Three essays on Joseph Stiglitz, information asymmetry, and credit rationing

• Název práce v češtině: Tři eseje o Josephu Stiglitzovi, informační asymetrii a omezování úvěrů
• Název v anglickém jazyce: Three essays on Joseph Stiglitz, information asymmetry, and credit rationing
• Klíčová slova: Stiglitz, informační asymetrie, credit rationing, bankovnictví
• Klíčová slova anglicky: Stiglitz, information asymmetry, credit rationing, banking
• Akademický rok vypsání: 2010/2011
• Typ práce: rigorózní práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. Ing. Pavel Mertlík, CSc.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 07.02.2011
• Datum zadání: 07.02.2011
• Datum a čas obhajoby: 30.03.2011 16:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 11.02.2011
• Datum proběhlé obhajoby: 30.03.2011
• Oponenti: Mgr. Jan Čech

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Předběžná náplň práce

Tato práce obsahuje tři eseje vztahující se k dílu ekonoma Josepha Stiglitze. První esej popisuje Stiglitzův přínos k ekonomické teorii s důrazem na problémy spojené s informačních asymetrií, novou Keynesovskou a institucionální ekonomií, racionalitou a teorií trhů. Jsou popsány nedostatky neoklasické ekonomie a navrhnuta možná řešení. Závěrečná část shrnuje nejčastější kritiku Stiglitze.
Druhá esej aplikuje téma informačních asymetrií na diskusi, jestli současný stupeň ekonomického vývoje vede ke konvergenci nebo divergenci technologických a informačních úrovní. Závěr je, že ačkoliv globalizace ovlivňuje technologii i informace, nedochází ke konvergenci, kterou předvídají některé teoretické modely, a informační asymetrie zůstává významným faktorem v ekonomice.
Poslední esej propojuje teorii Stiglitze a Greenwalda o přidělování kreditu s novými českými daty z let 2007-2009. Data potvrzují, že dochází ke zvýšenému omezení úvěrů (credit rationing), zvyšují se informační asymetrie a transmisní mechanismus nefunfuje dobře během hospodářského poklesu. Docházím k závěru, že české banky zpřísňují prověřování klientů a přidělování kreditu, což vede k nejednoznačnému vývoji úrokové míry. Současná česká data tak mohou potvrzovat Stiglitz-Greenwaldovu měnovou teorii.



1. General Introduction 16
1.1. Structure of the work 18
2. Life and Work of Joseph Stiglitz 19
2.1. Joseph Stiglitz 19
2.2. Stiglitz’s contribution to the economic theory 20
2.3. Rationality and markets 22
2.4. Institutional economics 24
2.4.1. The Washington Consensus 27
2.5. New Keynesian economics 28
2.6. Critique of Joseph Stiglitz 29
2.7. Concluding remarks 33
2.8. References 36
3. Information asymmetry 42
3.1. Neoclassical economics 42
3.2. Theories of market 43
3.3. Economics of information 46
3.4. Information asymmetry 49
3.5. Applications of information asymmetry 50
3.6. Markets and information asymmetry 52
3.7. Information asymmetry and technology 56
3.8. Contemporary globalisation 57
3.9. Trade and developing countries 58
3.10. Theory of technology and information 60
3.10.1. Definition of technology 61
3.10.2. The Solow model 63
3.10.3. Total factor productivity 66
3.11. Contemporary evidence on convergence 67
3.12. Multinational companies and the government in technology and information asymmetry 69
3.13. Conclusion 71
3.14. References 73
3.15. Annex 77
3.15.1. The Solow growth model 77
3.15.2. R&D models 77
3.15.3. Assumptions about parameters 78
4. Banking crisis – Czech Republic case study 80
4.1. Introduction 80
4.2. New paradigm in monetary economics 81
4.3. Banking system 83
4.4. Credit rationing 85
4.5. Financial crisis 87
4.6. Loanable funds 94
4.7. GDP fluctuations 96
4.8. Analysis of the financial crisis impact on major banks in the CEE 105
4.9. Questions and focus 106
4.10. Raiffeisen International 108
4.10.1. Ownership structure (as of March 2010) 108
4.10.2. Key ratios 109
4.10.3. Stock evolution 113
4.10.4. Net profit 114
4.10.5. Country analysis 115
4.10.6. Credit analysis 118
4.11. Société Générale 122
4.11.1. Ownership structure 123
4.11.2. Key Ratios 123
4.11.3. Stock evolution 125
4.11.4. Net profit 125
4.11.5. Country analysis 126
4.11.6. Credit analysis 129
4.12. UniCredit 130
4.12.1. Ownership structure 130
4.12.2. Key ratios 131
4.12.3. Stock evolution 133
4.12.4. Net profit 134
4.12.5. Country analysis 135
4.12.6. Credit analysis 137
4.13. Erste Group 138
4.13.1. Ownership structure (as of March 2010) 138
4.13.2. Key ratios 139
4.13.3. Stock evolution 142
4.13.4. Net profit 144
4.13.5. Country analysis 145
4.13.6. Credit analysis 148
4.14. KBC 150
4.14.1. Ownership structure 151
4.14.2. Key ratios 151
4.14.3. Net profit 153
4.14.4. Stock evolution 154
4.14.5. Country analysis 154
4.14.6. Credit analysis 158
4.15. Comparison 162
4.15.1. Credit 162
4.15.2. Measures taken 163
4.16. Conclusion and limitation 164
4.16.1. Limitations of the thesis 165
4.16.2. Conclusion 165
4.17. Bibliography 168
4.18. Abbreviations 169
5. Appendix: Posudky diplomové práce 170




