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Short Term Portfolio Investment and BI Rate: Do They Determine the Stabilization of Rupiah Exchange Rate in Indonesia?

Author(s): Chenny Seftarita / Language(s): English Issue: 1/2019

. This study aims to investigate the influence of short-term portfolio investments and BI interest rate on fluctuation of rupiah exchange rate in Indonesia. The data used is quarterly data from 2010 to 2016 collected from Indonesia Central Bank. Using the Autoregressive Distributed Lag (ARDL) method, the result showed that rupiah exchange rate was strongly influenced by shocks in the private debt securities, joint stock price index, and BI Rate, both in the long run and short run. Moreover, it is found that there was a short-run and long-run balance relationship between Short Term Portfolio Investments and BI rate against the rupiah exchange rate. Thus, it is recommended that in order to stabilize the exchange rate, it is necessary to maintain the stability of short-term portfolio investments.

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Do macroprudential policy instruments reduce the procyclical impact of capital ratio on bank lending? Cross-country evidence

Author(s): Małgorzata Olszak,Sylwia Roszkowska,Iwona Kowalska / Language(s): English Issue: 1/2019

In this paper, we ask about the capacity of macroprudential policies to reduce the procyclical impact of capital ratio on bank lending. We focus on aggregated macroprudential policy measures and on individual instruments and test whether their effect on the association between lending and capital depends on bank size. Applying the GMM 2-step Blundell and Bond approach to a sample covering over 60 countries, we find that macroprudential policy instruments reduce the procyclical impact of capital on bank lending during both crisis and non-crisis times. This result is stronger in large banks than in other banks. Of individual macroprudential instruments, only borrower-targeted LTV caps and DTI ratio weaken the association between lending and capital and thus act countecyclically. Generally, with our study we are able to support the view that macroprudential policy has the potential to curb the procyclical impact of bank capital on lending and therefore, the introduction of more restrictive international capital standards included in Basel III and of macroprudential policies are fully justified.

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Ragnar Nurkse and the international financial architecture

Author(s): Barry Eichengreen / Language(s): English Issue: 2/2018

This lecture discusses the work by the Estonian economist Ragnar Nurkse (1907–1959). It focuses on the early Nurkse, who was concerned with exchange rates, capital flows and what today we call the international financial architecture. It asks how many of the conclusions of International Currency Experience [Nurkse, R. (1944). International Currency Experience. Geneva: League of Nations.] survive. How many of Nurkse’s points about the interwar gold standard are confirmed by subsequent scholarship? How many of his points are still relevant to the international monetary problems of today?

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The Baltic banking system in the enlarged European Union: the effect of the financial crisis on efficiency

Author(s): José Luis Gallizo,Jordi Moreno,Manuel Salvador / Language(s): English Issue: 1/2018

The main objective of this study is to analyse the evolution of banking efficiency in the Baltic countries after their accession to the EU and during the financial crisis, and to check whether there are significant differences between these countries as a consequence of their particular characteristics. To that end, we have estimated the evolution of cost and profit efficiency in the Baltic countries in the context of the enlarged EU during the period 2000–2013 using Bayesian stochastic frontier models. Our results show the greater robustness of Estonian banking in terms of profits during the financial crisis in comparison to their neighbours. Additionally, Baltic banking has recovered its profit efficiencies very quickly after the financial crisis. However, cost efficiency is still at low levels in line with the other European countries.

