Diana Bonfim, Geraldo Cerqueiro, Hans Degryse, Steven Ongena, On-Site inspecting zombie lending, Management Science, Vol. 69 (5), 2023. (Journal Article)
"Zombie lending" remains a widespread practice by banks around the world. In this paper, we exploit a series of large-scale on-site inspections made on the credit portfolios of several Portuguese banks to investigate how these inspections affect banks’ future lending decisions. We find that an inspected bank becomes 20% less likely to refinance zombie firms, immediately spurring their default. Overall, banks seemingly reduce zombie lending because the incentives to hold these loans disappear once they are forced to recognize losses. |
|
Steven Ongena, Bankers and Climate, In: ZEW Conference on Ageing and Sustainable Finance. 2023. (Conference Presentation)
|
|
Bekir Cagman, Financial institutes ESG profile: A textual analysis, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
|
|
Florian Schwaller, Neo-Banking – das Modell der Zukunft für den Schweizer Bankkunden, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
Die Studie widmet sich der Analyse demographischer Faktoren und ihrer Auswirkungen auf die Aktivität von Schweizer Neo-Bankkunden. Dabei erfolgt die Messung der Aktivität anhand von Transaktionsdaten, welche sowohl Kartenzahlungen als auch Banküberweisungen umfassen. Die Resultate aus einem Datensatz von über 50'000 Kunden einer Schweizer Neo-Bank erlauben unter Einbezug von statistischen Methoden die Konklusionen, dass der Zusammenhang zwischen dem Alter und der Nutzung von Karten- und Bankzahlungen negativ ist. In der Tendenz findet die Studie zudem eine höhere Aktivität auf Karten- und Bankzahlungen bei männlichen Kunden. Daraus lässt sich schliessen, dass demographische Merkmale einen bedeutenden Einfluss haben können, wie aktiv ein Kunde die Banking-Funktionen einer Neo-Bank nutzt. Demographische Faktoren sollten demnach für die Identifikation geeigneter Zielgruppen und die Ausarbeitung von Marketing-Strategien berücksichtigt werden. |
|
Granit Latifi, Evaluation der Predictive Performance verschiedener Value-at-Risk Modelle mittels Backtesting am Beispiel des Swiss Performance Index, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
In dieser Arbeit wird die Vorhersagekraft von vier verschiedenen Modellen zur Ermittlung
des Value-at-Risk (VaR) empirisch untersucht. Der VaR stellt dabei eine Verlust-Vorhersage
für ein Portfolio dar, welche mit einer bestimmten Wahrscheinlichkeit nicht unterschritten
wird. Die Vorhersagen werden rollierend für 1500 Handelstage berechnet, wobei diese
die Periode vom 16.01.2017 bis zum 30.12.2022 umfassen. Das bedeutet, dass die Vorhersage
für den morgigen Zeitpunkt auf den am Vortag verfügbaren Informationen beruht. Das
Aktienportfolio besteht aus einer Long-Position im Swiss Performance Index (SPI). Die
Schätzung der Modellparameter, die Berechnung der Vorhersagen und das Backtesting erfolgen
mit dem Statistikprogramm R. Zur Beurteilung der VaR-Vorhersagen werden diese
mit den entsprechenden Renditen verglichen und mit vier Backtesting-Methoden evaluiert.