Figure 1: Credit institutions and their role in the economy. Source: Deutsche Bank, Roland Berger Strategy Consultants 83
Figure 2: Core and elementary functions of banks in modern economy. Source: Deutsche Bank, Roland Berger Strategy Consultants 84
Figure 3: Motives for holding money according to Keynes. Source: Stiglitz and Greenwald (2003) 85
Figure 4: Effect of recession on aggregate demand and supply curves. Source: Stiglitz and Greenwald (2003) 87
Figure 5: Czech National Bank’s interest rates. Source: CNB 88
Figure 6: Czech market interest rates. Source: CNB 88
Figure 7: Development of financial markets, FTSE, DAX, Dow Jones and CEE average (in percentage, January 1st, 2007=100%). Source: yahoo.finance.com, author’s calculations 89
Figure 8: The effect of a recession on real lending interest rates. Source: Stiglitz and Greenwald (2003, p.32) 90
Figure 9: Ex ante real interest rates in the Czech Republic. Source: Czech National Bank Inflation Report 2010 I 91
Figure 10: Loanable funds model, no credit rationing. Source: Stiglitz, Greenwald (2003) 94
Figure 11: Fixed capital formation. Source: CNB Inflation Report 2010 I 95
Figure 12: Newly extended loans. Source: CNB Inflation Report 2010 I 97
Figure 13: Barriers to growth on the Czech market. Source: CNB Inflation Report 2010 I, Czech Statistical Office 97
Figure 14: Interest rates on lending for house purchase, Czech data. Source: CNB Inflation Report 2010 I, Czech Statistical Office 98
Figure 15: Consumer’s confidence. Czech data, 2005 average=100. Source: (CNB, 2010), Czech Statistical Office 98
Figure 16: Indicator of development in the industry. Czech data. Source: CNB Inflation Report 2010 I 99
Figure 17: Business confidence. Czech data. Source: CNB Inflation Report 2010 I 99
Figure 18: Loans to households. Czech data. Source: CNB Inflation Report 2010 I 100
Figure 19: Loanable funds model with credit rationing. Source: Stiglitz and Greenwald (2003) 100
Figure 20: Expected return to bank according to Stiglitz, Greenwald (2003). 101
Figure 21: Interest rates on loans to non-financial corporations. Czech data. Source: CNB Inflation Report 2010 I 102
Figure 22: Structure of Czech GDP growth. Czech data. Source: CNB Inflation Report 2010 I 102
Figure 23: M1 and M2 (annual percentage changes). Czech data. Source: CNB Inflation Report 2010 I 103
Figure 24: Raiffeisen International ownership structure 108
Figure 25: Development of Key Ratios, Raiffeisen International 109
Figure 26: Raiffeisen International, Cost / Income Ratio for a country 111
Figure 27: Stock Price Chart (EUR), Raiffeisen International 112
Figure 28: Trading volumes of Raiffeisen International Share 113
Figure 29: Raiffeisen International Net Profit Evolution. 113
Figure 30: Growth of RI’s net profit in 2008 (Retail segment results), Source: Annual reports, author’s calculation 114
Figure 31: Growth of Raiffeisen International’s net profit in 2009 in comparison to 2008 115
Figure 32: Raiffeisen International’s net profit per country, 2007-2009 116
Figure 33: Structure of loans and advances to customers, 2009, Raiffeisen International 119
Figure 34: Structure of liabilities on the statement of financial position (in EUR bn), 2009, Raiffeisen International 120
Figure 35: Risk ratios, 2009, Raiffeisen International 120
Figure 36: Risk contribution of individual risk types to economic capital, 2009, Raiffeisen International 121
Figure 37: Société Générale ownership structure, Source: Annual reports and author’s calculations 122
Figure 38: Development of Key Ratios, Société Générale, Source: Annual reports and author’s calculations 123
Figure 39: Stock Price Chart (EUR), Société Générale 124
Figure 40: Trading volumes of Société Générale Share, Source: Annual reports and author’s calculations 124
Figure 41: Société Générale Net Profit Evolution, Source: Annual reports and author’s calculations 125
Figure 42: Societe Generale’s presence in the CEE (as of 2010) 126
Figure 43: Société Générale, Cost / Income Ratio for a country, Source: Annual reports and author’s calculations 127
Figure 44: Société Générale’s Net profit per country, 2007-2009, Source: Annual reports and author’s calculations 128
Figure 45: UniCredit Group ownership structure, Source: Annual reports and author’s calculations 130
Figure 46: Development of Key Ratios, UniCredit Group, Source: Annual reports and author’s calculations 131
Figure 47: UniCredit Group Cost / Income Ratio for a country, Source: Annual reports and author’s calculations 132
