Essays on firms and finance
- Autores: Alexandro Ruiz Pérez
- Directores de la Tesis: Samuel Bentolila (dir. tes.)
- Lectura: En la Universidad Internacional Menéndez Pelayo (UIMP) ( España ) en 2020
- Idioma: español
- Programa de doctorado: Programa de Doctorado en Economía y Gobierno por la Universidad Internacional Menéndez Pelayo
- Materias:
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- Resumen
This thesis aims to assess the impact of some of the most fundamental reforms of the financial system, including both reforms recently implemented, and others still being discussed. It attempts to do so by taking into account the macroeconomic implications of such reforms, owing to the emergence of the macroprudential approach to financial regulation as the new paradigm in the aftermath of the global financial crisis. This thesis is structured in an introduction, three main chapters, and a conclusion.
The first of the three main chapters develops a quantitative macroeconomic model that features endogenous bank failure and sovereign default risk. It studies the nexus between sovereign and banking crises, and evaluates the effectiveness of bank capital regulation in addressing it. In the model, bank failure contributes to an increase of sovereign default risk through the government bailout of bank creditors. Meanwhile, holding high-yield risky sovereign bonds may be attractive to banks protected by limited liability. By increasing banks’ failure risk and their funding costs, sovereign exposures hurt bank lending and contribute to further contractions in aggregate economic activity. Capital requirements shape banks’ incentives to invest in sovereign debt. More stringent capital regulation makes banks safer, weakening the sovereign-bank nexus. This comes at the cost of constraining the supply of credit.
The second one analyzes the implications of the shift in accounting standards for banks' loan loss provisioning to an expected credit loss approach, which imply an earlier recognition of credit losses.
This chapter develops a recursive ratings-migration model to assess the impact of different provisioning approaches. The main finding is that new forward-looking provisions lead to greater responsiveness of bank profits and regulatory equity capital to changes in aggregate conditions, which raises procyclicality concerns.
The third one extends the analysis in the previous chapter by developing a dynamic structural model of banking that captures the endogenous response of bank lending and voluntary equity buffers to changes in provisioning and capital requirements. The main result is that, in spite of the fact that banks react to the more cyclically-sensitive provisioning approaches by holding larger precautionary buffers of equity capital, expected loss provisions have a negative effect on lending, both in terms of the size of its contraction during recessions, as well as in the long term.
