Capital Regulation, Bank Ownership and Bank Risks: Evidence from Central and Eastern Europe, and Asia

• Název práce v češtině: Capital Regulation, Bank Ownership and Bank Risks: Evidence from Central and Eastern Europe, and Asia
• Název v anglickém jazyce: Capital Regulation, Bank Ownership and Bank Risks: Evidence from Central and Eastern Europe, and Asia
• Klíčová slova: Bankovní riziko, vlastnická struktura, regulace kapitálu, střední a východní Evropa, asijské banky, panelová data, simultánní rovnice, model fixních efektů
• Klíčová slova anglicky: Bank Risks, Ownership Structure, Capital Regulation, Central and Eastern Europe, Asia Banks, Panel Data, Simultaneous Equations, Fixed Effects Model
• Akademický rok vypsání: 2014/2015
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Katedra ruských a východoevropských studií (23-KRVS)
• Vedoucí / školitel: doc. PhDr. Martin Gregor, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 18.09.2015
• Datum zadání: 18.09.2015
• Datum a čas obhajoby: 22.06.2016 00:00
• Místo konání obhajoby: IMS FSV Jinonice
• Datum odevzdání elektronické podoby: 20.05.2016
• Datum proběhlé obhajoby: 22.06.2016
• Oponenti: prof. Ing. Oldřich Dědek, CSc.

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Předběžná náplň práce

Tato práce zkoumá tři hypotézy ohledně vztahu mezi vlastnickou strukturou bank a podstupovaným rizikem, kdy regulace kapitálu slouží jako proměnná zprostředkující vliv vlastnické struktury. Empirická analýza využívá rovnic, panelových dat a modely instrumentálních proměnných (IV) na vzorku 192 bank ze střední a východní Evropy a regionů Asie během let 2005-2014. Práce začíná posouzením otázky, jak banky v obou regionech nastavují svou úroveň kapitálu a portfolio rizika v situaci minimální regulace kapitálu. Výsledky ukazují, že banky reagují na zvýšení regulace zvýšením množství kapitálu, což znamená i zvýšení bankovních rizik. Za druhé, pokud jde o dopady bankovní vlastnické struktury na podstoupené riziko, bylo zjištěno, že banky mající zahraniční vlastníky vykazují vyšší rizika než banky mající domácí vlastníky; nicméně, státem vlastněné banky jsou během předvolebních období mnohem stabilnější z hlediska rizikovosti aktiv. Vezmeme-li v úvahu tržní sílu uvedených bank, vlastnictví ze strany managementu či institucionálních investorů zvyšuje rizikovost aktiv, zatímco u státem vlastněných bank je tento vliv patrný pouze v průběhu volebního období. Zjištění také ukazují, že regulace kapitálu funguje ovlivňuje dopady vlastnické struktury a bankovních rizik, avšak rostoucí efekty lze prokázat pouze u státem vlastněných bank a u bank vlastněných managementem.

Předběžná náplň práce v anglickém jazyce

The aim of this thesis is to investigate the association of ownership structure and bank risk-taking as well as the effects of capital regulation. This study employs simultaneous equations, panel data and instrumental variables (IV) models on a sample of 192 banks from Eastern Central Europe and Asia Regions from 2005-2014. An assessment was made on how banks adjust their capital level as well as portfolio risks when there is a minimum capital regulatory ratio. The results indicate that firstly, banks react to the capital regulatory pressure by increasing capital and changes in capital and bank risk changes are positively related. Secondly, it is found that Foreign-owned banks have higher default risks than Domestic-owned banks; however, Government-owned banks are more stable in terms of asset risks measure during the year when there is election. When taking the market forces into account, in listed banks, insider owners and institutional owners have positive impacts on asset risks while positive asset risks on listed Government-owned banks only during the election. Finally, the findings also show that when capital regulation is taken as a moderating variable, it has influenced the impacts of ownership structure and bank risk, however, the increasing effects can only be proven for insider owners and government shareholders.