Michael Pomeroy, Capital Financing Decision Making in the Euro Area, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2016. (Master's Thesis)
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Steven Ongena, Claire Célérier, Thomas Kick, Does the cost of Capital affect Bank Lending?, In: Restarting European Long Term Investment Finance. 2016. (Conference Presentation)
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Yalin Gündüz, Steven Ongena, Günseli Tümer-Alkan, Yuejuan YU, CDS and Credit: Testng the Small Bang Theory of the Financial Universe with Micro Data, In: American Economic Association, 2017 Annual Meeting. 2016. (Conference Presentation)
Does hedging motivate CDS trading and does that affect the availability of credit? To
answer these questions we couple comprehensive bank-firm level CDS trading data
from the Depository Trust and Clearing Corporation with the German credit register
containing bilateral bank-firm credit exposures. We find that following the Small Bang
in the European CDS market, extant credit relationships with riskier firms increase
banks’ CDS trading and hedging of these firms. Holding more CDS contracts of safer
firms leads banks to supply relatively more credit to them. Only if banks were properly
hedged before the Small Bang they take more risk. |
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Mintra Dwarkasing, Narly Dwarkasing, Steven Ongena, The bank lending channel of monetary policy: A review of the literature and an agenda for future research, In: The Palgrave Handbook of European Banking, Palgrave Macmillan, Basingstoke, UK, p. n/a, 2016. (Book Chapter)
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Diana Bonfim, Gil Nogueira, Steven Ongena, Sorry, we're closed: Loan conditions when bank branches close and firms transfer to another bank, In: Banco de Portugal-Working Papers 2016, No. 7, 2016. (Working Paper)
We study loan conditions when bank branches close and firms subsequently transfer to a branch of another bank in the vicinity. Such transfer loans allow us for the first time to observe the conditions granted when banks pool-price new applicants. Consistent with recent theoretical work on hold up in bank-firm relationships we find that transfer loans do not receive the discount in loan rates that prevails when firms otherwise switch banks. We hereby critically augment recent empirical evidence on dynamic cycles in loan rates. |
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Steven Ongena, José Luis Peydró, Neeltje van Horen, Shocks abroad, pain at home? Bank-firm level evidence on financial contagion during the recent financial crisis, IMF Economic Review, Vol. 63 (4), 2016. (Journal Article)
We study the international transmission of shocks from the banking to the real sector during the global financial crisis. For identification, we use matched bank-firm level data, including many small and medium-sized firms, in Eastern Europe and Central Asia. We find that internationally-borrowing domestic and foreign-owned banks contract their credit more during the crisis than domestic banks that are funded only locally. Firms that are dependent on credit and at the same time have a relationship with an internationally-borrowing domestic or a foreign bank (as compared to a locally-funded domestic bank) suffer more in their financing and real performance. Single-bank-relationship firms, small firms and firms with intangible assets suffer most. For credit-independent firms, there are no differential effects. Our findings suggest that financial globalization has intensified the international transmission of financial shocks with substantial real consequences. |
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Sanja Jakovljević, Hans Degryse, Steven Ongena, Monetary transmission and regulatory impacts: empirical evidence from the post-crisis banking literature, In: The handbook of post crisis financial modelling, Palgrave MacMillan Handbooks, New York, p. 18 - 41, 2016. (Book Chapter)
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Geraldo Cerqueiro, Steven Ongena, Kasper Roszbach, Collateralization, bank loan rates, and monitoring, Journal of Finance, Vol. 71 (3), 2016. (Journal Article)
We show that collateral plays an important role in the design of debt contracts, the provision of credit, and the incentives of lenders to monitor borrowers. Using a unique data set from a large bank containing timely assessments of collateral values, we find that the bank responded to a legal reform that exogenously reduced collateral values by increasing interest rates, tightening credit limits, and reducing the intensity of its monitoring of borrowers and collateral, spurring borrower delinquency on outstanding claims. We thus explain why banks are senior lenders and quantify the value of claimant priority. |
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Chunshuo Li, Steven Ongena, Bank loan announcements and borrower stock returns before and during the recent financial crisis, Journal of Financial Stability, Vol. 21, 2015. (Journal Article)
