L'impact de la concurrence bancaire sur l'efficience des banques : le cas des Pays d'Europe Centrale et Orientale

International audienceDans ce papier nous analysons l'influence de la concurrence bancaire sur l'efficience des banques dans les PECO. L'intuition de notre démarche consiste dans le fait que pour éviter ou diminuer les effets négatifs engendrés par l'asymétrie de l'information, présente sur le marché bancaire, les banques doivent fournir plus d'efforts, qui sont coûteux, pour améliorer la qualité du portefeuille de crédits, par exemple. Or, les dépenses supplémentaires ne sont possibles qu'en l'absence de la contrainte concurrentielle. A l'aide de l'approche de Panzar et Rosse, nous avons donc d'abord déterminer le niveau de concurrence sur le marché bancaire de ces pays. Ensuite, en utilisant les deux méthodes, paramétrique et non paramétrique, nous avons estimé le niveau d'efficience des banques. Dans la dernière étape, nous avons régressé le niveau d'efficience sur le niveau de concurrence. Les résultats montrent que ces deux indicateurs sont positivement corrélés pour les scores d'efficience de coût et de profit, et négativement corrélés pour le score d'efficience de revenu d'intérêt

Bank Risk in Central and Eastern European Countries: Does Ownership Matter?

Our main objectives are to estimate the risk of Central and Eastern European banks anddetermine its factors focussing on the role of ownership structures. We apply market-basedrisk measures and an improved Z-score and conclude that foreign and private banks are lessrisky than state-owned institutions. Moreover, a higher proportion of interbank depositsamplifies the risk of foreign banks and reduces that of public institutions. The effect of longtermfunds is negative for state-owned banks with market-based measure, whereas it ispositive with accounting-based measure. Another result is the negative impact of theconcentration on interest-bearing activities on the risk of all banks regardless their ownershipstructure. Finally, the enforcement of the banking regulation reduces the risk of foreign banksand increases that of public institutions

What drives the risk of European banks during crises? New evidence and insights

Based on an extensive dataset of 1,156 European banks over the 1995-2015 period, we aim to provide new insights on the determinants of European banks’ risk-taking during crisis events, employing a novel asymmetric Z-score. Our results suggest that more capital, lower ratios of loans to deposits and of liquid assets to total assets and lower share of non-deposit and short-term funding in total funding are associated with lower bank risk and this relationship is stronger during the crises. Moreover, having low costs compared to their revenues reduces the risk of European banks in normal times and has the same impact during the crises. Being involved in non-interest-generating activities makes banks riskier. Finally, being large and having higher net interest margin make banks more stable, but this positive effect is diminished for the size and vanished for the profitability during crisis times. And some differences are observed between Western and Eastern European countries

Convergence of bank competition in Central and Eastern European countries: do foreign and domestic banks go hand in hand?

Following the massive entry of foreign banks into the Central and Eastern European (CEE) banking markets, one may wonder whether their competitive behaviour differs from that of their domestic counterparts, possibly leading to the segmentation of these markets at the regional and national levels. We find that the competitive behaviour of foreign and domestic banks differs, with foreign banks having less market power until the recent financial crisis and more market power after this financial turmoil. Despite this difference, banks tend to behave similarly, and their market power converges to a similar level. The tendency towards similar competitive behaviour is observed at the regional and national levels and for both foreign and domestic banks, although foreign institutions that enter these markets through the acquisition of domestic banks have slightly more market power. Our findings suggest the regional integration of CEE banking markets and no segmentation between foreign and domestic institutions

The Z-score is dead, long live the Z-score! A new way to measure bank risk

This paper raises questions about the consistency of the Z-score, which is the most applied accounting-based measure of bank risk. In spite of its main advantage, namely the concept of risk on which it relies, the traditional formula is precisely inconsistent with this concept. The Z-score is deduced from the probability that bank’s losses exceed its capital, but under the very unrealistic assumption of normally distributed returns on assets. Consequently, we propose a structural approach to determine this bank risk measure. It consists to define the default event when banks’ profit is lower than a default threshold level, which is based on the balance-sheet structure of banks and on new prudential regulation requirements

Market power and risk of Central and Eastern European banks: Does more powerful mean safer?

As understanding the market power–risk relationship in CEE banking systems is of the utmost importance to policy-makers in these countries, we investigate whether CEE banks must have greater market power to be safer. Our results suggest that more market power reduces the fragility of banking institutions, on one hand, and that banking market concentration tends to make these banks riskier, on the other. Our findings are robust to whatever form of market power-risk relationship and whatever market-power measures we use. More precisely, financial markets perceive CEE banks with more market power as less fragile, while the latter are also better capitalised with respect to the distribution of their returns. Moreover, they are even (much) better capitalised when they hold less-diversified and less-liquid assets and when they operate within a stricter banking regulatory environment, which suggests a risk-stabilising role for diversification, liquidity and the bank regulatory environment in these countries

Income and funding structures, banking regulation and bank risk-taking: The role of ownership in Central and Eastern European banks

This paper explores the effects of CEE banks’ balance sheet strategies and the impact of banking reforms on their risk-taking behaviour and assesses them with respect to banks’ ownership profile. With our asymmetric Z-score and Distance to Default, we find that state-owned banks are the riskiest and foreign banks the safest institutions. Moreover, the market perceives the former as being riskier regardless of their balance sheet policies. More interbank deposits and long-term funds increase the Z-scores of these banks to a larger extent, but more income diversification has the opposite effect. As for domestic private and foreign banks, these balance sheet policies do not affect the accounting-based risk measure of these institutions. Finally, in countries and periods with banking regulations that conform to the Basel requirements to a greater degree, foreign and private banks are less risky with respect to their Z-score and this effect is stronger for foreign institutions

L'influence de la réglementation du capital, de la concurrence bancaire et de l'assurance des dépôts sur le comportement risqué des banques

info:eu-repo/semantics/publishe

On the consistency of the Z-score to measure the bank risk

This paper raises questions about the consistency of the Z-score, which is the most applied accounting-based measure of bank risk. In spite of its advantage, namely the concept of risk on which it relies, the traditional formula is precisely inconsistent with its own concept. The Z-score is deduced from the probability that bank’s losses exceed its capital, but under the very unrealistic assumption of normally distributed returns on assets. Consequently, we show that the traditional Z-score fails to consider correctly the distribution of banks’ returns. To make the Z-score consistent and preserve its original concept of risk, we propose more flexible distribution functions. Between skew normal and stable distributions, we prove that the latter fits the best the distribution of banks’ returns and therefore provides more reliable results for the Z-score. An application on the experience of the Central and Eastern European banks confirms this theoretical prove