Aus der Analyse geht hervor, dass das GJR-GARCH(1,1)-Modell mit schiefer t-Verteilung
der Renditen die besten Vorhersagen liefert. Dieses Modell berücksichtigt auch die meisten
empirisch beobachtbaren Eigenschaften der Renditen. Das historische Simulationsmodell
wird in der Praxis zwar am häufigsten verwendet, führt aber aufgrund der trägen Anpassungsfähigkeit
der VaR-Vorhersagen zu ungenügenden Ergebnissen im Backtesting. |
|
Gazi Kabas, Kasper Roszbach, The price of leverage: learning from the effect of LTV constraints on job search and wages, In: SSRN, No. 3835232, 2023. (Working Paper)
Does households' leverage matter for their job search, matching in the labor market and pay? To answer this question we exploit a loan-to-value ratio restriction in Norway that exogenously reduces household leverage. Using comprehensive register data, we find that lower leverage enables displaced workers to find jobs with higher starting wages. Lower leverage increases the probability of finding jobs in higher paying firms and the likelihood of switching into new occupations and industries. The positive effects are long-lasting and more pronounced for young and higher educated workers. Our results indicate that policies aimed at limiting households' leverage have the potential to substantially improve their labor market outcomes. |
|
Aurore Burietz, Steven Ongena, Matthieu Picault, Taxing banks leverage and syndicated lending: A cross-country comparison, International Review of Law and Economics, Vol. 73, 2023. (Journal Article)
Between 2010 and 2012 and with bank stability as the ultimate target, five European countries implemented a tax levy on banks’ liabilities thereby decreasing the cost of equity relative to the cost of debt. Using a difference-in-differences approach we assess the impact of this tax levy on banks’ participation in the syndicated loan market. We further investigate the impact of the tax levy along bank size and capital structure. We find that banks located in countries where the tax levy was implemented supply more credit. This increase is more significant for larger lenders and banks that are more capital constrained. |
|
Emanuela Benincasa, Gazi Kabas, Steven Ongena, "There is No Planet B", But for Banks There are "Countries B to Z": Domestic Climate Policy and Cross-Border Bank Lending., In: Research Seminar. 2023. (Conference Presentation)
We provide evidence that banks increase cross-border lending in response to higher climate policy stringency in their home countries. Saturating with granular set of fixed effects and including a rich set of control variables, we show that the increase in cross-border lending is not driven by loan demand and/or other bank home country characteristics. In line with banks use cross-border lending as a regulatory arbitrage tool, the increase in cross-border lending occurs only if banks' home countries have more stringent climate policy compared to their borrowers' countries. The effect is stronger for large, lowly capitalized banks with high NPL ratios and for banks with more experience in cross-border lending. Our results suggest that without a global cooperation, cross-border lending can be a channel that reduces the effectiveness of climate policies. |
|
Emanuela Benincasa, Gazi Kabas, Steven Ongena, “There is No Planet B", but for Banks “There are Countries B to Z": Domestic Climate Policy and Cross-Border Lending., In: Macro Seminar . 2023. (Conference Presentation)
We provide evidence that banks increase cross-border lending in response to higher climate policy stringency in their home countries. Saturating with granular set of fixed effects and including a rich set of control variables, we show that the increase in cross-border lending is not driven by loan demand and/or other bank home country characteristics. In line with banks use cross-border lending as a regulatory arbitrage tool, the increase in cross-border lending occurs only if banks' home countries have more stringent climate policy compared to their borrowers' countries. The effect is stronger for large, lowly capitalized banks with high NPL ratios and for banks with more experience in cross-border lending. Our results suggest that without a global cooperation, cross-border lending can be a channel that reduces the effectiveness of climate policies. |
|
Nenad Knezevic, Der Konsolidierungsprozess in der schweizerischen beruflichen Vorsorge - eine Ursachenanalyse, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
|
|
Pajtim Rexhepi, Von der Mindestreserve der Geschäftsbanken in der Schweiz zum Vollgeldsystem, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
Die folgende Arbeit befasst sich mit dem Geldsystem der Schweiz. Sie beginnt mit einer
Einführung in das gegenwärtige Mindestreservesystem und diskutiert einen möglichen
Übergang zu einem Vollgeldsystem. Dabei werden die Auswirkungen eines Vollgeldsystems
auf die Bilanzen der Schweizerischen Nationalbank und der Geschäftsbanken untersucht und
die Vor- und Nachteile des Vollgeld- gegenüber des Mindestreservesystems erläutert. Anhand
aktueller Literatur wird aufgezeigt, dass sich die Bilanz der Schweizerischen Nationalbank
durch ein Vollgeldsystem verlängern würde, die Bilanzen von Geschäftsbanken sich aber weder
verlängern noch verkürzen würden. |
|
Lin Lu, Sustainability Reporting and Corporate Innovation, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
In this thesis, I examine the impact of sustainability reporting (SR) on corporate innovation
measured by the number of patents, the number of forward citations, and the real value
of patents, based on the U.S.-listed firms from 1989 to 2020. I employ the Propensity
ScoreMatching approach to obtain SR firms (treatment group) and matched non-SR firms
(control group). In the matched sample, I apply the Difference-in-Differences approach
to compare how sustainability reports change corporate innovation. The results indicate
that sustainability information disclosure has no significant relationship with innovation
output. To make the analysis robust, I conduct two tests. The first test is the industrial
analysis. I choose firms in manufacturing industries since these industries have sufficient
observations. I discover that the impact of sustainability reporting on innovation output is
still insignificant. The second one is using an alternate event window. The sustainability
reporting impact on innovation remains insignificant. Then, I performadditional analysis
in the sample without inactive companies. The finding is that sustainability reporting negatively
influences innovation captured by the number and the economic value of patents.
