UID:
edocfu_9958098519302883
Format:
1 online resource (46 p.)
ISBN:
1-4623-0032-4
,
1-4527-3598-0
,
1-283-51679-9
,
9786613829245
,
1-4519-1232-3
Series Statement:
IMF working paper ; WP/07/215
Content:
This paper presents a model of a banking industry with heterogeneous banks that delivers predictions on the relationship between banks' risk of failure, market structure, bank ownership, and banks' screening and bankruptcy costs. These predictions are explored empirically using a panel of individual banks data and ownership information including more than 10,000 bank-year observations for 133 non-industrialized countries during the 1993-2004 period. Four main results obtain. First, the positive and significant relationship between bank concentration and bank risk of failure found in Boyd, De Nicolò and Al Jalal (2006) is stronger when bank ownership is taken into account, and it is strongest when state-owned banks have sizeable market shares. Second, conditional on country and firm specific characteristics, the risk profiles of foreign (state-owned) banks are significantly higher than (not significantly different from) those of private domestic banks. Third, private domestic banks do take on more risk as a result of larger market shares of both state-owned and foreign banks. Fourth, the model rationalizes this evidence if both state-owned and foreign banks have either larger screening and/or lower bankruptcy costs than private domestic banks, banks' differences in market shares, screening or bankruptcy costs are not too large, and loan markets are sufficiently segmented across banks of different ownership.
Note:
"September 2007."
,
Contents; I. Introduction; II. The Model; A. Homogenous Banks; B. Heterogenous Banks; III. A Helicopter Tour of the Data; A. Bank Asset Shares by Ownership; B. Balance Sheet Composition; C. Cost and Profitability; D. Capitalization and Loan Quality; E. Summary; IV. Evidence; A. Regression Specifications; B. Z-score Regressions; C. Theory and Evidence; D. Regressions of Z-score Components; E. Balance Sheet Composition Regressions; V. Conclusion; Appendix; References; Tables; 1. Market Shares of Banks by Ownership; 2. Asset and Liability Composition; 3. Cost and Profitability
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4. Loan Quality and Capitalization5. Description of Variables; 6. Dependent Variable: Z(t); 7. Dependent Variable: ROA(t); 8. Dependent Variable: LEQTA(t); 9. Dependent Variable: Ln [σ (ROA(t)]; 10. Dependent Variable: LGTLA(t); 11. Dependent Variable: LDEPL(t)
,
English
Additional Edition:
ISBN 1-4518-6779-4
Language:
English
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