The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers has been decreasing during the two last decades with estimated two-day cumulative abnormal returns slipping from almost 200 basis points in the beginning of the 1980s to close to zero by the turn of the Century. We estimate excess returns before and after the onset of the most recent financial crisis. We find that while prior to August 2007 returns were indeed close to zero, afterwards returns jump back up to around 200 basis points. We surmise that in a booming credit market the certification of corporate borrowers by banks started to play a lesser role, while during the crisis the banks’ role was revitalized. Consistent with this interpretation we find that after August 2007 excess returns increase especially for loans with a longer maturity, and for smaller, levered, less profitable or lowly rated firms. |
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Sanja Jakovljević, Hans Degryse, Steven Ongena, A review of empirical resarch on the design and impact of regulation in the banking sector, Annual Review of Financial Economics, Vol. 7, 2015. (Journal Article)
We review existing empirical research on the design and impact of regulation in the banking sector. The impact of each individual piece of regulation may inexorably depend on the set of regulations already in place, the characteristics of the banks involved (from their size or ownership structure to operational idiosyncrasies in terms of capitalization levels or risk taking behavior), and the institutional development of the country where the regulation is introduced. This complexity is challenging for the econometrician, who relies either on single country data to identify challenges for regulation or cross country data to assess the overall effects of regulation. It is also troubling for the policymaker, who has to optimally design regulation to avoid any unintended consequences, especially those that vary over the credit cycle such as the currently developing macroprudential frameworks.
Expected final online publication date for the Annual Review of Financial Economics Volume 7 is November 6, 2015. Please see http://www.annualreviews.org/catalog/pubdates.aspx for revised estimates. |
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Sebastian C Moenninghoff, Steven Ongena, Axel Wieandt, The perennial challenge to counter Too-Big-to-Fail in banking: Empirical evidence from the new international regulation dealing with Global Systemically Important Banks, Journal of Banking and Finance, Vol. 61, 2015. (Journal Article)
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and designation events. We observe that the new regulation negatively affects the value of the newly regulated banks, yet that the official designation of banks as “globally systemically important” itself has a partly offsetting positive impact. A cross-sectional analysis of the valuation effects with respect to, for example, government ownership of banks supports the view that the positive reaction to these designations can be attributed to a Too-Big-to-Fail (TBTF) perception by investors. The fact that these valuation effects emerge from a regulation specifically designed to reduce the costs and risks of Too-Big-to-Fail demonstrates the inherently paradoxical nature of the new regulation. These results further suggest that even though the individual components of the regulation have been effective, revealing the identities of G-SIBs eliminated ambiguity about the presence of government guarantees, and thereby may have run counter to the regulators’ intent to contain the effects of TBTF. |
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Steven Ongena, Societal Fault Lines and Credit Risk, In: 14th International Conference on Credit and Evaluation. 2015. (Conference Presentation)
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Steven Ongena, Alexander Popov, Neeltje van Horen, The invisible Hand of the Government: Moral Suasion during the European Sovereign Debt Crisis, In: Conference "Tomorrow's Bank Business Model". 2015. (Conference Presentation)
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Redaktion, Steven Ongena, Crime and leniency, In: The Economist, 12 September 2015. (Media Coverage)
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Steven Ongena, Credit Ratings, In: 4th Conference on Credit Analysis and Risk Management. 2015. (Conference Presentation)
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Nicolas Tschuppert, FIDLEG und FINIG: Sicht der unabhängigen Vermögensverwalter, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
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Kevin Künzli, Implementing an Islamic banking system in Switzerland: Possible benefits and challenges, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
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Alen Trajkovik, Eine Untersuchung der Veränderung der Bankenlandschaft durch die Finanzkrise in der Schweiz im Vergleich zu europäischen Banken, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
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Lukas Müller, Impact of the additional Bank Capital Requirements of Basel III on Swiss Mortgage and Real Estate Pricing, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
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Sascha Bühler, Regulatory Announcements and their Impact to Stock Prices of Global Systemically Important Banks, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
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