doktorska disertacija
Matej Tomec (Author), Timotej Jagrič (Mentor)

Abstract

Z empiričnim testiranjem smo sprva raziskovali vpliv obsega dokapitalizacije in tipa investitorja na dobičkonosnost bank. Regresijske ocene so pokazale takojšen negativni vpliv obsega dokapitalizacije na dobičkonosnost bank, ki pa z zamikom enega leta postane pozitiven. Pozitivni vpliv z zamikom je pričakovan, še posebej v času krize, ko višji obseg dokapitalizacije banki omogoča učinkovitejše čiščenje slabega dela portfelja ob hkratnem doseganju kapitalskih zahtev in sposobnosti povečanja obsega poslovanja v prihodnje. Pri tem iz regresijskih ocen ni možno zaznati večje razlike med obsegom dokapitalizacije pri zasebnih investitorjih in državo. Banke, dokapitalizirane z državnim denarjem, so bile pogosto v večjih težavah in niso bile sposobne pritegniti dovolj zanimanja za zasebne investitorje, poleg tega so bile zaradi državne dokapitalizacije zavezane k sprejetju različnih ukrepov (zaveze EK). Vendar so bile državne dokapitalizacije pogosto obsežnejše v primerjavi z zasebnimi, kar je kljub večjim težavam bank povečalo sposobnost učinkovite sanacije in prispevalo k podobnemu vplivu na dobičkonosnost kot pri bankah, dokapitaliziranih z zasebnim kapitalom. S številnimi nepravimi spremenljivkami smo v nadaljevanju testirali še vpliv časa dokapitalizacije bank na dobičkonosnost. Tudi čas dokapitalizacije se je izkazal kot statistično značilen in pomemben pri doseganju dobičkonosnosti, saj je pri bankah, dokapitaliziranih na začetku krize (v prvih dveh letih), vpliv na dobičkonosnost bolj pozitiven v primerjavi z bankami, dokapitaliziranimi kasneje v času krize. Razlika v času dokapitalizacije je prisotna, kadar testiramo vpliv na dobičkonosnost ob koncu raziskovalnega obdobja, v letih 2014 in 2015, ko je večina bank že izšla iz krize. V tem primeru je vpliv na dobičkonosnost pri bankah, dokapitaliziranih na začetku krize, pozitiven, pri bankah, dokapitaliziranih kasneje v času krize pa visoko negativen. S hkratnim testiranjem obsega in časa dokapitalizacije so regresijske ocene pokazale, da je vpliv pri bankah, dokapitaliziranih na začetku krize, naraščajoče pozitiven z obsegom dokapitalizacije. Tovrstni rezultati so pričakovani, saj so banke s hitro in obsežno izvedeno dokapitalizacijo sposobne dosegati kapitalske zahteve in obenem pospešiti razdolževanje z učinkovitim čiščenjem nedonosnega portfelja. Obsežna in hitra dokapitalizacija prav tako poveča sposobnost bank za rast kreditiranja in drugih poslovnih aktivnosti s pozitivnim vplivom na dobičkonosnost. Poznavanje determinant dobičkonosnosti je ključno tako za uprave in lastnike bank kot tudi vlade posameznih držav, ki so in morda še bodo prisiljene dokapitalizirati nacionalne sistemsko pomembne banke. Le z zadovoljivo dobičkonosnostjo bodo banke lahko v daljšem obdobju obstale na konkurenčnem bančnem trgu, prav tako pa bo visoka dobičkonosnost omogočila povrnitev investicije (državne pomoči) in doseganje zahtevanega donosa. Cilj vseh deležnikov bi tako morala biti hitra povrnitev dobičkonosnosti bank in, kot je pokazala empirična raziskava v doktorski disertaciji, sta pomembna dejavnika pri tem obseg in čas dokapitalizacije. Posledično bi v času krize morali hitro in učinkovito oceniti kvaliteto portfelja, prepoznati izgube bank in izvesti ustrezne dokapitalizacijske ukrepe. Kot se je izkazalo v nedavni bančni krizi, je tudi ob razmeroma visoki kapitalski ustreznosti na začetku krize, banka zaradi medsebojne povezanosti finančnih institucij med krizo potrebovala dokapitalizacijo. V času krize sta namreč stabilnost in zaupanje lahko zelo krhka in ju hitro nadomesti panika z izrazitimi negativnimi učinki. Hitro izvedena in dovolj obsežna dokapitalizacija lahko ob tem precej poveča pozitivni vpliv na dobičkonosnost banke, kar je v interesu tako posamezne finančne institucije kot celotne ekonomije.

