Bank-type specific determinants of sensitivity of loan-loss provisions to business cycle

Olszak, Małgorzata; Chodnicka-Jaworska, Patrycja; Kowalska, Iwona; Świtała, Filip

doi:10.1080/1351847x.2018.1501401

Cited by 8 publications

(10 citation statements)

References 34 publications

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“…We employed Windmeijer’s finite-sample correction (Windmeijer 2005 ; also used e.g. by Olszak et al 2018 ) to guarantee the robustness of the estimation results.…”

Section: Empirical Investigationmentioning

confidence: 99%

“…Following Salas and Saurina ( 2002 ) and Olszak et al ( 2018 ), we used the following estimations to grasp the impact of real estate price growth on loan risk: …”

Section: Empirical Investigationmentioning

confidence: 99%

“…Furthermore, equity ratio has an impact on banks’ risk taking itself. To take this into account, we included banks’ capital ratios ( TCAR it ), similar to Olszak et al ( 2018 ). As Reichling and Schulze ( 2018 ) found German savings banks located in wealthier regions to be more efficient, we included the cost income ratio ( CIR it ) to take this into account.…”

Section: Empirical Investigationmentioning

confidence: 99%

“…Ex ante risk cannot be determined unambiguously, as higher loan loss provisions can either indicate higher expected loan losses or lower underwriting quality (Dou et al 2018 ). Olszak et al ( 2018 ) argue that large banks are more procyclical and more prone to moral hazard due to too-big-to-fail thinking. Hence, we additionally included bank size as an explanatory variable, measured as natural log of total assets ( LTA it ).…”

Section: Empirical Investigationmentioning

confidence: 99%

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Real Estate Markets and Lending: Does Local Growth Fuel Risk?

Zurek

2021

J Financ Serv Res

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Real estate price growth affects credit risk for several reasons: it provides input for economic forecasts as it’s closely tied to economic growth; when used as collateral by banks, rising real estate prices may decrease both expected and actual losses; and banks may become less risk averse in lending practices in the presence of rising property prices. Therefore, we analyze these effects on loan portfolios’ estimated and realized risks on a local level. Using data of 390 German savings banks, however, we find that real estate prices have little or no impact on savings banks’ credit portfolio risk or risk precautions.

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“…We employed Windmeijer’s finite-sample correction (Windmeijer 2005 ; also used e.g. by Olszak et al 2018 ) to guarantee the robustness of the estimation results.…”

Section: Empirical Investigationmentioning

confidence: 99%

“…Following Salas and Saurina ( 2002 ) and Olszak et al ( 2018 ), we used the following estimations to grasp the impact of real estate price growth on loan risk: …”

Section: Empirical Investigationmentioning

confidence: 99%

Section: Empirical Investigationmentioning

confidence: 99%

Section: Empirical Investigationmentioning

confidence: 99%

See 2 more Smart Citations

Real Estate Markets and Lending: Does Local Growth Fuel Risk?

Zurek

2021

J Financ Serv Res

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show abstract

“…o pecld -variável dependente nos modelos principal, complementares e de impacto econômico -composta pelo módulo do saldo da conta Provisões sobre Operações de Crédito (PECLD), dividida pelo Ativo Total na mesma data base. Diversos estudos anteriores adotam a mesma estrutura para a variável dependente, com diferentes opções quanto à data base do ativo total (Cavallo & Majnoni, 2002;Laeven & Majnoni, 2003;Bikker & Metzemakers, 2005;Ozili & Outa, 2018;Olszak et al, 2018;Araújo et al, 2018). Bikker e Metzemakers (2005) afirmam que o saldo da PECLD é construído ao longo do período e, por isso, utilizaram como fator de ponderação a média do ativo no período.…”

Section: Composição Das Variáveisunclassified