Identifying credit procyclicality processes and the impact of statistical provision in Spainanalysis of bank financial statements
ISSN: 0210-2412
Année de publication: 2014
Número: 164
Pages: 380-403
Type: Article
D'autres publications dans: Revista española de financiación y contabilidad
Information sur le financement
This work was supported by Fundación Emilio Soldevilla para la Investigación y Desarrollo de la Economía de la Empresa and UPV/EHU (University of the Basque Country) [grant number NUPV12/01].Financeurs
- International Monetary Fund United States
- Fundación Emilio Soldevilla para la Investigación y el Desarrollo en Economía de la Empresa Spain
-
Euskal Herriko Unibertsitatea
Spain
- NUPV12/01
Références bibliographiques
- Acharya, V., & Yorulmazer, T. (2007, February). Too many to fail: An analysis of time-inconsistency in bank closure policies (Bank of England Working Paper Series, 319).
- Akerlof, G. A., & Romer, P. M. (1993). Looting: The economic underworld of bankruptcy for profit. Brookings Papers on Economic Activity, 24, 2.
- Almeida, H., Campello, M., & Liu, C. (2006). The financial accelerator: Evidence from international housing markets. Review of Finance, 10(3), 321–352. doi:10.1007/s10679-006-9004-9
- Altman, E. I., Resti, A., & Sironi, A. (2002, July). The link between default and recovery rates: Effects on the procyclicality of regulatory capital ratios (BIS Working Papers, 113).
- Amato, J. D., & Furfine, C. H. (2004). Are credit ratings procyclical? Journal of Banking and Finance, 28, 2641–2677. doi:10.1016/j.jbankfin.2004.06.005
- Banco de España [Bank of Spain]. (1985, July). Circular 19/1985, a la banca privada y cajas de ahorro, sobre balance, cuenta de resultados y estados complementarios.
- Banco de España [Bank of Spain]. (1987, June). Circular 22/1987, a las entidades de depósito sobre balance, cuenta de resultados y estados complementarios.
- Banco de España [Bank of Spain]. (1991, June). Circular 4/1991, a las entidades de crédito sobre normas de contabilidad y modelos de estados financieros.
- Banco de España [Bank of Spain]. (2004, December). Circular 4/2004, a las entidades de crédito sobre normas de información financiera pública y reservada y modelos de estados financieros.
- Banco de España [Bank of Spain]. (2008, November). Circular 6/2008, a las entidades de crédito de modificación de la Circular 4/2004, de 22 de diciembre, sobre normas de información financiera pública y reservada, y modelos de estados financieros.
- Bank of England. (2009, November). The role of macroprudential policy (Discussion Paper).
- Barrell, R., Davis, E. P., Karim, D., & Liadze, I. (2010). Bank regulation, property prices and early warning systems for banking crises in OECD countries. Journal of Banking and Finance, 34(9), 2255–2264. doi:10.1016/j.jbankfin.2010.02.015
- Basel Committee on Banking Supervision. (2009a, December). Strengthening the resilience of the banking sector (Consultative Document).
- Basel Committee on Banking Supervision. (2009b, August). Guiding principles for the replacement of IAS 39.
- Basel Committee on Banking Supervision. (2010a, December). Basel III: A global regulatory framework for more resilient banks and banking systems (revised in June 2011).
- Basel Committee on Banking Supervision. (2010b, December). Basel III: International framework for liquidity risk measurement, standards and monitoring.
- Basel Committee on Banking Supervision. (2010c, December). Guidance for national authorities operating the countercyclical capital buffer.
- Beck, T., & Demirgüç-Kunt, A. (2009). Financial institutions and markets across countries and over time. Data and analysis (Policy Research Working Paper No. 4943).
- Behn, M., Detken, C., Peltonen, T. A., & Schudel, W. (2013, October). Setting countercyclical capital buffers based on early warning models: Would it work? (ECB Working Paper No. 1604).
- Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). Chapter 21, The financial accelerator in a quantitative business cycle framework. In J. B. Taylor & M. Woodford (Eds.), Handbook of macroeconomics (1st ed., Vol. 1, pp. 1341–1393). Amsterdam: Elsevier. doi:10.1016/S1574-0048(99)10034-X
- Bhattacharya, K. (2003, September). How good is the BankScope database? A cross-validation exercise with correction factors for market concentration measures (BIS Working Papers, 133).
- Bikker, J. A., & Metzemakers, P. (2005). Bank provisioning behaviour and procyclicality. Journal of International Financial Markets, Institutions and Money, 15(2), 141–157. doi:10.1016/j.intfin.2004.03.004
- Borio, C., & Drehmann, M. (2009, June). Towards an operational framework for financial stability: “Fuzzy” measurement and its consequences (BIS Working Papers, 284).
