Prociklički utjecaj regulacije financijskog tržišta na gospodarstvo

master's thesis

• Title (english): Procyclic impact of financial market regulation on the economy
• Author: Laura Kamenečki
• Mentor: Anita Pavković (mentor)
• Committee member: Ana Ivanišević Hernaus (predsjednik povjerenstva)
• Committee member: Branka Tuškan Sjauš (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Finance); Zagreb
• Defense date and country: 2021-12-22, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Regulacija financijskog sustava važna je kako bi se održala njegova stabilnost na mikro i makro razini, te je tako regulacija podijeljena na makroprudencijalnu i mikoprudencijalnu regulaciju. Mikroprudencijalna regulacija promatra svaku instituciju pojedinačno te regulira njihovo svakodnevno poslovanje, a makroprudencijalna regulacija se fokusira na međuzavisnost različitih financijskih institucija i tržišta sa pozicije ukupnog financijskog sustava.
Važnost regulacije na razini cjelokupnog financijskog sustava odnosi se i na regulaciju njegove procikličnosti. Procikličnost se odnosi na interakcije između financijskog sustava i stvarne ekonomije koje međusobno jačaju jedna drugu. Takve interakcije imaju tendenciju da pojačavaju amplitude poslovnog ciklusa, povećavajući time rizik za financijsku stabilnost. Postoje različiti faktori i čimbenici koji doprinose intenzitetu procikličnosti, a neupitnost njezinog utjecaja vidljiva je na primjeru krize 2008. godine.
Regulacija financijskog sektora predstavlja jedan od važnijih faktora procikličnosti koji ističe potrebu za revidiranjem trenutnih regulatornih okvira. U glavnom dijelu rada ističu se regulatorni zahtjevi koji doprinose procikličnosti financijskog sustava. Navodi se trenutni računovodstveni tretman bankarskog sustava uz posebno isticanje utjecaja računovodstvenih standarda na kreditne standarde i rezervacije po kreditima. U nastavku daje se detaljan pregled Basel II i Basel III regulatornog okvira, te se skreće pažnja na pozitivne promjene u Baselu III po pitanju procikličnosti u odnosu na Basel II.
Prikaz prijedloga za smanjenje procikličnog utjecaja regulacije prikupljenih iz relevantne literature navodi se u nastavku. Na posljetku dan je sažeti prikaz nekoliko empirijskih istraživanja koja se odnose na procikličnost kapitalnih zahtjeva, procikličnost rezerviranja za gubitke po kreditima te utjecaj novih mjera za zaštitne i protuciklične kapitalne slojeve. Konkretno dokazana je veća procikličnost Basela II u odnosu na Basel I, veća procikličnost rezerviranja za gubitke u zemljama euro područja u odnosu na druge države, te pozitivan utjecaj zaštitnih kapitalnih slojeva na protucikličnost i otpornost banaka.

Abstract (english)

The regulation of the financial system is important in order to maintain its stability at both the micro and macro level, and thus the regulation is divided into macroprudential and microprudential regulation. Micro-prudential regulation observes each institution individually and regulates their daily operations, and macroprudential regulation focuses on the interdependence of different financial institutions and markets from the position of the overall financial system.
The importance of regulation at the level of the entire financial system also refers to the regulation of its pro-cyclicality. Procyclicality refers to interactions between the financial system and the real economy that mutually reinforce each other. Such interactions tend to amplify business cycle amplitudes, thereby increasing the risk to financial stability. Due to the complexity of pro-cyclicality, there are various factors that contribute to its intensity, and the unquestionability of its impact is visible in the example of the 2008 crisis.
Financial sector regulation is one of the more important factors of pro-cyclicality, which highlights the need to revise the current regulatory framework. The main part of the paper highlights the regulatory requirements that contribute to the pro-cyclicality of the financial system. The current accounting treatment of the banking system is stated, with special emphasis on the influence of accounting standards on credit standards.. A detailed overview of the Basel II and Basel III regulatory frameworks is also provided. The differences between these two regulatory frameworks are particularly emphasized, and attention is drawn to the positive changes in Basel III in terms of pro-cyclicality in relation to Basel II.
Proposals for reducing the pro-cyclical impact of regulation collected from the relevant literature are offered. Finally, a brief overview of a few empirical studies related to the pro-cyclicality of capital requirements, the pro-cyclicality of loan loss provisions and the effect of capital buffers is given. Specifically, the greater pro-cyclicality of Basel II compared to Basel I is proven, as is the greater pro-cyclicality of loss provisions in euro area countries compared to other countries. The analysis also provides evidence of a positive effect of capital buffers on countercyclicality and the resilience of banks.

• Keywords: regulacija financijskog sektora; procikličnost; Basel II; Basel III; rezerviranja za gubitke po kreditima; financijska stabilnost; računovodstveni standardi
• Keywords (english): financial sector regulation; pro-cyclicality; Basel II; Basel III; loan loss provisions; financial stability; accounting standards
• Language: croatian
• URN:NBN: urn:nbn:hr:148:037355
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2022-01-11 23:08:14