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Empirical essays on banking intermediation
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Deriantino, Ellis (2019) Empirical essays on banking intermediation. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b3483058~S15
Abstract
Chapter 2 investigates the role of an accommodative macro-prudential regulation of loan-to-deposit-ratio-linked reserve requirement in enhancing the Indonesian banking liquidity creation during the contractionary phase of a financial cycle. This policy charges a penalty in terms of an additional reserve requirement when a bank does not operate within a regulated range of loan-to-deposit ratios. The findings suggest that the policy has a small effect on stimulating overall bank liquidity creation. The policy enhances liquidity creation for small banks. The results also indicate that the limited impact of the policy for large banks can be attributed to their decision to raise capital ratios to strengthen their resilience. Indeed, a higher capital ratio limits liquidity creation has relevance for the regulator to take into account capital-based macro-prudential policies when managing bank liquidity creation.
Chapter 3 studies the role of the lending channel of monetary policy by investigating how changes in the policy interest rate affect bank lending growth in Indonesia. The findings indicate that the lending channel of monetary policy works for all banks, both large and small. Higher capital buffers and stronger liquidity positions moderate the strength of the lending channel for large banks, while variations in capital buffers and liquidity positions do not play a significant role in determining the strength of the lending channel for small banks. This study suggests that the central bank can use prudential instruments (i.e., capital and liquidity requirements) to manage the strength of monetary policy’s impact on bank lending growth.
Chapter 4 evaluates the role of the Federal Reserve System’s stress tests on the banks’ risk-taking behaviours in the United States syndicated loan market. The findings suggest that stress tests do not necessarily constrain the risk-taking behaviours of the participating banks, given that stress-tested banks charge higher loan spreads and have higher loan exposures than non-stress-tested banks after the stress tests. The heightened risk-taking behaviours are more prominent among banks with lower capital and profits, since they pursue higher earnings to increase capital ratios. The intensified risk-taking behaviours are also more pronounced in risky lending relationships with greater asymmetric information, that is, when participating banks lend to opaque private borrowers. Overall, the findings lend support to the moral hazard hypothesis.
Item Type: | Thesis (PhD) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Library of Congress Subject Headings (LCSH): | Intermediation (Finance), Liquidity (Economics), Bank loans, Bank capital, Syndicated loans, Financial risk management | ||||
Official Date: | April 2019 | ||||
Dates: |
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Institution: | University of Warwick | ||||
Theses Department: | Warwick Business School | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Zhang, Chendi ; Ma, Kebin | ||||
Sponsors: | Bank Indonesia | ||||
Format of File: | |||||
Extent: | viii, 100 leaves : charts | ||||
Language: | eng |
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