经济扩张和衰退环境下的银行收入平滑行为:使用微观数据样本的新证据

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Eleftherios Aggelopoulos, Theofanis Papageorgiou, Melpo Iakovidou, Vasilios Giannopoulos
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引用次数: 0

摘要

与外部环境变化相关的收入平滑(IS)研究结果并不明确,这种现象究竟是发生在扩张时期还是危机时期。鉴于大量信贷风险产生于零售银行业务,本研究利用希腊一家系统性银行的大量小额贷款组合数据,首次研究了零售银行业务层面的收入平滑行为,并将扩张期(2006-2008 年)与金融危机期(2009-2011 年)进行了对比。与传统的档案研究相比,这项具体的案例研究提供了更细化的数据,因此可以即时、更频繁地识别可能影响基础设施服务实践的外生(如危机影响)和内生(如贷款组合的地域来源)特征。根据准备金前贷款收入与贷款损失准备金之间的关联作为基础设施服务的替代指标,我们采用了稳健平均组估计法(Pesaran 和 Smith,《计量经济学杂志》,1995;68(1):79-113),发现这种关联在经济扩张时期较高,在经济衰退时期下降。此外,我们还得出结论,IS 行为受到贷款组合地理特征的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Bank income smoothing behaviours under expansionary and recessionary economic environments: New evidence using micro-data sample

Bank income smoothing behaviours under expansionary and recessionary economic environments: New evidence using micro-data sample

The income smoothing (IS) literature connected with changes in the external environment provides unclear results whether this phenomenon occurs in expansion or in crisis. Given that a substantial amount of credit risk is generated in retail banking, this study exploits a large number of micro-loan portfolio level data of a systemic Greek bank and examines, for the first time, the IS behaviour at the retail banking level, contrasting the expansion period (2006–2008) with the financial crisis period (2009–2011). This specific case study provides more granular data compared with traditional archival studies, thus allowing the immediate and more frequent identification of exogenous (such as crisis effects) and endogenous (such as the geographic origination of loan portfolios) features that may affect IS practices. Based on the association between pre-provision loan income and loans loss provisions as a proxy for IS, we employ the robust Mean Group estimator (Pesaran and Smith, Journal of Econometrics, 1995;68(1):79–113) and find that this association is higher in expansionary periods and declines in recession. Moreover, we conclude that the IS behaviour is affected by geographical features of loan portfolios.

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来源期刊
CiteScore
5.70
自引率
6.90%
发文量
143
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