Microeconometrics of banking: methods, applications, and results
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2009
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 187 - 226 |
| Physical Description: | XIII, 234 S. graph. Darst. |
| ISBN: | 9780195340471 0195340477 |
Staff View
MARC
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| 245 | 1 | 0 | |a Microeconometrics of banking |b methods, applications, and results |c Hans Degryse ; Moshe Kim ; Steven Ongena |
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2009 | |
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Record in the Search Index
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Contents
1.
Introduction
3
1.1.
Motivation
for the Book
3
1.2.
Structure for the Book
4
2.
Why Do Financial Intermediaries Exist?
9
2.1.
Introduction
9
2.2.
Methodology
10
2.2.1.
Event Study Methodology
10
2.2.2.
Bootstrapping
13
2.3.
Evidence
14
2.3.1.
Loan Announcements
14
2.3.2.
Bank Distress/Merger Announcements
19
2.3.3.
Long-Run Impact of Bank Distress on Firm
Performance
20
3.
The Industrial Organization Approach to Banking
26
3.1.
Introduction
26
3.2.
Methodology: Measuring Banking Competition and
Market Power
27
3.2.1.
Traditional Industrial Organization
28
3.2.1.1.
Structure-Conduct-Performance
28
3.2.1.2.
Studies of Bank Efficiency
30
Contents
3.2.1.3.
Studies
of
Economies
of Scale
and Scope
32
3.2.2.
New Empirical Industrial Organization
33
3.2.2.1.
Panzar and
Rosse
(1987) 34
3.2.2.2.
The Boone
(2008)
Competition
Indicator
36
3.2.2.3.
Conjectural-Variations Method
37
3.2.2.4.
Structural Demand Models
40
3.2.2.5.
Other Structural Models
41
3.2.2.5.1.
Sunk-Cost Models
41
3.2.2.5.2.
Structural Models of Entry
42
3.3.
Evidence
44
3.3.1.
Market Structure and Conduct
44
3.3.1.1.
Loan Markets
44
3.3.1.1.1.
Local Markets
44
3.3.1.1.2.
Multimarket
48
3.3.1.2.
Deposit Markets
49
3.3.1.2.1.
Local Market
49
3.3.1.2.2.
Multimarket
53
3.3.1.3.
Interplay between Markets
54
3.3.2.
Market Structure and Strategy: Product
Differentiation and Network Effects
54
4.
The Lender-Borrower Relationship
57
4.1.
Introduction
57
4.1.1.
Definitions
57
4.1.2.
Asymmetric Information
58
4.1.3.
Theory
59
4.1.4.
Switching Costs
60
4.1.5.
Relevance and Outline of This Chapter
61
4.2.
Methodology
52
4.2.1.
Duration Analysis
62
4.2.2.
Tobit and Count Models
65
4.2.3.
Nested Multinomial Logit
67
4.2.4.
Heteroskedastic Regression
70
4.3.
Evidence
72
4.3.1.
Determinants of Characteristics of Bank
Relationships
72
Contents xi
4.3.1.1.
Switching Probabilities and Costs
72
4.3.1.1.1.
Importance
72
4.3.1.1.2.
Magnitude
73
4.3.1.1.3.
Value for the Bank
74
4.3.1.2.
Duration
77
4.3.1.3.
Scope
80
4.3.1.4.
Number (and Concentration)
81
4.3.1.4.1.
Micro Factors
85
4.3.1.4.2.
Macro Factors
86
4.3.1.4.3.
Number versus
Concentration
92
4.3.1.5.
Intensity, Social Interaction, and
Bank Control
95
4.3.1.6.
Relationships in Deposit and
Interbank Markets
95
4.3.2.
Impact of Bank Relationships
97
4.3.2.1.
Impact on the Cost of Credit
97
4.3.2.2.
Impact on Collateral, Loan Size,
Credit Availability, and Maturity
105
4.3.2.3.
Jointness
105
4.3.2.4.
Impact of Other Relationship
Characteristics
107
4.3.2.5.
Impact on Other Financing
108
4.3.2.6.
Impact on Firm Performance
109
4.3.2.7.
Impact on Firm Assistance
115
4.3.2.8.
Market and Macro Impacts
115
4.3.3.
Strategy: Bank Orientation and Specialization?
115
4.3.3.1.
Theory
115
4.3.3.2.
Local Markets: Indirect and Direct
Evidence
118
4.3.3.2.1.
United States
118
4.3.3.2.2.
Other Countries
121
4.3.3.3.
National and
Cross-Country
Studies
121
5.
