocks. In the second half of 1997, Western banks outperformed their stock markets. In contrast, East Asian bank indices incurred losses in excess of 60% in each of the crisis countries. Most of these poor performances are explained by stock market movements in the crisis countries. After taking into account these movements, currency exposures affected banks adversely only in Indonesia and the Philippines. Except for the Korean program, which affected positively bank stocks in all countries in our sample but one, IMF programs had little effect on bank values.

For most observers, banks have been at the heart of the Asian crisis. For instance, Hamann (1999, p. 9) states that “the Asian crisis differed from previous financial crises that created a need for the IMF's assistance. It was rooted primarily in financial system vulnerabilities and other structural weaknesses.” However, the reasons given for the importance of banks in this crisis differ widely across observers. For some, currency crises led to banking crises in the affected countries. With this view, banks had accumulated large currency exposures based on the belief that there was little exchange rate risk. When exchange rates collapsed, they suffered large losses on their currency exposures. For others, banks were one important contributing factor to the Asian crisis. Asian local banks are accused of making too many unsound loans and moral hazard is blamed for this behavior. Delhaise (1998, p. 35) argues that “It was generally accepted before the crisis that most banks would be rescued if they ran into trouble.” Western banks are blamed for first lending too much and then for contributing to the credit crunch by lending too little. For instance, Wolf states that the East Asian banking crisis was “promoted by overgenerous lending from financial institutions in advanced countries.”1 The IMF and governmental bailouts have been blamed for creating incentives for banks to take on too much risk, including foreign exchange (FX) rate risk.2 As one observer puts it, “These bankers took the opportunity to make very risky, profitable loans, knowing that if the loans went bad, the IMF or the US government would bail them out.”3 These various views of the Asian crisis raise important questions: Did bank shareholders get hurt because of the crisis? Did the crisis pose a threat to the banking systems in Western countries? Can exchange rate changes explain the performance of Asian banks? Did specific events in the Asian crisis affect bank shareholders? How were banks affected by the announcement of IMF programs? Did IMF programs have systemic benefits or did they help only those banks with exposures in the countries benefiting from the programs? To examine these questions, we examine the returns to bank shareholders from January 15, 1997 to July 15, 1998. Our examination uses Datastream banking indices for four Western countries (the US, France, Germany, and the UK) and for six Asian countries (Indonesia, Japan, Korea, Malaysia, Philippines, and Thailand). We also investigate the returns of the three US banks that took a lead role in the renegotiations of Korean debt, namely the Chase Manhattan Bank, Citibank, and JP Morgan. We find that during our sample period, shareholders of East Asian banks incurred dramatic losses. For instance, an investor who had invested US$1 at the start of our sample period in Korea's bank index would be left at the end of our sample period with 14.7 cents. An investor who had invested US$1 in Indonesia's bank index would be left with 3.3 cents. The story is very different for the Western banks. An investor who invested US$1 at the start of our sample period in the US bank index would have had US$1.73 at the end of our sample period. In contrast, an investment of US$1 in the US market index at the start of our sample period would have netted US$1.54 at the end of our sample period. A simple explanation for why Western banks were not affected more by the crisis is that their exposures were small enough that the impact of the crisis was offset by good news in other parts of their businesses. With this explanation, if the East Asian crisis mattered at all for Western banks, we should find that on days of adverse events in East Asia, Western bank stocks should have performed poorly. We then try to understand why the performance of East Asian bank common stocks during our sample period is so poor. We regress dollar bank excess returns on stock market excess returns, currency excess returns, and interest rate changes. Even though East Asian banks perform poorly, banks in Korea, Indonesia, and Thailand do not have abnormal returns (ARs) over the period from July 1997 to the end of January 1998 once we account for the performance of their national markets. An explanation advanced in the assessments of the Asian crisis is that banks had large currency exposures because of their use of offshore funding. This view has led some to argue that banks should be required to borrow and lend in the same currency.4 We investigate this explanation by estimating exposures of bank indices to exchange rate changes. Our