This study helps to fill the gap in the existing literature and provides policy recommendations
for regulators and some insight for companies. |
|
Gianni Buchmann, Harmonization of External Green Bond Ratings, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
In this thesis, a harmonized rating scale for a selection of green bond ratings is created using bond-specific external review data. The rating scale can be used to compare external green bond ratings with one another. The basis of the scale is a set of indicators derived from the Green Bond Principles (GBP). A final score is attributed to each rating and consists of its average conformity with the GBP. This is measured by the ratings’ average performance in each indicator. This way both positive and negative opinions voiced by external reviewers are integrated. I find that equally positioned ratings on average show the same conformity with the GBP. There is however a distinct difference in conformity noticeable between relatively good and relatively bad ratings. Moreover, a brief yield analysis is conducted using the harmonized rating scale. The analysis shows that the relative differences in conformity of ratings originating from the same external reviewer are mirrored in the relative difference in their yields. Also, the findings show that when corrected for unobserved bond characteristics, this relation can also be seen for ratings from different external reviewers. |
|
Christoffer Kok, Carola Müller, Steven Ongena, Cosimo Pancaro, The disciplining effect of supervisory scrutiny in the EU-wide stress test, Journal of Financial Intermediation, Vol. 53, 2023. (Journal Article)
Relying on confidential supervisory data related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We find that banks that participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this exercise. Relying on new metrics for supervisory scrutiny that measure the quantity, potential impact, and duration of interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks subject to more intrusive supervisory scrutiny during the exercise. We also find that a strong risk management culture is a prerequisite for the supervisory scrutiny to be effective. Finally, we show that a similar disciplining effect is not exerted neither by higher capital charges nor by more transparency and related market discipline induced by the stress test. |
|
Emmanuel C Mamatzakis, Steven Ongena, Mike G Tsionas, The response of household debt to COVID-19 using a neural networks VAR in OECD, Empirical Economics, Vol. 65, 2023. (Journal Article)
This paper investigates responses of household debt to COVID-19 related data like confirmed cases and confirmed deaths within a panel VAR framework for OECD countries. We also employ a plethora of non-pharmaceutical and pharmaceutical interventions as shocks. In terms of methodology, we opt for a global panel VAR (GVAR) methodology that nests underlying country VARs. In addition, as linear factor models may be unable to capture the variability in the data, we use an artificial neural network (ANN) method. The number of factors, as well as the number of intermediate layers, are determined using the marginal likelihood criterion and we estimate the GVAR with MCMC techniques. Results reveal that household debt positively responds to COVID-19 infections and mortality as well as lockdowns, though this response is valid in the short term. However, vaccinations and testing appear to negatively affect household debt. Lockdown measures such as stay-at-home advice, and closing schools, all have a positive impact on household debt in GVAR, though of transitory nature. |
|
Shusen Qi, Kent Ngan-Cheung Hui, Steven Ongena, Inter-industry FDI spillovers from foreign banks: Evidence in transition economies, Financial Management, Vol. 52 (1), 2023. (Journal Article)
Using a sample of non-financial domestic firms in transition economies from Eastern Europe and Central Asia, we examine whether and how inter-industry spillover from FDI in the banking sector occurs. Our findings show that the innovation pursued by domestic firms benefits from foreign bank penetration. However, these positive inter-industry spillovers surprisingly do not seem to work through enhanced credit access. We further find these positive spillovers to occur mainly for foreign banks that use relationship lending, domestic firms that do not export, and host countries that are less open to the global market. |
|
Jonas Maag, Wie beeinflusst Covid-19 den Schweizer Immobilienmarkt? Eine Ereignisstudie über Börsenmarktreaktionen nach regulatorischen Beschlüssen des Bundesrats, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
Der Ausbruch von Covid-19 überraschte im Frühjahr 2020 die gesamte Weltwirtschaft wie
auch die Finanzmärkte in einem Ausmass ohne Präzedenz. Um der rapiden Verbreitung des
Virus gezielt entgegenzuwirken, beschlossen Regierungen Sofortmassnahmen mit dem Ziel,
die Bevölkerung entsprechend zu schützen. Hierzu wurden entlang der Pandemie vom
Schweizer Bundesrat wiederholt restriktive Massnahmen wie Ausgangssperren, Verordnungen
zur sozialen Distanzierung, Laden-, Schul- und Grenzschliessungen sowie auch Zugangsbeschränkungen
beschlossen. Diese Arbeit untersucht, wie sich die Ankündigungen
solcher Massnahmen auf Börsenkurse von 48 kotierten Schweizer Immobilienfonds und -
aktien auswirken. Mittels quantitativer Methodik einer Ereignisstudie werden sechs ausgewählte
Ankündigungen von Massnahmen des Bundesrats im Zeitraum zwischen dem 16.
