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Miary ryzyka systemowego dla Polski. Jak ryzyko systemowe wpływa na akcję kredytową banków?

Author

Listed:
  • Marcin Borsuk

    (Uniwersytet Kazimierza Wielkiego w Bydgoszczy)

  • Konrad Kostrzewa

    (Szkoła Główna Handlowa w Warszawie)

Abstract

Głównym celem artykułu jest przegląd kluczowych miar ryzyka systemowego opartych na danych rynkowych dla Polski i zweryfikowanie, czy mogą one służyć jako skuteczne narzędzie monitorowania i oceny poziomu ryzyka systemowego. Celem podrzędnym jest zbadanie wpływu ryzyka systemowego na akcję kredytową banków. W badaniu wykorzystano nowoczesne miary ryzyka systemowego skalkulowane na podstawie danych rynkowych z polskiego sektora bankowego. Aby ocenić ilościowe znaczenie powiązań mikrofinansowych, zastosowano model regresji panelowej przy użyciu estymatora LSDVC i system-GMM. W badaniu wykorzystano kwartalne dane panelowe obejmujące działalność banków komercyjnych na polskim rynku w latach 2007–2017. Wyniki przeprowadzonych badań wskazują, że wskaźniki ryzyka systemowego dobrze oddają poziom natężenia ryzyka w sektorze bankowym, ale nie generują sygnałów wyprzedzających kryzys. Materializacja ryzyka systemowego w istotny sposób przekłada się na spadek akcji kredytowej.

Suggested Citation

  • Marcin Borsuk & Konrad Kostrzewa, 2020. "Miary ryzyka systemowego dla Polski. Jak ryzyko systemowe wpływa na akcję kredytową banków?," Bank i Kredyt, Narodowy Bank Polski, vol. 51(3), pages 211-238.
    • Handle: RePEc:nbp:nbpbik:v:51:y:2020:i:3:p:211-238
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    More about this item

    Keywords

    ryzyko systemowe; polityka makroostrożnościowa; determinanty akcji kredytowej; ekonometria panelowa;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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