- Borio, C., Furfine, C., & Lowe, P. (2001, March 1). Procyclicality of the financial system and financial stability: Issues and policy options (BIS Papers, 1–57).
- Borio, C., & Lowe, P. (2002a, July). Asset prices, financial and monetary stability: Exploring the nexus (BIS Working Papers, 114).
- Borio, C., & Lowe, P. (2002b, December). Assessing the risk of banking crises. BIS Quarterly Review, 7, 43–54.
- Borio, C., & Lowe, P. (2004, July). Securing sustainable price stability: Should credit come back from the wilderness? (BIS Working Papers, 157).
- Brunnermeier, M., Crockett, A. D., Goodhart, C., Persaud, A., & Shin, H. (2009, January). The fundamental principles of financial regulation (Geneva Reports on the World Economy series ICBM/CEPR, 11). Geneva: International Center for Monetary and Banking Studies.
- Calomiris, C. W. (1998). The IMF’s imprudent role as lender of last resort. Cato Journal, 17(3), 275–295.
- Clair, R. T. (1992). Loan growth and loan quality: Some preliminary evidence from Texas banks. Economic Review, 9–22. Federal Reserve Bank of Dallas, Third quarter.
- Committee on the Global Financial System. (2010, May). Macroprudential instruments and frameworks: A stocktaking of issues and experiences (CGFS Papers, 38).
- Crockett, A. D. (2000, September). Marrying the micro- and macro-prudential dimensions of financial stability. Speech to the bank for international settlements and 11th international conference of banking supervisors, BIS Review (Vol. 76, pp. 1–7). Basel.
- Davis, P. E., & Zhu, H. (2005, April). Commercial property prices and bank performance (BIS Working Papers, 175).
- De Bandt, O., & Davis, P. E. (1999, September). A cross-country comparison of market structures in European banking (Working Paper Series, 7), European Central Bank.
- Delgado, J., Hernando, I., & Nieto, M. J. (2004). Perspectivas de rentabilidad de la banca por Internet en Europa May. Estabilidad Financiera, 6, 173–188. Banco de España [Bank of Spain].
- Drehmann, M., Borio, C., Gambacorta, L., Jiménez, G., & Trucharte, C. (2010, July). Countercyclical capital buffers: Exploring options (BIS Working Papers, 317).
- Drehmann, M., & Gambacorta, L. (2012). The effects of countercyclical capital buffers on bank lending. Applied Economics Letters, 19(7), 603–608. doi:10.1080/13504851.2011.591720
- Drehmann, M., & Juselius, M. (2014). Evaluating early warning indicators of banking crises: Satisfying policy requirements. International Journal of Forecasting, 30, 759–780. doi:10.1016/j.ijforecast.2013.10.002
- Drehmann, M., & Tsatsaronis, K. (2014, March). The credit-to-GDP gap and countercyclical capital buffers: Questions and answers. BIS Quarterly Review, 19, 55–73.
- European Union. (2013, June 26). Capital requirements directive IV. Directive 2013/36/UE of the European Parliament and of the Council.
- Fernández de Lis, S., Martínez, J., & Saurina, J. (2001, March). Credit growth, problem loans and credit risk provisioning in Spain. Marrying the macro- and microprudential dimensions of financial stability (BIS Papers, 1), pp. 331–353.
- Financial Stability Forum. (2009, April). Addressing procyclicality in the financial system (Report of the Financial Stability Forum). Basel: Author.
- Foos, D., Norden, L., & Weber, M. (2010). Loan growth and riskiness of banks. Journal of Banking and Finance, 34, 2929–2940. doi:10.1016/j.jbankfin.2010.06.007
- G-20 Working Group. (2009, March). Enhancing sound regulation and strengthening transparency (Final report). London: Group of Twenty-Group 1.
- Giese, J., Andersen, H., Bush, O., Castro, C., Farag, M., & Kapadia, S. (2014). The credit-to-GDP gap and complementary indicators for macroprudential policy: Evidence from the UK. International Journal of Finance and Economics, 19, 25–47. doi:10.1002/ijfe.1489
- Goodhart, C., & Danielsson, J. (2003). The inter-temporal nature of risk. In M. Balling, F. Lierman, & A. Mullineux (Eds.), Technology and finance: Challenges for financial markets, business strategies and policy makers (Vol. 17, pp. 18–40). London: Routledge International Studies in Money and Banking.
- Gourinchas, P. O., Valdés, R., & Landerretche, O. (2001). Lending booms: Latin America and the world (NBER Working Paper Series, 8249).
- Gual, J. (2009). El carácter procíclico del sistema financiero. Revista de Estabilidad Financiera, 16, 21–40. Banco de España [Bank of Spain].
