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Esaays on Corporate Bankruptcy
Vychodil, Ondřej ; Münich, Daniel (advisor) ; White, Michelle J. (referee) ; Weill, Laurent (referee)
Research Journal Articles Working Papers Research in Brief Series Dissertations Other Publications Featured Article Dissertations Date: Wednesday, August 25, 2010 - 10:30 Ondřej Vychodil: "Essays on Corporate Bankruptcy" Dissertation Committee: Gérard Roland (chair) Libor Dušek (local chair) Evžen Kočenda Jan Hanousek Abstract: The dissertation consists of three chapters on corporate bankruptcy: In the first chapter (joint with Ondřej Knot), we develop a model of a debt-contracting problem under bankruptcy regimes differing by a degree of softness. In the model, the degree of softness is associated with the extent to which the absolute priority rule can be violated. We show that when the degree of softness can be set individually for each project, then the debtor's tendency to excessive risk-taking can be eliminated and the first best solution can be attained. When it is given exogenously by a bankruptcy law, then a completely tough law results in a lower distortion from the first best than a soft law with a moderate degree of softness. The second chapter documents that the recent Czech bankruptcy practice tended to delay the ultimate exit of a firm when it can be expected to have a harsher ex-post effect on the firm's employees. Bankruptcy duration is regressed on unemployment rate, size and other...
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Esaays on Corporate Bankruptcy
Vychodil, Ondřej ; Münich, Daniel (advisor) ; White, Michelle J. (referee) ; Weill, Laurent (referee)
Research Journal Articles Working Papers Research in Brief Series Dissertations Other Publications Featured Article Dissertations Date: Wednesday, August 25, 2010 - 10:30 Ondřej Vychodil: "Essays on Corporate Bankruptcy" Dissertation Committee: Gérard Roland (chair) Libor Dušek (local chair) Evžen Kočenda Jan Hanousek Abstract: The dissertation consists of three chapters on corporate bankruptcy: In the first chapter (joint with Ondřej Knot), we develop a model of a debt-contracting problem under bankruptcy regimes differing by a degree of softness. In the model, the degree of softness is associated with the extent to which the absolute priority rule can be violated. We show that when the degree of softness can be set individually for each project, then the debtor's tendency to excessive risk-taking can be eliminated and the first best solution can be attained. When it is given exogenously by a bankruptcy law, then a completely tough law results in a lower distortion from the first best than a soft law with a moderate degree of softness. The second chapter documents that the recent Czech bankruptcy practice tended to delay the ultimate exit of a firm when it can be expected to have a harsher ex-post effect on the firm's employees. Bankruptcy duration is regressed on unemployment rate, size and other...
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Does Greater Capital Hamper the Cost Efficiency of Banks?
Lešanovská, Jitka ; Weill, Laurent
The aim of our research is to analyze the relation between capital and bank efficiency by considering both directions of the Granger causality for the Czech banking industry. We use an exhaustive dataset of Czech banks from 2002 to 2013. We measure the cost efficiency of banks using stochastic frontier analysis. We perform Granger-causality tests to check the sign and significance of the causal relation between capital and efficiency. We embed Granger-causality estimations in the GMM dynamic panel estimator. We find no relation between capital and efficiency, as neither the effect of capital on efficiency, nor the effect of efficiency on capital is significant. The financial crisis does not influence the relation between capital and efficiency. Our findings suggest that tighter capital requirements like those under Basel III do not affect financial stability through the efficiency channel. Policies favoring capital levels and efficiency of the banking industry can therefore be designed separately.
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Measuring excessive risk-taking in banking
Podpiera, Jiří ; Weill, Laurent
In this paper writers propose a new approach to the assessment of excessive risktaking by a banking sector. They use the portfolio approach to assess the optimal risk-return combination of a bank’s portfolio, based on data for 32 categories of loans. It provides a benchmark for the optimality of the bank’s portfolio.
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Bad luck or bad management?: emerging banking market experience
Podpiera, Jiří ; Weill, Laurent
This paper addresses the question of the causality between non-performing loans and cost efficiency in order to examine whether either of these factors is the deep determinant of bank failures. Writers extend the Granger causality model developed by Berger and DeYoung (1997) by applying GMM dynamic panel estimators on a panel of Czech banks between 1994 and 2005.
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Granger Causality Evidence
Horváth, Roman ; Seidler, Jakub ; Weill, Laurent
This paper examines the relation between banks’ capital and liquidity creation. This issue is of interest to determine the potential impact of higher capital requirements for banks on their liquidity creation, which may have particular importance with new Basel III reform demanding from banks higher capital. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an exhaustive dataset of Czech banks from 2000 to 2010.
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