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Zakres i cel działania komisji nadzoru finansowego w wypełnianiu funkcji nadzoru korporacyjnego w otwartych funduszach emerytalnych

Author(s): Adam Samborski / Language(s): Polish Issue: 108/2018

The relationships in which the open pension fund (OFE) and the general pension society (PTE) enter are very complex and take the form of an inter-organizational agency relationship. OFE has legal personality. It is equipped with only one body. PTE is the body of OFE. PTE is organized in the form of a joint-stock company. PTE creates, manages and represents OFE to third parties. The legislator did not provide the OFE with an body that would represent the interests of fund members. Therefore, on the basis of laws, significant supervisory powers over the activities of open pension funds assigned to the Financial Supervision Authority (KNF). The scope of KNF’s tasks was defined very broadly and divided into typically supervisory, analytical, educational, cooperative and informational tasks. The deliberations at work were embedded in the positive theory of the agency, focusing on the mechanisms limiting the agency’s conflict. Governance mechanisms were defined as legal institutions whose purpose is to protect the interests of OFE members. It was assumed that in the OFE – PTE relationship, a member of an open pension fund is a principal and a general pension society is an agent. The aim of the study is to determine the place and role of the Financial Supervision Authority in the governance of open pension funds.

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Zmienność kursów najważniejszych kryptowalut alternatywnych na tle ceny bitcoina w latach 2016-2017

Author(s): Wawrzyniec Michalczyk / Language(s): Polish Issue: 523/2018

Celem artykułu jest dokonanie charakterystyki zmienności kursów najważniejszych kryptowalut alternatywnych (altcoinów) na tle bitcoina oraz wstępna ocena związków między nimi za pomocą współczynnika korelacji. Okres badawczy stanowią lata 2016-2017. Jako metodę zastosowano analizę statystyczną, uzupełnioną przez analizę literatury. Badanie potwierdziło, że najbardziej stabilną kryptowalutą jest bitcoin, co wiąże się z jego największą kapitalizacją i relatywnie długim okresem obecności na rynku. Widoczna przy różnych ujęciach, szczególnie w drugiej połowie badanego okresu, dodatnia korelacja pomiędzy cenami analizowanych walut wydaje się wynikać przede wszystkim z przyspieszenia tempa ich wzrostu. Brak jest z kolei uchwytnych na pierwszy rzut oka, wyraźnych i jednoznacznych związków kursów z ceną złota, ropy naftowej czy relacją euro względem dolara, co może potwierdzać oderwanie wartości walut wirtualnych od sfery realnej gospodarki.

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Sektor bankowy i sektor FinTech – współpraca czy realne zagrożenie dla sektora bankowego

Author(s): Mateusz Folwarski / Language(s): Polish Issue: 529/2018

Sektor FinTech w ostatnich latach i w kolejnych będzie kluczowym elementem wpływającym na zmiany strategii banków i ich modeli biznesowych. Wiodącymi instytucjami wpływającymi na rozwoju tego sektora były zazwyczaj banki. Niemniej jednak od 2009 roku to innowacyjne firmy (start-up), wdrażające innowacje finansowe, stały się kluczowymi podmiotami na tym rynku. Początkowo banki nie zauważały firm fintechowych lub nie chciały z nimi współpracować. Zmieniające się preferencje klientów, np. w zakresie płatności, regulacje (m.in. dyrektywa PSD II) wymuszają na bankach inny sposób postrzegania firm z tego sektora. Bardzo często można spotkać głosy o tym, że sektor FinTech jest bańką spekulacyjną, która będzie prowadziła do kolejnego kryzysu. Aczkolwiek analizy indeksu spółek informatycznych i jego relacji do głównego indeksu giełdowego S&P wcale nie potwierdzają tej tezy. Głównym celem badawczym jest ukazanie zmian w postrzeganiu firm fintechowych przez banki na świecie oraz analiza powiązań firm z sektora FinTech w Polsce z bankami.

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Dobór walorów oraz wyczucie rynku − umiejętności zarządzających funduszami inwestycyjnymi

Author(s): Dariusz Filip / Language(s): Polish Issue: 531/2018

Artykuł koncentruje się na ocenie umiejętności zarządzających portfelami inwestycyjnymi polskich funduszy akcyjnych. W badaniu wykorzystano stosunkowo dużą próbę badawczą, liczącą 87 podmiotów. Horyzont czasowy badania ustalono na okres 2000- -2015. Wyniki menedżerów oceniane były pod kątem umiejętności doboru walorów oraz wyczucia rynku. Otrzymane rezultaty wskazują na brak umiejętności w przewidywaniu tendencji rynkowych, mierzonych parametrami z modeli Treynora–Mazuya oraz Henrikssona–Mertona. Analiza z wykorzystaniem testu istotności dla wartości średniej, liczebności dodatnich i ujemnych wyników, jak również metod panelowych dla danych przestrzenno-czasowych nie dała jednoznacznych rezultatów co do istnienia umiejętności selekcji.

