Explorando la relación entre políticas crediticias y resultados de la banca española ex-post.

  1. Ibáñez Hernández, Francisco Jaime
  2. Peña Cerezo, Miguel Ángel
  3. Araujo de la Mata, Andrés
Revista:
Universidad & Empresa

ISSN: 0124-4639 0124-4639

Any de publicació: 2008

Volum: 10

Número: 14

Pàgines: 11-33

Tipus: Article

Altres publicacions en: Universidad & Empresa

Resum

This paper analyzes the relationship between bank credit policies and their ex-post performance. Literature review reveals that, sometimes, credit markets can be affected by a stronger endogenous component that usually assumed. We propose that the growth speed of the bank credit portfolio in expansive cycles is related to its ex-post performance once the recession cycle begins. The analysis outcomes refl ect a strong relation between the speed in the expansion of the credit and a poorer behaviour of the benefi ts, returns and insolvencies.

Referències bibliogràfiques

  • Akerlof, G. A. y Romer, P. M. (1993). Looting: The economic underworld of bankruptcy for profi t. Brookings Papers on Economic Activity, 2.
  • Allen, L. y Saunders, A. (2002). Un panorama de los efectos cíclicos en los modelos de medición del riesgo de crédito. Papeles de Economía Española, 94, pp. 2-27.
  • Almeida, H., Campello, M. y Liu, C. (2005). The fi nancial accelerator: evidence from the international housing markets. AFA 2007 Chicago Meetings Paper.
  • Altman, E. I., Resti, A. y Sironi, A. (2002). The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios. BIS Working Papers, 113, July.
  • Basel Committee on Banking Supervision (2005). Basel II: International convergence of capital measurement and capital standards: a revised framework. November.
  • Berger, A. N. y Udell, G. F. (2003). The institutional memory hypothesis and the procyclicality of bank lending behaviour. BIS Working Papers, 125, January.
  • Bernanke, B. y Gertler, M. (1989). Agency costs, net worth and business fl uctuations. American Economic Review, 79, pp. 14-31.
  • Bernanke, B. (1995). Inside the black box: the credit channel of monetary policy transmission. Journal of Economic Perspectives, vol. 9, núm. 4, pp. 27-48.
  • Bernanke, B., Gertler, M. y Gilchrist, S. (1999). The fi nancial accelerator in a quantitative business cycle framework. In Taylor, J. y Woodford, M. (eds.). Handbook of Macroeconomics. Amsterdam.
  • Borio, C. (2006). Monetary and prudential policies at a crossroads? New challenges in the new century. BIS Working Papers, 216. September.
  • Borio, C. y Lowe, P. (2002). Asset prices, financial and monetary stability: exploring the nexus. BIS Working Papers, 114. July.
  • Borio, C., Furfine, C. y Lowe, P. (2001). Procyclicality of the fi - nancial system and fi nancial stability: issues and policy options. BIS Papers, 1. March, pp. 1-57.
  • Caprio, G. y Klingebiel, D. (2003). Episodes of systematic and Bordeline Financial Crises. Banco Mundial.
  • Crockett, A. (2000). Marrying the micro- and macro-prudential dimensions of financial stability. International Conference of Banking Supervisors. Basel. September.
  • Delgado, J., Salas, V. y Saurina, J. (2006). The joint size and ownership specialization in banks’ lending. Banco de España - Documentos de Trabajo, 606.
  • Demirgüç-Kunt, A. y Detragiache, E. (1998). The determinants of banking crises in developing and developed countries. IMF Staff Papers, vol. 45, núm. 1. March.
  • Fernández de Lis, S., Martínez, J. y Saurina, J. (2000). Credit growth, problem loans and credit risk provisioning in Spain. Banco de España - Documento de Trabajo, 18.
  • Fisher, I. (1933). The debt-deflation theory of great depressions. Eco nometrica, vol. 1, núm. 4, pp. 337-357.