- Gutiérrez, C., & Abad, J. (2014). ¿Permitían los estados financieros predecir los resultados de los tests de estrés de la banca española? Una aplicación del modelo logit. Revista de Contabilidad- Spanish Accounting Review, 17(1), 58–70.
- Hess, K., Grimes, A., & Holmes, M. (2009). Credit losses in Australasian banking. Economic Record, 85(270), 331–343. doi:10.1111/j.1475-4932.2009.00551.x
- Hodrick, R., & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit, and Banking, 29(1), 1–16. doi:10.2307/2953682
- Ibáñez, F. J., Peña, M. A., & Araujo, A. (2009). Impacto de las políticas crediticias de la banca en los resultados ex post: Una aproximación desde las teorías económicas del ciclo crediticio. Revista de Economía, ICE, 850, 161–177.
- International Monetary Fund. (2009, February). Initial lessons of the crisis. Research, Monetary and Capital Markets Department.
- Jain, A., & Gupta, S. (1987). Some evidence on “herding” behavior of U.S. Banks. Journal of Money, Credit and Banking, 19(1), 78–89. doi:10.2307/1992247
- Jappelli, T., & Pagano, M. (2002). Information sharing, lending and defaults: Cross-country evidence. Journal of Banking and Finance, 26, 2017–2045. doi:10.1016/S0378-4266(01)00185-6
- Jiménez, G., & Saurina, J. (2006). Credit cycles, credit risk and prudential regulation. International Journal of Central Banking, 2(2), 65–98.
- Kindleberger, C. P. (1991). Manías, pánicos y cracs. Barcelona: Editorial Ariel.
- Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of Political Economy, 105(2), 211–248. doi:10.1086/262072
- Laeven, L., Valencia, F., & Valencia, F. (2010, June). Resolution of banking crises: The good, the bad and the ugly (IMF Working Paper, WP/10/146). doi:10.5089/9781455201297.001
- Larriba, A. (1989). Modificaciones introducidas en la Circular 22-1987 del Banco de España. Revista Española de Financiación y Contabilidad, XIX(58), 223–262.
- Maravall, A., & Del Río, A. (2007). Temporal aggregation, systematic sampling, and the Hodrick- Prescott filter. Computational Statistics and Data Analysis, 52, 975–998. doi:10.1016/j.csda.2007.08.001
- Marín, S., Palacios, M., & Martínez, I. (2008). Influencia del cambio contable en la comparabilidad de los estados financieros bancarios y sus ratios de gestión. Un estudio empírico en la primera aplicación de la CBE 4/2004. Revista Española de Financiación y Contabilidad, 37(140), 665–690.
- Merton, R. C. (1977, November). An analytic derivation of the cost of deposit insurance and loan guarantees. An application of modern option pricing theory. Journal of Banking and Finance, 1, 3–11. doi:10.1016/0378-4266(77)90015-2
- Minsky, H. P. (1992, May). The financial instability hypothesis (The Jerome Levy Economics Institute of Bard College Working Paper No. 74).
- Pérez, D. (2006). Impacto de la Circular Contable 4/2004 sobre el balance y la cuenta de pérdidas y ganancias de las entidades de depósito españolas. Notas de Estabilidad Financiera (4), 1–68.
- Ravn, M. O., & Uhlig, H. (2002). On adjusting the Hodrick-Prescott filter for the frequency of observations. The Review of Economics and Statistics, 84(2), 371–376. doi:10.1162/003465302317411604
- Reinhart, C. M., & Rogoff, K. S. (2009). This time is different: Eight centuries of financial folly. Princeton, NJ: Princeton Press.
- Repullo, R., & Saurina, J. (2011, March). The countercyclical capital buffer of Basel III. A critical assessment (CEMFI Working Paper No. 1102).
- Salas, V., & Saurina, J. (2002). Credit risk in two institutional regimes: Spanish commercial and savings banks. Journal of Financial Services Research, 22(3), 203–224. doi:10.1023/A:1019781109676
- Saunders, A., Strock, E., & Travlos, N. G. (1990, June). Ownership structure, deregulation, and bank risk taking. The Journal of Finance, 45(2), 643–654. doi:10.1111/j.1540-6261.1990.tb03709.x
- Saurina, J. (2009a, July). Dynamic provisioning: The experience of Spain (Public Policy for the Private Sector, Nº 7), The World Bank.
- Saurina, J. (2009b, November). Loan loss provisions in Spain. A working macroprudential tool. Revista de Estabilidad Financiera, 17, 11–26. Banco de España.
- Sinkey, J. F., & Greenawalt, M. B. (1991). Loan-loss experience and risk-taking behavior at large commercial banks. Journal of Financial Services Research, 5, 43–59. doi:10.1007/BF00127083
- White, W. R. (2006, January). Procyclicality in the financial system: Do we need a new macrofinancial stabilisation framework? (BIS Working Paper No 193).