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Produkty strukturyzowane Alior Banku SA i ich efektywność

Author(s): Gabriela Golawska-Witkowska,Anna Rzeczycka,Ewa Mazurek-Krasodomska / Language(s): Polish Issue: 531/2018

Produkty strukturyzowane, realizując potrzeby inwestorów, dają szansę na osiąganie wysokich zysków, przy jednoczesnej możliwości korzystania z ochrony kapitału. Do niedawna produkty strukturyzowane w Polsce były skierowane głównie do inwestorów o zasobniejszych portfelach, w ramach oferty private banking, obecnie są coraz bardziej popularne i dostępne dla wszystkich. Stało się to za sprawą obniżenia minimum inwestycyjnego struktur. Mogą być więc alternatywą dla inwestorów, którzy do tej pory lokowali wolne środki pieniężne na lokatach bankowych. Celem pracy jest analiza i ocena mechanizmów funkcjonowania produktów strukturyzowanych i ich efektywności na rynku polskim na przykładzie Alior Bank SA.

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Grupowanie spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie według bet zmiennych w czasie

Author(s): Piotr Szczepocki / Language(s): English Issue: 2/2019

The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas.

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Polityka dywidendowa firm notowanych na warszawskiej Giełdzie Papierów Wartościowych

Author(s): Justyna Bogołębska / Language(s): English Issue: 2/2019

Dividend policy is created and formulated by companies. For this reason, the focus of the analysis is on the message conveyed by the information on the dividend payout, the relationship between the dividend and financial indicators, the continuity of the payout and the amount of the dividend itself. Decisions on the dividend payment include two basic issues: what portion of profits should be paid out over a certain period of time and whether the company should maintain a steady and stable growth rate. If a steady and stable growth rate is maintained, then the level of earnings will increase from year to year. This phenomenon is confirmed by the growing number of companies paying dividends. The purpose of the article is to indicate significant differences in stock prices before the dividend payment and after the dividend payment, and to indicate significant differences in stock prices before the announcement of the dividend right and after the announcement of the dividend right.

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Zmiany w wynikach działalności banków jako efekt fuzji i przejęć: przykład Polski

Author(s): Katarzyna Budny,Joanna Krasodomska,Katarzyna Świetla / Language(s): English Issue: 2/2019

This study investigates the influence of M&A on the performance of banks operating in Poland. We use a sample of 14 transactions that occurred in the Polish banking sector from 2001 to 2015. Our data set includes pre and post-merger accounting information covering a period of two years before and after the merger. We follow Pilloff’s [1996] approach to determine the average performance changes measured with ROAA and ROAE. According to the research results, M&As transactions seem to affect profitability as both ROAA and ROAE means change. However, these changes do not follow the same trend. The correlations between the acquirer’s pre-merger weighted performance measured with ROAA and ROAE and merger-related changes in performance are significant and negative. The same situation is observed as regards the target pre-merger weighted performance measured with ROAE and merger-related changes in performance. The results also suggest that large acquirers are associated with less successful M&A.