Keywords

finance;krize;recesije;bančni sistemi;bančništvo;kreditiranje;regulacija;reševanje problemov;raziskave;analiza;crises;recessions;banking systems;banking;crediting;regulation;problem solving;research;analysis;

Data

Language: Slovenian
Year of publishing:
Typology: 2.08 - Doctoral Dissertation
Organization: UM EPF - Faculty of Economics and Business
Publisher: M. Tomec
UDC: 336.71
COBISS: 13049116 Link will open in a new window
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Other data

Secondary language: English
Secondary title: The impact of recapitalization on the profitability and macroeconomic effect of systemic banks in the us and eu during the global financial crisis
Secondary abstract: With the empirical estimation, we initially tested the effect of the amount of recapitalization and the type of investor to bank profitability. Regression estimations revealed an immediate negative effect in terms of the amount of recapitalization on profitability. However, with a lag of one year, the effect of higher recapitalization amount on profitability becomes positive. Positive effect with a lag is to be expected -- especially during a crisis, when higher recapitalization enables banks to efficiently wipe out toxic assets and at the same time achieve capital adequacy and the ability to increase the volume of business activities in the future. From the regression estimation, it is not possible to assess significant differences between the amount of recapitalization of private investors and the government. Banks recapitalized by the government have often been more distressed and therefore have not been able to attract enough interest from private investors. Besides that, due to government recapitalization they have often pledged to accept different measures (i.e. obligations to the European Commission). However, government recapitalizations have often been more extensive in comparison to private, which has despite bigger problems of the banks increased the ability for efficient bank rehabilitation and contributed to a similar effect on profitability as banks recapitalized by private investors. Next, with numerous dummy variables, we tested the time effect of recapitalization on profitability. The time of recapitalization was shown to be statistically significant and important for achieving profitability, because the effect on profitability is more positive for banks recapitalized early in the crisis (in the first two years) than for banks recapitalized later in the crisis. The difference in the time of recapitalization is present when we tested the effect on profitability at the end of the analyzed period, i.e. in the years 2014 and 2015, when the majority of banks had made it out of the crisis. In that case, the effect on profitability was positive in banks recapitalized at the beginning of the crisis and highly negative in banks recapitalized later in the crisis. With simultaneous testing of the amount and time of recapitalization, the positive effect in banks recapitalized in the beginning of the crisis increases with the amount of recapitalization. These results are expected, because with prompt and extensive recapitalization, banks are able to reach capital adequacy and at the same time, accelerate deleveraging with an efficient cleansing of a non-performing portfolio. Additionally, prompt and efficient recapitalization increases the ability of banks to lend and perform other business activities that have a positive effect on profitability. Profitability determinants expertise is of key importance for management and bank owners, as well as for governments that have been or maybe will be forced to recapitalize systemically important national banks. Only with satisfactory profitability will banks be able to remain in a competitive bank market over a longer period. High profitability will also enable a return of the investment (i.e. government state aid) and also achieve the required return. Therefore, the goal of all participles should be a quick return to bank profitability and, as the empirical research of this doctoral dissertation has shown, two important factors for this are the amount and time of recapitalization. Consequently, we should quickly and efficiently evaluate the quality of the portfolio in times of crisis, recognize the bank’s losses and implement appropriate recapitalization measures. As has been shown in the recent crisis, even if a bank had relatively high capital adequacy at the beginning of the crisis, it needed recapitalization during the crisis because of the high interconnectedness of financial institutions.
Secondary keywords: recapitalization;systemically important banks;bank crisis;profitability;system GMM estimator;
URN: URN:SI:UM:
Type (COBISS): Doctoral dissertation
Thesis comment: Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages: X, 166 str., 10 str. pril.
ID: 9592379