März 2020 und 17. Dezember 2021 untersucht. Die Resultate dieser Arbeit zeigen, dass sich
die Ankündigungen des Bundesrats zu Beginn der Pandemie stark auf Immobilienaktien und
-fonds auswirken. So resultieren insbesondere bei der erstmaligen Ankündigung der Ausgangssperre
signifikant negatives abnormales Renditeverhalten sowohl bei den untersuchten
Aktien als auch den Fonds. Mit deutlich geringerem Wirkungseffekt sind solche Kursreaktionen
auch bei der Ankündigung der zweiten Ausgangssperre Anfang 2021 bei den Immobilienfonds
evident. Bei den zeitlich nachgelagerten Massnahmenankündigungen resultieren
marginale bis inexistente Kursreaktionen. Weiter zeigt die Analyse der Subsektoren des
Schweizer Immobilienmarktes, dass bei erster Ankündigung der Ausganssperre die Kursreaktionen
bei Fonds und Aktien mit Mehrheitsinvestitionen im Wohnsektor geringer sind,
während diese insbesondere im Bürosektor stärker negativ ausfallen. Obschon nur ein Teilbereich
des Schweizer Immobiliensektors untersucht wird, liefert diese Arbeit erste Erkenntnisse
über den Einfluss der Pandemie auf den kotierten Schweizer Immobiliensektor und
legt somit den Grundstein für weiterführende Forschung. |
|
George-Marian Aevoae, Alin Marius Andries, Steven Ongena, Nicu Sprincean, ESG and systemic risk, Applied Economics, Vol. 55 (27), 2023. (Journal Article)
How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? Using a dynamic panel model, we document a beneficial impact of the ESG Combined Score and Governance pillar on banks’ contribution to system-wide distress analysing a panel of 367 publicly listed banks from 47 countries over the period 2007-2020. Stakeholder theory and theory relating social performance to expected returns in which enhanced investments in corporate social responsibility mitigate bank specific risks explain our findings. However, only better corporate governance represents a tool in reducing bank interconnectedness and maintaining financial stability. The results are robust to alternative measures of systemic risk, both contribution and exposure, as well as when estimating a static model. Our findings stress the importance of integrating banks’ ESG disclosure into regulatory authorities’ supervisory mechanisms as qualitative information. |
|
Hua Cheng, Kishore Gawande, Steven Ongena, Shusen Qi, Get beyond policy uncertainty: Evidence from political connections, Journal of Financial Stability, Vol. forthcoming, 2023. (Journal Article)
Although policy uncertainty has drawn regulators’ attention in the aftermath of the global financial crisis, little is known on how to alleviate its adverse effects. In this paper, we examine the role of political connections in mitigating the detrimental impact of policy uncertainty on banks. Our estimates show that banks are more cautious when facing policy uncertainty, but that the effect is partially alleviated when banks are politically connected. For an increase of one standard deviation in policy uncertainty, connected banks maintain a loss provision to loan volume ratio that is almost seven percent lower compared to their unconnected peers. These findings are robust to a geographical regression discontinuity setting, as well as to a placebo test. Lastly, the mitigating role of political connections is driven mainly by smaller banks and periods of stricter banking regulations. |
|
Filip Golubovic, Do price changes in the real estate market affect banks' stock performance? Compqarison between banks in the U.S., the euro area, and Switzerland, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
By analyzing the changes in the residential real estate market, including the U.S., the euro area, and Switzerland, analyses are performed to establish a link between two important industries. A contribution to the literature is a comparison between the three regions of primary interest. Including the exogenous shock from the Covid-19 pandemic enriches the study from an additional perspective. Using various quantitative models for panel data regressions on a combined and individual region level, the Fixed Effects model suggests a positive relation between the price changes in residential real estate and changes in the stock prices of individual banks in the U.S. and the euro area. No evidence of a relationship in the Swiss market is found. Including the Covid-19 pandemic as a unique situation, further insights are observable. The Covid-19 period suggests a statistically significant higher effect on the relationship than before the pandemic for the U.S. and the euro area market. In contrast, for the Swiss market, the opposite effect is observed. Nevertheless, controlling for macroeconomic changes, market variations, and bank-specific variables, only correlations can be justified by the results. Due to endogeneity concerns, no causal relationship can be derived from the underlying data and methodology applied to the study. In section 1, an introduction introduces the hypotheses tested and the main idea. Section 2 represents the literature review, where the most critical findings of other published papers are presented and majorly impact the work. Further, an overview of essential variables for the analyses is displayed in section 3, followed by an explanation of the data used for the analyses and the methodology applied to all the analyses in section 4. Section 5 presents the main results and the findings, whereas section 6 rounds up the thesis with a meaningful conclusion. In the end, in section 7, there is an insight into the limitations of the work and an outlook for future potential research in this direction.
Keywords: |
|