How resilient is the German banking system to macroeconomic shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes

doi:10.1016/j.jbankfin.2009.12.001

Cited by 36 publications

(24 citation statements)

References 27 publications

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“…According to a recent study by Dovern, Meier, and Vilsmeier (2010), above all monetary policy shocks turn out to have an important impact on the stress in a banking system. In order to ensure the functioning of financial markets, the ECB cut interest rates to very low levels and took a number of non-standard liquidity measures to support the smooth functioning of the euro area financial markets.…”

Section: On the Role Of Firm Size And Bank Relationshipsmentioning

confidence: 99%

A micro data approach to the identification of credit crunches

Rottmann

Wollmershäuser

2013

Applied Economics

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This paper presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms' assessment of the current willingness of banks to extend credit, we estimate the probability of a restrictive loan supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness is approximated by firm-specific factors, e.g. the firms' assessment of their current business situation and their business expectations. After controlling for the return on the banks' risk-free investment alternative, which is also likely to affect the supply of loans, we derive a credit crunch indicator, which measures that part of the shift in the loan supply that is neither explained by firm-specific factors nor by the opportunity costs of providing risky loans.JEL classifications: C23, E44, E51, G21

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Section: On the Role Of Firm Size And Bank Relationshipsmentioning

confidence: 99%

A micro data approach to the identification of credit crunches

Rottmann

Wollmershäuser

2013

Applied Economics

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“…In addition, the current global crisis also suggests that we should have a better understanding of the impact of macroeconomic shocks on the resilience of the banking system. To explore this issue one can perform macroeconomic stress testing (see for example, Dovern et al, 2010).…”

Section: Dependent and Independent Variablesmentioning

confidence: 99%

Market Discipline, Financial Crisis and Regulatory Changes: Evidence from Indonesian Banks

Hadad¹,

Agusman

Monroe

et al. 2009

SSRN Journal

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Following the 1997/1998 financial crisis, Indonesian banks experienced major regulatory changes, including the adoption of the Blanket Guarantee Scheme (BGS) in 1998, a limited guarantee (LG) in 2005, and changes in capital regulation in 1998 and 2001. We examine the impact of these regulatory changes on market discipline during the period 1995-2009. The price of deposits is used to measure market discipline in a dynamic panel data methodology on a sample of 104 commercial banks. We find a weakening of market discipline following the introduction of the BGS. The result is consistent with the deposit insurance scheme being credible in the lower capital requirement environment. The adoption of LG in a recovering economy also mitigates the role of market discipline. However, market discipline is more pronounced in listed banks than unlisted banks and in foreign banks than domestic banks. These results have important implications for banking regulation and supervision, particularly during a crisis period.

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“…The same identifi cation restrictions have been previously proposed by several authors such as: Farrant and Peersman (2005) for the euro area, the United Kingdom, Japan, Canada and the USA; Peersman and Straub (2006) for the USA and euro area; Eickmeier, Hofmann and Worms (2009) for Germany and the euro area; and Dovern, Meier and Vilsmeier (2010) for Germany. Dovern, Meier and Vilsmeier (2010) employ data on German banks' income and loss statements to model the interaction between the banking sector and the macroeconomy. Besides banking sector indicators (write-offs and return on average equity) other variables included in the model are: the real GDP, the consumer prices, the 3-months interest rate and USA GDP as an exogenous variable.…”

Section: Introductionmentioning

confidence: 62%

“…The particular choice of the variables is motivated by variable selection in similar studies that use sign restriction approach for macroeconomic stress-testing of the banking sector (Dovern, Meier and Vilsmeier, 2010;Eickmeier, Hofmann and Worms, 2009). We do not employ the exchange rate as an endogenous variable in our study as the changes in the interest rates indirectly refl ect the dynamics of the exchange rate (Hoggarth, Logan and Zicchino, 2005) 6 .…”

Section: Datamentioning

confidence: 99%