The role of non-performing loans in the transmission of monetary policy
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1 The role of non-performing loans in the transmission of monetary policy Sebastian Bredl, Deutsche Bundesbank Disclaimer: This presentation represents the authors personal opinions and does not necessarily reflect the views of the Deutsche Bundesbank or its staff.
2 Research Question and Motivation o High stock of Non-Performing Loans (NPLs) considered to be one of the most pressing problems in the European (and Euro area) banking system (see for instance recent discussion on the regulatory treatment of NPLs or ESRB (2017)). o high NPLs also impair monetary transmission, as credit supply remains heavily influenced by the lending behavior of banks. (IMF Staff discussion note, 2015). o Research questions: Does the stock of NPLs affect lending rates for new loans beyond its effects on (currently observed) bank capital in the Euro area (see also Albertazzi et al., 2016)? If yes, through which channel(s)? Page 2
3 Potential channels through which NPLs might influence lending behavior o NPLs might be considered an indicator for anticipated falls in capital (Hernando and Villanueva, 2014); (net NPLs). o NPLs might induce investors to demand higher risk premia for providing funds to the bank; either due to further future expected losses (net NPLs) or due to penalty for bad management (gross NPLs). o NPLs might influence the institutional memory (Berger and Udell, 2004); (gross NPLs). Split NPLs into net NPLs and LL-reserves (both variables highly correlated, however effect seems to be separable). Check whether impact of Net-NPLs and LL-reserves on lending rates changes, when market funding costs are controlled for. Page 3
4 Data I o Data sources: IMIR-data: information on lending rates CSDB: information on single bank bonds, used to generate indicator for cost of market funding on the single bank level. SNL (S&P Global Market Intelligence) / Bankscope (ORBIS Bank Focus): Information on NPLs, LL-reserves, regulatory capital and other balance sheet / P&L-statement items. o Different levels of consolidation: single bank, or even single branch level (imir, CSDB), vs. banking group level (SNL, Bankscope). Page 4
5 Data II o IMIR: SNL / Bankscope: CSDB: Banking group Parent company Subsidiary Foreign Branch Subsidiary o Costs of market funding for parent company are considered to be equivalent to costs for entire banking group. Page 5
6 Data III Total Nonvulnerable*** Single Banks (IMIR units) Sub- Parent Nonvulner- sidiaries Com- / Branpanieable* Vulnerable** Total Banking Groups Vulnerable ches Cross-Sections (N) Total observations (sum ) *Non-vulnerable countries include: AT, BE, DE, EE, FI, FR, LT, LU, LV, MT, NL and SK; **Vulnerable countries include: CY, ES, GR, IE, IT, PT and SI *** Non-vulnerable countries plus DK, GB and SE Page 6
7 Results Lending rates I (without Funding Costs) Dependent variable: Lending rate (loans to NFCs) GMM_2 GMM_1 GMM_2 GMM_1 LendingRate (-1) *** *** *** *** *** *** Gross_NPL_TA (-1) *** *** *** *** ** Gross_NPL_TA(-1)*OIS * Tier1_Ratio (-1) * ** Liq_Ratio (-1) ** *** ROA (-1) GDP_growth *** ** Unemployment Rate *** * *** GovBond_Spread *** *** *** *** Inflation ** *** *** # Observations # Cross Sectional Units # Instruments P_Hansen P_AR2 Year FE Year*Country FE Controls for IR-Fixation No No No No Yes Yes Yes Yes Yes Yes Yes Yes No No No No Yes Yes Yes Yes Yes Yes Yes Yes GMM_1: Only LendingRate(-1) instrumented, instruments collapsed GMM_2: All banking-group specific variables instrumented, instruments collapsed, only lags 2-5 used as instruments Page 7