estimates show that after taking into account market returns, currency returns do not seem to contribute to the poor performance of East Asian banks except for Indonesia and the Philippines. It is important to understand that these estimates do not mean that exchange rate changes did not have an adverse impact on banks. We show that decreases in the value of East Asian currencies affect stock markets adversely, so that adverse currency movements affect banks through their impact on stock markets. Our results mean, however, that the currency crises did not have an impact on banks beyond their overall impact on the economy, so that there was nothing unique about the exposure of banks to exchange rates. Since Western banks performed well over our sample period and since East Asian banks performed poorly, we try to understand the impact of the crisis by examining how bank stocks were affected by various events of the crisis. Such an approach might allow us to find traces of the crisis in the returns of Western banks that get swamped by positive news over our sample period and to find which events can explain the poor performance of Asian banks. We select events over the whole sample period that were important in the chronology of the Asian crisis and investigate whether they are associated with significant ARs for banks. We find little evidence of important impacts of Asian crisis events on banks across countries with this approach. There are only five event periods where we can reject the hypothesis that banks have ARs equal to zero across countries with a p-value of 0.05 or better. The only period in 1997 corresponds to the announcement of the IMF program in Korea. The other periods are in January 1998. One of these periods in 1998 coincides with the Peregrine debacle and another with the IMF agreement with Indonesia. The announcement of the IMF program in Korea had a positive impact on banks across most countries, which is inconsistent with the view that bailouts are fully anticipated. However, the impact of IMF actions for US banks is large only for the banks with the highest exposures. IMF actions, therefore, do not appear to have significant systemic effects on Western banks. Rather, they simply ensure that banks with exposure are more likely to be repaid without benefiting banks that do not have exposures. The paper is organized as follows. In Section 2, we present our data and discuss the returns of banks over our sample period. We explore the exposures of banks to exchange rates and interest rates, as well as the exposure of Western banks to East Asia. In Section 3, we consider the returns of banks over key events during the Asian crisis. In Section 4, we investigate the returns of individual American banks. We conclude in Section 5.

In this paper, we examined the impact of the Asian crisis on the shareholder wealth of Western and East Asian banks. Our main conclusions are as follows. (1) Equity investors in shares in East Asian banks made dramatic losses. (2) The impact of the crisis on Western banks, in general, was small and was not enough to prevent these banks from outperforming their respective markets. (3) Although much attention has been paid to the dramatic loss in value of the East Asian currencies and many have argued that this loss played a major role in the difficulties of the banks in these countries, our evidence shows that changes in exchange rates have no additional explanatory power for the performance of banks beyond their impact on general market movements in Korea, Thailand, and Malaysia. There was a direct impact of currency exposures on bank performance in the Philippines and Indonesia. (4) We can reject the hypothesis that the initial currency collapses across East Asian countries hurt US banks. For instance, Chase Manhattan earned an AR of 5.09% across the 5 days when the East Asian countries announced that they would no longer defend their peg. (5) In total, the IMF program announcements increased bank shareholder wealth. Of all the events we consider, the IMF program announcement with Korea stands out. It is one of five events where we find evidence that banks were significantly affected across countries. Banks with the greatest exposure in the US experienced significant ARs in excess of 7% from this announcement. (6) The IMF program in Korea benefited only those US banks with large exposures in Korea. No case can therefore be made that the IMF programs have the positive effect of somehow reducing systemic risk. Further research should investigate more closely why the currency collapses did not hurt bank shareholder equity more directly. There are three possible explanations worth considering. First, it could be that banks were hedged more than commentators believed they were. Second, it could be that the market expected currency losses to be offset by bailouts. Third, the market might have been inefficient in incorporating information about exchange rate changes. We explored the third hypothesis to some extent and found no support for it. Detailed accounting data would be required to investigate the first two hypotheses.