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Debtors' asset size and practitioners’ appointments within insolvency procedures in Croatia

Author(s): Domagoj Sajter / Language(s): English Issue: 1/2019

This paper aims to answer the following research question: what is the common debtors’ assets size within the insolvency proceedings in Croatia, and what is the relation of the size of the assets to the appointment system? The goals and purpose are to deliver a dynamic, analytical overview of the of appointment system of insolvency practitioners in the Republic of Croatia, and to study them in relation to the debtors’ asset size. The database of appointments, originally published by the Croatian Ministry of Justice, is here coupled with the annual financial reports data, which created an initial matrix of 32,840 appointments among cases with a total nominal value of 70.07 billion HRK (9.34 billion €). The results show that the Croatian insolvency system annually, on average, processes cases with a total value of approximately 10 billion HRK (1.33 billion €), which indicates the importance of this system for the economy in general, but also for the legal system which regulates it. Furthermore, for the first time in Croatia, the results provide public insight into quantitative indicators on a national level, which opens a new area for broader examination.

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Evaluation of the post-crisis EU banking network connectedness in the global context

Author(s): Renata Legenzova,Asta Gaigalienė,Otilija Jurakovaite / Language(s): English Issue: 1/2019

Research background: The global banking network has been undergoing structural changes since the recent financial crisis. Previous studies on connectedness of global banking network during post-crisis period revealed the trends of regionalization and segmentation. Our previous research has also shown that during post-crisis period the level of regionalization within the EU banking network has increased; the network became more clustered and more decentralized. This paper continues our research of structural changes of EU banking network during post-crisis period by adding a global context and questioning the connectedness of EU banking network within global banking system. Purpose of the article: The aim of the paper is to evaluate the EU banking network’s connectedness in the global context during the post-crisis period. Methods: network analysis method and data on yearly flows of BIS bilateral interbank cross-border claim were used to evaluate the connectedness of global and EU banking systems. Findings & Value added: Evaluation of the global banking network’s connected-ness revealed that global banking network density decreased by 4.50 %, suggesting that connectedness is decreasing, but it is happening slowly. Structural changes in the global banking network did happen during post-crisis period with regards to out-degree, betweenness and closeness centrality indicators. In the global context, the EU banking network became more connected during post-crisis period. The EU banking network was regionalized in 2011, but this regionalization disappeared in 2015, as the level of intraregional density decreased in 2015 and became lower than the interregional density. This research contributes to previous research in a way that it applies intraregional and interregional network density measures for evaluation of the EU banking network’s connectedness, and analyses it as a subset of the global banking network.

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Does Corporate Governance Support Efficiency in Banking Business? Evidence from European Systemic Banks

Author(s): Iustina Alina Boitan,Dan Costin Nitescu / Language(s): English Issue: 05/2019

The paper addresses bank governance and efficiency in an integrated manner, providing new findings and insight for future policy. The analysis gravitates around a representative set of financial institutions, comprising of all the Global Systemically Important Financial Institutions currently monitored by the European Banking Association. The empirical study had been developed on several complementary stages. Firstly, we applied a non-parametric approach to compute the technical efficiency which indirectly measures banks’ managerial efficiency in conducting the banking business. Secondly, we performed a panel data regression to uncover whether banks’ managerial efficiency is determined by boards of directors characteristics in terms of size, independence and gender diversity. Thirdly, we employed a panel data regression with fixed effects to assess if managerial efficiency and board’s features have an impact on several bank-level and banking system-level financial indicators. The findings show that managerial efficiency and banking indicators are determined by boards’ characteristics.

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Cooperative Banks’ Business Model at the Crossroads between Financial Performance and Societal Involvement

Author(s): Teodora Cristina Barbu,Iustina Alina Boitan / Language(s): English Issue: 02/2019

In the aftermath of the financial crisis the European financial system, particularly banks, still struggles to recover the lost public confidence. Ethical financial behavior and customer centricity have gained weight, not only from the viewpoint of banking customers, but also from international organizations’ one. The paper aims at analyzing the strengths and challenges associated with a different banking model, namely the cooperative banks’ one, in terms of its ability to maintain its genuine, cooperative principles. The paper provides a comprehensive insight into the intrinsic financial indicators and their evolution over time. The descriptive statistics analysis comprises the 23 member organizations of European Association of Co-operative Banks, which represent the cooperative banks operating in EU countries, to have a complete picture of their positioning, in terms of market share, liquidity, capitalization and contribution to the domestic financial depth. Secondly, we conducted an exploratory approach named Cluster Analysis, for two years of reference, in order to identify most resembling business models and gather them in the same cluster. The results emphasized which cooperative member organizations still follow the original cooperative business model and mission, and which of them have migrated towards a more commercial banking one.

