آیا بانک های خارجی خطر نقدینگی سیستم بانکداری را تحت تاثیر قرار می دهد؟

Existing empirical research shows that foreign-owned banks play a stabilizing role in emerging economies’ banking systems. Anecdotal evidence suggests that this stabilizing role can be attributed to transnational banks’ access to more diversified sources of liquidity. There exists, however, no empirical evidence so far on transnational banks’ liquidity behavior and its effect on aggregate banking system liquidity. This paper aims at closing this gap. First, we look at the liquid assets holdings of transnational banks and show that in “normal” times they are significantly lower but in crises times higher than those of single-market banks. Second, we find evidence that transnational banks’ presence significantly reduces the risk of aggregate liquidity shortages in emerging economies.

During the past two decades the level of foreign bank penetration into most of the emerging economies of Central and Eastern Europe increased tremendously, but both timing and scale of foreign bank entry differed substantially across countries (see Table 1). Countries like Estonia and Hungary liberalized foreign bank entry early on and were less affected by the consequent period of financial system distress in the region. On the other hand, in the early transition period Bulgaria and Romania were reluctant to open their markets to foreign banks and suffered severe banking crises with numerous bank runs. This observation is consistent with a wide body of empirical literature concerning the impact of foreign bank entry on the stability of the hosting banking system. For example, Demirgüc-Kunt et al. (1998) present cross-country evidence from a large sample of emerging economies that foreign bank presence reduces the likelihood of a banking crisis in emerging economies. Furthermore, Detregiache and Gupta (2004) argue that foreign banks have a stabilizing influence before or during local crises. Anecdotal evidence suggests that this stabilizing role of foreign banks might be due to (among other factors such as better credit screening and risk management) their access to more diversified sources of liquidity. Theoretical support for the argument that transnational banks have more diversified sources of liquidity is given by a model by Freixas and Holthausen (2005), although the literature lacks any empirical evidence in support of this argument. Table 1. Share of assets of foreign-owned banks in the banking system 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 Bulgaria 0.00 0.00 0.01 na 0.43 0.45 0.50 0.63 0.63 0.70 0.73 Czech Republic 0.09 0.15 0.15 0.15 0.15 0.37 0.71 0.81 0.80 0.82 0.90 Estonia 0.00 0.30 0.32 0.55 0.99 0.99 0.98 0.99 0.98 0.98 0.99 Hungary 0.45 0.33 0.39 0.50 0.51 0.57 0.57 0.54 0.54 0.61 0.65 Latvia 0.18 0.20 0.26 na 0.65 0.67 0.69 0.80 0.81 0.75 0.76 Lithuania 0.02 0.28 0.50 0.67 0.67 0.93 0.92 0.89 0.89 0.92 0.91 Poland 0.17 0.21 0.20 0.35 0.47 0.50 0.44 0.57 0.79 0.60 0.60 Romania 0.00 0.00 0.00 0.01 0.06 0.21 0.40 0.46 0.42 0.32 0.29 Slovakia 0.02 0.03 0.06 0.12 0.17 0.10 0.18 0.78 0.78 0.82 0.84 Slovenia 0.19 0.22 0.21 0.44 0.50 0.47 0.44 0.48 0.36 0.22 0.23 Source: own calculations based on BankScope and IFS. Table options The purpose of this paper is to close this gap by studying the liquidity position of a large sample of banks in 10 Central and Eastern European emerging economies. Our analysis concentrates on two main hypotheses based on the assumption that subsidiaries of transnational banks have through the internal capital markets of the transnational banks internationally diversified access to liquidity.1 First, on the micro level we expect transnational banks to show different relative volumes of liquid assets than those of banks operating in only one country. In particular, if as modeled by Freixas and Holthausen (2005), subsidiaries of transnational banks can access liquidity in both the host banking system and abroad, foreign banks should be less concerned about liquidity shocks and would hold lower volumes of liquid assets compared to domestic banks. In times of an aggregate liquidity shortage in the host country, however, subsidiaries of transnational banks increase their liquid asset volumes relative to domestic banks. Second, on the macro level, we empirically examine the effects of foreign bank penetration on aggregate liquidity. The ability of foreign banks to access liquidity abroad during periods of liquidity distress in the host country would imply that banking system with a predominant share of foreign banks are less likely to experience periods of severe aggregate liquidity shortages. The results of our empirical analysis confirm both our micro and macro level hypotheses. The rest of the paper is structured as follows. Section 2 describes the data. Section 3 focuses on an empirical examination of the difference between transnational and local banks’ liquidity positions on the micro level. Section 4 concentrates on the question whether increased foreign bank penetration changes the risk of aggregate liquidity shortages. Section 5 contains the conclusions of this paper.

This study has been motivated by an ongoing debate in the banking literature on the stabilizing role of foreign banks in emerging economies’ banking systems. Demirgüc-Kunt et al., 1998 and Detregiache and Gupta, 2004 argue that one of the reasons why foreign banks might have a stabilizing impact is that they have access to diversified international sources of liquidity. This hypothesis, however, has to our knowledge not been rigorously tested. To close this gap, we first present evidence that transnational banks’ liquidity behavior significantly differs from that of local banks. Whereas in “normal” times transnational banks tend to hold less liquid reserves than local ones, in times of an aggregate liquidity shortage, they tend to increase their liquid reserves relative to local banks. In a second step, we perform an aggregate level analysis of transnational banks’ impact on the stability of the host banking system. Contrary to other studies, we explicitly focus on liquidity as an important facet of banking system stability. An important contribution of this study is to address the potential endogeneity of foreign bank penetration by adopting a dynamic identification approach. We find that high degrees of foreign bank penetration are associated with less severe aggregate liquidity problems. In sum, our results present solid evidence that transnational banks can smooth the “local” money market volatility in small emerging economies and confirm the positive impact of transnational banks on international integration of interbank markets.