8 Results Lending rates II (without Funding Costs) Dependent variable: Lending rate (loans to NFCs) GMM_1 GMM_2 GMM_1 GMM_2 Lending-Rate (-1) *** *** *** *** *** *** Net_NPL_TA (-1) *** *** *** *** ** * ** LL_Res_TA (-1) * * Net_NPL_TA(-1)*OIS ** * *** LL_Res_TA(-1)*OIS ** ** Tier1_Ratio (-1) ** ** Liq_Ratio (-1) * *** ROA (-1) GDP_growth *** ** Unemployment Rate *** * *** GovBond_Spread *** *** *** ** Inflation ** *** *** # Observations # Cross Sectional Units # Instruments P_Hansen P_AR2 Year FE Year*Country FE Controls for IR-Fixation No No No No Yes Yes Yes Yes Yes Yes Yes Yes No No No No Yes Yes Yes Yes Yes Yes Yes Yes GMM_1: Only LendingRate(-1) instrumented, instruments collapsed GMM_2: All banking-group specific variables instrumented, instruments collapsed, only lags 2-5 used as instruments Page 8
9 Model with Funding Costs vs. Model without Funding Costs Net NPLs (effect of mean increase between 2009 and 2015; including interaction term, OIS-rate=sample mean) Page 9
10 Robustness (Model including Funding Costs) I Results for Coefficients referring to net NPLs and LL reserves largely robust to alternative model specifications. Modell Net_NPL _ TA (-1) Benchmark LL_Res_ TA (-1) Including provisons over gross loans for single bank Net_NPL _ TA (-1) LL_Res_ TA (-1) Loan rate spread Net_NPL _ TA (-1) LL_Res_ TA (-1) Leverage Ratio instead of Tier 1 Net_NPL _ TA (-1) LL_Res_ TA (-1) Year*country FE N= *** N= ** N= *** N= *** *** ** *** *** GMM_ *** *** *** *** GMM_ ** * * Macro variables N= ** N= ** N= ** N= * * * * GMM_ ** * ** * *** *** * GMM_ Page 10
11 Robustness (Model including Funding Costs) II Net NPLs and LL reserves highly correlated, however results not overly sensitive to variations of the sample (Year * country FE) Page 11
12 Conclusion o In most specifications positive association between net NPLs and lending rates; LL-reserves tend to offset impact of net NPLs -> NPLs seem to be less relevant when adequately provisioned. o Funding Costs do barely affect relation between net NPLs and lending rates -> fits into anticipated further losses story. o Strength of pass-through from market- to lending-rates rather unaffected by NPLs, their effect comes through mark-up -> potential problem when further expansionary monetary policy stimulus cannot be easily achieved. o Analysis on single bank level takes macroeconomic conditions as given; general equilibrium effects of NPLs might be stronger. Page 12
13 Annex I: NPLs, Loan Loss Reserves, Provisions and Capital Asset side Loan Profit and Loss Liability side Capital Turns to NPL Gross NPL Capital 60 Net NPL Loan Loss Reserves 40 Loan Loss Provisions Page 13
14 Annex II: Results Lending rates III (without Funding Costs) Effect net NPLs (effect of mean increase between 2009 and 2015; OISrate=sample mean) Page 14
15 Annex III: Results Lending rates IV (without Funding Costs) Effect net NPLs + LL Reserves (effect of mean increase between 2009 and 2015; Assumption: Coverage Ratio=45%; including interaction term, OIS-rate=sample mean) Page 15
16 Annex IV; Results Funding Costs I Dependent variable: Yield-to-maturity (YTM)_Spread GMM_1 GMM_2 YTM-Spread (-1) *** *** *** *** *** *** Gross_NPL_TA (-1) *** *** ** *** ** ** ** *** Tier1_Ratio (-1) Liq_Ratio (-1) * ** ** ROA (-1) GMM_1 GMM_2 GDP_growth ** ** Unemployment Rate GovBond_Spread *** *** ** ** Inflation ** *** *** # Observations # Cross Sectional Units # Instruments P_Hansen P_AR2 Year FE Year*Country FE Controls for Maturity No No No No Yes Yes Yes Yes Yes Yes Yes Yes No No No No Yes Yes Yes Yes Yes Yes Yes Yes Page 16 GMM_1: Only YTM-Spread (-1) instrumented, instruments collapsed GMM_2: All banking-group specific variables instrumented, instruments collapsed, only lags 2-5 used as instruments