Equilibrium and Rationing in the Credit Market
123
5.1.
Introduction
123
5.2.
Evidence on Location: Conduct and Strategy
123
5.2.1.
Distance versus Borders
123
Contents
5.2.2.
Conduct
124
5.2.2.1.
Spatial
Rationing
124
5.2.2.2.
Spatial
Pricing
127
5.2.2.3.
Borders and Segmentation
128
5.2.3.
Strategy
129
5.2.3.1.
Distance and Branching
129
5.2.3.2.
Borders and Entry
129
5.2.3.3.
Borders and Mergers and Acquisitions
131
).
The Macroeconomic Consequences of Financial Imperfections
135
6.1.
Introduction
135
6.2.
Methodology
136
6.2.1.
Growth Regression
136
6.2.2.
Instrumental Variable Estimation
137
6.2.3.
Interaction Variables
140
6.3.
Evidence
141
6.3.1.
Banks and Growth
141
6.3.2.
Causality: Banks to Growth?
142
6.3.3.
Banks, Financial Markets, and Growth
143
7.
Individual Bank Runs and Systemic Risk
149
7.1.
Introduction
149
7.2.
Evidence
152
7.2.1.
Determinants of Banking Crises:
Marketand
Economic Conditions
152
7.2.2.
Implications of Banking Crises
154
7.2.3.
Regulation and Banking Crises
158
7.2.4.
Contagion
159
8.
Managing Risks in the Banking Firm
164
8.1.
Introduction
164
8.2.
Methodology: Value at Risk and Credit Risk
Measurement
165
8.2.1.
Assumptions
166
8.2.2.
Estimation Approaches
167
8.2.3.
Nontradable Loans, Herding, and VaR Use
167
8.3.
Evidence
169
8.3.1.
Default or Credit Risks
170
Contents xiii
8.3.2.
Liquidity Risks
170
8.3.3.
Market Risks
171
9.
The Regulation of Banks
174
9.1.
Introduction
174
9.2.
Methodology: Difference in Difference
175
9.3.
Evidence
176
9.3.1.
Regulation and Market Structure
176
9.3.2.
Regulation and Bank Conduct
177
9.3.3.
Regulation and Bank Strategy
178
9.3.4.
Regulation and Financial Stability and
Development
179
10.
Conclusion
181
11.
Epilogue: The Banking Crisis of
2007-2008 183
References
187
Index
227 |
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| isbn | 9780195340471 0195340477 |
| language | English |
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| spelling | Degryse, Hans Verfasser (DE-588)124264301 aut Microeconometrics of banking methods, applications, and results Hans Degryse ; Moshe Kim ; Steven Ongena Oxford [u.a.] Oxford Univ. Press 2009 XIII, 234 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. 187 - 226 Bank Ökonometrisches Modell Banks and banking Banks and banking Econometric models Microeconomics Finance Econometric models Bankgeschäft (DE-588)4112667-1 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Bankgeschäft (DE-588)4112667-1 s Ökonometrisches Modell (DE-588)4043212-9 s b DE-604 Kim, Moshe Verfasser aut Ongena, Steven Verfasser (DE-588)128814918 aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017627649&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Degryse, Hans Kim, Moshe Ongena, Steven Microeconometrics of banking methods, applications, and results Bank Ökonometrisches Modell Banks and banking Banks and banking Econometric models Microeconomics Finance Econometric models Bankgeschäft (DE-588)4112667-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4112667-1 (DE-588)4043212-9 |
| title | Microeconometrics of banking methods, applications, and results |
| title_auth | Microeconometrics of banking methods, applications, and results |
| title_exact_search | Microeconometrics of banking methods, applications, and results |
| title_full | Microeconometrics of banking methods, applications, and results Hans Degryse ; Moshe Kim ; Steven Ongena |
| title_fullStr | Microeconometrics of banking methods, applications, and results Hans Degryse ; Moshe Kim ; Steven Ongena |
| title_full_unstemmed | Microeconometrics of banking methods, applications, and results Hans Degryse ; Moshe Kim ; Steven Ongena |
| title_short | Microeconometrics of banking |
| title_sort | microeconometrics of banking methods applications and results |
| title_sub | methods, applications, and results |
| topic | Bank Ökonometrisches Modell Banks and banking Banks and banking Econometric models Microeconomics Finance Econometric models Bankgeschäft (DE-588)4112667-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Bank Ökonometrisches Modell Banks and banking Banks and banking Econometric models Microeconomics Finance Econometric models Bankgeschäft |
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