The Modern Money Creation Process: The Case of Collateral Crunch
| Autor: | Mgr. Šárka Kroulíková |
|---|---|
| Rok: | 2014 - letní |
| Vedoucí: | prof. PhDr. Petr Teplý Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 104 |
| Ocenění: | Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek. |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/137882/ |
| Abstrakt: | The aim of this thesis is to investigate the role of the wholesale funding in the modern credit intermediation process and to estimate the possible impact of pro- posed regulation of the wholesale funding on lending activity of a bank or its risk profile. Throughout the analysis we used data set of 132-1167 banks from the European Union (number of banks depends on the hypotheses tested) during the period 2006-2012. We found that the banks that are more exposed to the whole- sale funding are able to increase their lending relatively more in comparison to the less exposed banks; this advantage is wiped out during the times of liquidity or collateral crunch. Results of defined simultaneous equation model suggest that stricter eligibility criteria, higher margins and introduction of 100% threshold for the Net Stable Funding Ratio will signi cantly decrease the wholesale funding ra- tio and thus limit the supply of loans. We consider those results alarming since the majority of European enterprises is financed by the financial intermediaries, not on the capital market and therefore additional limitation of the wholesale funding activities could negatively in uence the overall economic activity within the Euro- pean Union. We discovered that the commercial banks tent to transfer the costs of the wholesale funding which are usually higher than the costs of deposits to their customers through the loan rate; the opposite is true for the cooperative banks. Additionally, we showed that higher share of the wholesale funding increases the default risk of a bank measured by adjusted z-score. This positive correlation sup- ports the regulatory efforts to decrease/limit the wholesale activities in order to reduce the systemic risk inherent within the financial system. |