  • Freixas, X. y Rochet, J. C. (1997). Economía bancaria. Barcelona: Antoni Bosch, editor.
  • García, T. y Robles, L. (2002). Determinantes del Risk Taking en las entidades fi nancieras españolas, ¿estructura de propiedad o tamaño? Documento de Trabajo, 58/02. Universidad Pública de Navarra.
  • Gertler, M. (1988). Financial structure and aggregate economic activity: An overview. Journal of Money, Credit and Banking, vol. 20, núm. 3-2, August, pp. 559- 596.
  • Guttentag, J. M. y Herring, R. J. (1986). Disaster Myopia in international banking. Essays in International Finance Section, Princeton University.
  • Herring, R. J. (1999). Credit risk and fi nancial instability. Oxford Review of Economic Policy, 15(3), pp. 63-79.
  • Jain, A. y Gupta, S. (1987). Some evidence on herding behavior of U.S. banks. Journal of Money, Credit and Banking, 19(1), pp. 78-89.
  • Jensen, M. y Meckling, W. (1976). Theory of the fi rm, managerial behaviour, agency costs and capital structure. Journal of Financial Economics, 3, pp. 305-360.
  • Kaminsky, G. L. y Reinhart, C. M. (1999). The twin crises: the causes of banking and balance of payments problems. American Economic Review, 89, June, pp. 473-500.
  • Kuritzkes, A., Schuermann, T. y Weiner, S. M. (2003). Risk Measurement, Risk Management and Capital Adequacy of Financial Conglomerates. En Herring, R. and R. Litan (eds.). BrookingsWharton Papers on Financial Services, pp. 141-194.
  • Kindleberger, C. P. (1978). Manias, panics, and crashes: a history of fi nancial crises. London: MacMillan Press.
  • Kiyotaki, N. y Moore, J. (1997). Credit cycles. Journal of Political Economy, 105(2), pp. 211-248.
  • Lowe, P. (2002). Credit risk measurement and procyclicality. BIS Working Papers, 116. September.
  • Merton, R. C. (1977). Analytic derivation of the cost of deposit insurance and loan guarantees. Journal of Banking and Finance. November, pp. 3-11.
  • Minsky, H. P. (1982). The fi nancialinstability hypothesis: capitalist processes and the behaviour of the economy. En Financial crises: Theory, history and policy. Cambridge: Cambrigde University Press.
  • Mohanty, M. S., Schnabel, G. y García-Luna, P. (2006). Banks and aggregate credit: what is new? BIS Papers, 28. August, pp. 11- 39.
  • Pederzoli, C. y Costanza, T. (2005). Capital requirements and busi ness cycle regimes: Forwardlooking modelling of default probabilities. Journal of Banking & Finance, 29, pp. 3121-3140.
  • Rajan, R. G. (1994). Why bank credit policies fluctuate: a theory and some evidence. Quarterly Journal of Economics, 109(2), pp. 399-411.
  • Rajan, R. G. (2005). Has financial development made the world riskier? Paper presented at the 2005 Jackson Hole Conference. September.
  • Saunders, A., Strock, E. y Travlos, N. G. (1990). Ownership structure, deregulation, and bank risk taking. The Journal of Finance, vol. XLV, núm. 2. June, pp. 643-654.
  • Salas, V. y Saurina, J. (2002). Credit risk in two institutional settings: Spanish commercial and savings banks. Journal of Financial Services Research, 22 (3), pp. 203- 224.
  • Stiglitz, J. y Weiss, A. (1981). Credit rationing in markets with imperfect information. American Economic Review, 71, pp. 393-410.
  • Vallés, V. (2006). Stability of a “through-the-cycle” rating system during a fi nancial crisis. FSI Award 2006 Winning Paper. September.
  • White, W. R. (2006). Procyclicality in the financial system: do we need a new macrofi nancial stabilisation framework? BIS Working Papers, 193, January.
  • Williamson, O. E. (1963). Managerial discretion and business behaviour. American Economic Review, 53, December, pp. 1032- 1057.