Theses and Dissertations

Issuing Body

Mississippi State University

Advisor

Miller, Jr., Thomas W.

Committee Member

Cline, Brandon N.

Committee Member

Highfield, Michael J.

Committee Member

Campbell, Randall C.

Other Advisors or Committee Members

Taboada, Alvaro G.

Date of Degree

8-9-2022

Document Type

Dissertation - Campus Access Only

Major

Business Administration (Finance)

Degree Name

Doctor of Philosophy (Ph.D)

College

College of Business

Department

Department of Finance and Economics

Abstract

The first chapter analyzes the impact of macroprudential policies on bank systemic risk worldwide. Using data from 63 countries over 2001-2017, I find strong evidence that macroprudential policies are effective in reducing systemic risk at the country level. The effectiveness of macroprudential policies differs across countries in the sample. Macroprudential policies are more effective in reducing systemic risk in countries with more advanced economic development, with a higher degree of concentration in the banking sector, and with less stringent micro-prudential regulations. Bank-level evidence suggests that bank size matters. The impact of macroprudential policies on constraining bank systemic risk is more pronounced for large banks. Results are robust to the use of instrumental variables to address potential concerns, and to the inclusion of additional controls to account for the impact of alternate tools that might be used to foster financial stability. These results have policy implications for effective conduct of macroprudential policies.

The second chapter examines the impact of macroprudential policies on private credit growth worldwide. Using data from 43 countries over 2001-2017, I confirm previous findings that borrower-targeted macroprudential policies (Loan-to-Value ratio and Debt-to-Income ratio) significantly reduce total private credit growth. Moreover, the impact of macroprudential policies on private credit differs across countries in the sample. Macroprudential policies negatively affect credit growth only in countries with less advanced economic development, with a lower degree of creditor protection, and without the existence of information sharing institutions. Results are robust to additional controls to account for the impact of alternate bank regulations and policies that might be used to constrain unsustainable credit growth.

The third chapter examines the impact of loan loss provisions regulations on bank income smoothing. Using a sample of 2,380 banks from 107 countries over the period 1995-2016, I document evidence that stricter loan classification regulation reduces bank income smoothing through loan loss provisions, especially for big banks. However, I do not find such impact of loan provisioning regulation. I also find evidence that stricter loan classification regulation is effective at reducing bank income smoothing because it encourages banks to recognize loan loss in a more timely manner.

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