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Low Price Anomaly in M&A Transactions

Author(s): Radosław Pastusiak,Magdalena Jasiniak,Anna Maria Pluskota / Language(s): English Issue: 02/2019

Low price anomaly describes the phenomenon in which low-priced stocks grow faster than high-priced stocks and generate higher rates of return. The aim of this article is to verify the existence of low price anomaly on the example of mergers and acquisitions of European companies. The authors’ proposal was to analyze this phenomenon in case of stocks up to 1 euro and above 100 euro. Authors proved that rate of returns differ according to price what corresponds to the literature. The study shows that in case of M&A it is more likely that the investors will gain when purchasing stocks of overtaking companies valued up to 1 euro, than those valued above 100 euro. Investments in low-priced stocks are more likely to generate higher profits than investments in high-priced stocks, however, they are also characterized by higher risk.

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Analysing Cross-currency Basis Spreads

Author(s): Jaroslav Baran,Jiří Witzany / Language(s): English Issue: 10/2018

This paper investigates the drivers of cross-currency basis spreads, which were historically close to zero but have widened significantly since the start of the financial crisis. Credit and liquidity risk, as well as supply and demand have often been cited as general factors driving cross-currency basis spreads, however, these spreads may widen beyond what is normally explained by such variables. We suggest market proxies for EUR/USD basis swap spread drivers and build a multiple regression and a cointegration model to explain their significance during three different historical periods of basis widening. The most important drivers of the cross-currency basis spreads appear to be short- and long-term EU financial sector credit risk indicators, and to a slightly lesser extent, short- and long-term US financial sector credit risk indicators. Another important driver is the market volatility for the short-end basis spread, and the EUR/USD exchange rate for the long-term basis spread, and to a lesser extent, the Fed/ECB balance sheet ratio.

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Analysis of the EUR/USD exchange rate in binary-temporal representation

Author(s): Michał Dominik Stasiak / Language(s): English Issue: 2/2017

An exchange rate between two currencies can be described in a binary representation. The binarization algorithm transforms the exchange rate represented by tick data into a binary string. Each course change equal to a given discretization unit is assigned a binary value indicating the direction of the change. The performed statistical analysis confirms the existence of a correlation between previous course changes and the probability of future direction of the changes. In order to conduct a more detailed analysis of the exchange rate in a binary representation, each shift in the trajectory can be assigned a parameter representing the duration of the change. Depending on the current market dynamics, course trajectory changes may occur at different moments in time. The main goal of the presented research is to verify the existence of any dependences between the duration of a change and the probability of future direction of the change.

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The control of the banking sector concentration in Poland – legal and economic aspects. Selected issues

Author(s): Krystyna Nizioł / Language(s): English Issue: 4/2018

The paper aims to analyse selected legal and economic issues connected with control of concentration in the banking sector in Poland. The antitrust law aims to counteract the monopolisation of the market. Undertakings, including banks, can take actions which lead to mergers or takeovers which can strengthen the market power of some of them. The antitrust authority has normative instruments to influence the market in order to counteract its monopolisation. These instruments usually concern control of the concentration of companies (also banks). In Poland, the antitrust authorities (the President of the Office of Competition and Consumer Protection – UOKiK) also have a legal instrument which can counteract the anticompetitive actions of banks. Because of the specific features of the financial market and financial services, general characteristics of these issues are presented in the paper. Moreover, the methods of measurement and aims of control of concentration are analysed. The main legal instrument of limiting the concentration is connected with an administrative procedure. Therefore, general provisions of these procedures are also shown in the paper. To illustrate the above-mentioned theoretical issues the statistical data concerning the level of concentration in the Polish banking sector is also analysed.

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