Figure 48: Price Chart, UniCredit Group –Share, Source: yahoo.finance.com 132
Figure 49: UniCredit Group Net Profit Evolution, Source: Annual reports and author’s calculations 133
Figure 50: Growth of UniCredit Group’s net profit in 2008 (Retail segment results), , Source: Annual reports and author’s calculations 134
Figure 51: Growth of UniCredit Group’s net profit in 2009 in comparison to 2008, Source: Annual reports and author’s calculations 135
Figure 52: UniCredit Group’s Net profit per country, 2007-2009, Source: Annual reports and author’s calculations 135
Figure 53: UniCredit Group balance sheet 2009/2008, Source: Annual reports 136
Figure 54: UniCredit Group loans and deposits brakedown 2009/2008, Source: Annual reports 136
Figure 55: Erste Group ownership structure, Source: Annual reports and author’s calculations 137
Figure 56: Development of Key Ratios, Erste Group, Source: Annual reports and author’s calculations 139
Figure 57: Erste Group, Cost / Income Ratio for a country, Source: Annual reports and author’s calculations 140
Figure 58: Price Chart, Erste Group Bank AG-Share, Source: Erste 142
Figure 59: Trading volumes of Erste Group Share, Source: Erste 142
Figure 60: Erste Group Stock Price, ATX, and DJ Euro Stoxx Banks Evolution (EUR) since January 2009, Source: Erste Group 142
Figure 61: Erste Group Net Profit Evolution, Source: Annual reports and author’s calculations 143
Figure 62: Growth of net profit in 2008 (Retail segment results), Source: Annual reports, author’s calculation 145
Figure 63: Growth of Erste Groups’s net profit in 2009 (Retail segment results), Source: Annual reports and author’s calculations 146
Figure 64: Erste Group’s Net profit per country, 2007-2009, Source: Annual reports and author’s calculations 147
Figure 65: Loans and advances to customers, structure and trend, in EUR m, Source: Erste Group annual report 148
Figure 66: Balance sheet structure/liabilities and total equity in EUR m, Source: Erste Group annual report 149
Figure 67: KBC ownership structure, Source: Annual reports and author’s calculations 150
Figure 68: Development of Key Ratios, KBC, Source: Annual reports and author’s calculations 151
Figure 69: KBC Net Profit Evolution. , Source: Annual reports and author’s calculations 152
Figure 70: Stock Price Chart (EUR), KBC 153
Figure 71: Growth of KBCs net profit in 2008 (Retail segment results), Source: Annual reports, author’s calculation 154
Figure 72: Growth of KBCs net profit in 2009 (Retail segment results), Source: Annual reports, author’s calculation 155
Figure 73: KBC’s net profit per country, 2007-2009, Source: Annual reports and author’s calculations 156
Figure 74: KBC, Cost / Income Ratio for a country, Source: Annual reports and author’s calculations 157
Figure 75: Impairment on loans and receivables (IFRS, m EUR), for KBC, Source: (KBC, 2010) 158
Figure 76: Credit cost ratio and Tier-I ratio for KBC group, Source: (KBC, 2010) 158
Figure 77: Loan and investment portfolio, (KBC, 2010) 159
Figure 78: Economic capital distribution, (KBC, 2010) 159
Figure 79: Loans and customer deposits (bn EUR), (KBC, 2010) 160

Předběžná náplň práce v anglickém jazyce

This thesis contains three essays related to the work of economist Joseph Stiglitz. The first essay describes the contribution of Stiglitz to economic theory by analysing problems of information asymmetry, new Keynesian and institutional economics, rationality, and market theories. Shortcomings of neoclassical economics are described and possible solutions are outlined. The last part of this essay summarizes the main critique of Stiglitz’s work.
The second essay applies the topic of information asymmetry by discussing whether the current level of economic development leads to convergence or divergence in the technology and information levels. The conclusion is that even though globalisation affects the level of technology and information, we do not see convergence as predicted by several theoretical models and information asymmetry remains an important element in the economy.
The last essay links the Stiglitz-Greenwald theory of credit rationing using recent Czech data from years 2007-2009. Data confirm that credit rationing increases, information asymmetry increases, and the transmission mechanism does not function well during economic decline. I conclude that Czech banks increase their screening of clients and consequently credit rationing in the times uncertainty leading to ambiguous development of interest rates. Recent Czech data can confirm Stiglitz-Greenwald monetary theory.