17 Annex V; Results Funding Costs II Dependent variable: Yield-to-maturity (YTM)_Spread GMM_1 GMM_2 GMM_1 GMM_2 YTM-Spread (-1) *** *** *** *** *** *** Net_NPL_TA (-1) ** ** LL_Res_TA (-1) *** *** ** *** *** *** * Tier1_Ratio (-1) Liq_Ratio (-1) ROA (-1) GDP_growth *** *** Unemployment Rate GovBond_Spread *** *** ** ** Inflation ** *** *** # Observations # Cross Sectional Units # Instruments P_Hansen P_AR2 Year FE Year*Country FE Controls for Maturity No No No No Yes Yes Yes Yes Yes Yes Yes Yes No No No No Yes Yes Yes Yes Yes Yes Yes Yes Page 17 GMM_1: Only YTM-Spread (-1) instrumented, instruments collapsed GMM_2: All banking-group specific variables instrumented, instruments collapsed, only lags 2-5 used as instruments
18 Annex VI: Results Lending Rates (with Funding Costs) I Dependent variable: Lending rate (loans to NFCs) GMM_2 GMM_1 GMM_2 GMM_1 LendingRate (-1) *** *** *** *** *** *** Gross_NPL_TA (-1) *** *** *** ** * Gross_NPL_TA(-1)*OIS Tier1_Ratio (-1) * ** Liq_Ratio (-1) * *** ROA (-1) YTM_Spread ** * GDP_growth *** ** Unemployment Rate *** ** GovBond_Spread *** *** *** *** Inflation ** *** ** # Observations # Cross Sectional Units # Instruments P_Hansen P_AR2 Year FE Year*Country FE Controls for IR-Fixation No No No No Yes Yes Yes Yes Yes Yes Yes Yes No No No No Yes Yes Yes Yes Yes Yes Yes Yes GMM_1: Only LendingRate(-1) instrumented, instruments collapsed GMM_2: All banking-group specific variables except YTM_Spread instrumented, instruments collapsed, only lags 2-5 used as instruments Page 18
19 Annex VII: Results Lending Rates (with Funding Costs) II Dependent variable: Lending rate (loans to NFCs) GMM_1 GMM_2 GMM_1 GMM_2 Lending-Rate (-1) *** *** *** *** *** *** Net_NPL_TA (-1) *** *** *** ** ** * ** LL_Res_TA (-1) * * Net_NPL_TA(-1)*OIS ** * ** LL_Res_TA(-1)*OIS * ** Tier1_Ratio (-1) ** ** Liq_Ratio (-1) ** ROA (-1) YTM_Spread * *** ** GDP_growth *** ** Unemployment Rate *** *** GovBond_Spread *** *** *** *** Inflation ** ** *** # Observations # Cross Sectional Units # Instruments P_Hansen P_AR2 Year FE Year*Country FE Controls for IR-Fixation No No No No Yes Yes Yes Yes Yes Yes Yes Yes No No No No Yes Yes Yes Yes Yes Yes Yes Yes GMM_1: Only LendingRate(-1) instrumented, instruments collapsed GMM_2: All banking-group specific variables except YTM_Spread instrumented, instruments collapsed, only lags 2-5 used as instruments Page 19
20 Annex VIII: Model with Funding Costs vs. Model without Funding Costs LL Reserves (effect of mean increase between 2009 and 2015; including interaction term, OIS-rate=sample mean) Page 20
21 Annex IX: Related Literature o Recent findings based on IMIR-data suggest that NPLs affect markup of lending rates over MP-rates after controlling for capital (Albertazzi et al., 2016). o However, NPLs do not seem to strongly affect pass-through of MPrates or MP-shocks in the case of standard MP-measures (Albertazzi et al., 2016; Altavilla et al., 2016; Holton and Rodriguez d Acri, 2015). o Several papers find impact of NPLs on lending behavior, also after controlling for bank capital and borrower risk on the single country level (Jiménez et al., 2012; Burlon et al., 2016; Hernandez and Villanueva, 2014); however Accornero et al. (2017) do not find such an impact. o Babihuga and Spaltro (2014) do not detect impact of LL-reserves on costs of unsecured wholesale funding for Euro-area banks. Page 21
22 Annex X: Robustness (Model including Funding Costs) Net NPLs and LL reserves highly correlated, however results not overly sensitive to variations of the sample (Macro vars) Page 22
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