Published papers
Andrieş, A.M., Melnic, F., Sprincean, N., 2021. The Effects of Macroprudential Policies on Credit Growth. The European Journal of Finance, DOI: 10.1080/1351847X.2021.1939087.
In this paper, we assess the effectiveness of macroprudential policies in controlling short- and long-term credit growth. Using a sample of 414 banks located in 61 countries, we document that macroprudential policies manifest a stabilizing effect in the short run, reducing credit growth, with borrower-targeted macroprudential policies being the most effective in taming credit developments. However, in the long-term tight macroprudential policies enhance credit growth. In this case, country-level analysis shows that financial institution-targeted macroprudential policy is more effective than the instruments that target borrowers, whereas at the bank-level the opposite is true. In addition, using a difference-in-difference approach, we emphasize that there is heterogeneity in the relationship among macroprudential policy and credit growth across different types of countries, banking systems, policy regimes and banks. Our findings stress the importance of macroprudential instruments in limiting excessive lending, most notably borrower-based tools.
Bobiceanu, A.M., Nistor, S., 2021. The impact of coronavirus pandemic on the stock market reaction in the banking sector. The role of regulatory and supervisory framework across European Union members. Review of Economics and Business Studies 14(2): 41-64.
The purpose of this paper is to assess the impact of COVID-19 outbreak upon the stock prices of the banking sector in the European Union evaluating the responses of banks from different jurisdictions with different regulatory policies and tax regimes. Using an event study technique, we examine the abnormal returns across a significant number of banks. The results show a broadly negative response of the investors to the COVID-19 pandemic official announcement. However, we found significant evidence of differences between banks form distinct jurisdictions. The investors have a stronger negative reaction for the banks from non-euro area, as well as for the banks from peripheral and semi-peripheral countries. From a regulatory perspective, the investors have an enhanced adverse reaction for banks in jurisdictions where the activities restrictions and supervisory powers are lower, and where capital requirements are tighter.
Working papers
Berger, A.N., Nistor, S., Ongena, S. R. G., and Tsyplakov, S., 2022. Catch, Restrict, and Release: The Real Story of Bank Bailouts. Swiss Finance Institute Research Paper No. 20-45.
Bank bailouts are not “one-shot” events commonly described in the literature. These bailouts are instead dynamic processes in which regulators “catch” financially distressed banks; “restrict” their activities over time; and “release” the banks from restrictions at sufficiently healthy capital ratios. The “catch-restrict-release” approach is a global phenomenon, which we document using hand-collected data on capital injection and debt guarantee bailouts in the European Union (EU) over 2008-2014. We offer principles for socially-optimizing regulators to conduct “catch-restrict-release” capital injection and debt guarantee bailouts, formalize these principles in a theoretical model, and empirically find that EU bailouts are qualitatively consistent with social optimization.
Nistor, S., and Ongena, S. R. G., 2022. The Impact of Policy Interventions on Systemic Risk across Banks. Swiss Finance Institute Research Paper No. 20-101.
What is the impact of policy interventions on the systemic risk of banks? To answer this question, we analyze a comprehensive sample that combines an original set of bank-specific bailout events with balance sheets of key affected and non-affected European banks between 2005 and 2014. We find a positive and significant association of 'guarantees' with systemic risk, which is somewhat weaker for large banks and in the long run. The immediate influence of 'recapitalizations' is also somewhat different for large banks. 'Liquidity injections' are similarly positively linked with systemic risk, but the long run effect is mitigated for better capitalized or less profitable banks and when the regulator imposes restrictions like supervisory board intrusions, management pay limitations, and capital pay bans. Results are robust to accounting for a potential intervention selection bias and for alternative measures of systemic risk.
Farcas, I.G., and Nistor, S., 2022. The Impact of Culture on Government Interventions in the Banking Sector. Working paper.
How does the national culture influence the government interventions across the banking sector? We aim to answer this question, by analyzing a sample of European countries that experienced financial assistance from government during 2008-2018. We find that regulators are more likely to bail out banks in less masculine, less hierarchical, and higher affective autonomous countries. Moreover, when governments intervene, they provide a greater size of financial assistance in countries with these national cultural characteristics, especially if institutions are stronger and the supervisors are more independent. Results are robust to different methods of estimation, subsamples, and additional controls.
Bobiceanu, A. M., Fărcaș, I.G., Pece, A.M., 2022. Covid crisis effects on lending in the Romanian banking market.
Credit growth is an important indicator of the financial stability within a country. We aim to investigate this issue, by analyzing the credit growth in Romania during 2000-2022. We find that Covid crisis impacts positively and significantly credit growth. We bring new insights regarding the effects of macroeconomic variables like GPD growth, inflation, and long-term external debt service on credit growth. These results remain robust when we employ several categories of credit growth (e.g. by currency, by maturity, by type of credit) as dependent variables.
Bobiceanu, A. M., Fărcaș, I.G., 2022. Covid crisis effects on non-performing loans in the Romanian banking market. Working paper.
The Non-performing loans ratio (NPLs) is an important indicator of the financial stability of a certain financial institution. Therefore, it is crucial to analyze the possible determinants of NPLs ratio. We aim to investigate this issue, by analyzing the NPLs ratio in Romania during 2000-2022. We find that Covid crisis impacts negatively significantly NPLs ratio due to the implementation of stringent measures to the banking sector, but also to the relief measures offered to borrowers. We bring evidence that the economic environment can impact significantly NPLs ratio. The higher level of employment implies an increase in NPLs ratio. Other macroeconomic determinants of NPLs ratio are GDP growth and inflation. Further, our results show that there are also bank determinants of NPLs ratio such us Return on Assets (ROA) and Loan to Deposit ratio. These results remain robust when we employ total NPLS 90 days and NPLs growth rate as dependent variables.