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• W2480498861 abstract "Since the global financial crisis, there has been renewed focus on the analysis of sys-temic risk. Systemic risk refers to possibility that vulnerabilities across the financialsystem and between the financial system and the real economy will be triggered. Asa result, intermediation activities may be curtailed and a financial crisis may occur.There are a number of aspects to systemic risk and related financial stability analy-sis. First, imbalances and risk can accumulate in both the financial system and in thecomposition of economic activity during an economic upswing, due to either adverseincentives or myopia by economic agents. Second, macro-financial linkages and conta-gion channels between financial intermediaries not only amplify potential risk duringthe boom period, but also exacerbate the economic impact when the cycle turns, or ifthere is an adverse shock. This thesis focuses on two current issues in financial stabil-ity research for the banking sector, namely the analysis of bank funding risk during afinancial crisis and the detection of unsustainable property price movements. Fundingrisk and asset price bubbles, particularly in the commercial real estate market playeda significant role in the origins of both the Irish and the global financial crisis. Acrossthree chapters, this thesis presents original research on these topics using Irish dataas a statistical example.Chapter one examines the determinants of weekly corporate deposit levels in Irishbanks over the period March 2009 to August 2010. This sample includes the earlystages of the Irish banking crisis, which began in 2008. The global financial crisisresulted in Irish banks experiencing more acute funding dificulties than institutionselsewhere. Using a unique high-frequency database and drawing on both the financialcrisis and market discipline literature, the sensitivity of corporate depositors to move-ments in both idiosyncratic and systemic risk factors is tested. There is statisticalevidence that measures of risk for the Irish banking sector such as implied ratings andcredit default swap spreads can explain corporate deposit levels over the sample, val-idating the market discipline hypothesis. These results further provide an empiricallink between counter-party credit risk and bank funding risks. Additionally, tensionsin European inter-bank markets are found to negatively impact corporate depositsindicating contagion channels between funding markets during periods of systemicstress. The empirical relationship between daily corporate and retail deposits is alsoexamined. Although retail deposit flows move in the same direction as corporate de-posits, retail deposits appear to exhibit relatively higher inertia up to August 2010.Chapter one has been re-drafted from a co-authored policy-orientated research paperwith Kieran McQuinn which is available as a Central Bank of Ireland Research Tech-nical Paper (No.2/12) entitled Modelling the corporate deposits of Irish financialinstitutions: 2009-2010.Expanding the dataset to early-2014, chapter two models the dynamic behaviourof weekly customer deposits (i.e., both retail and corporate) held with Irish banks overthe period March 2009 to end-December 2013 using an ARDL(1,1) - GARCH(1,1)framework. Over the sample, which covers the Irish systemic banking crisis, weeklycustomer deposit flows are found to respond to measures of banking sector andsovereign risk which is consistent with the theory of market discipline among de-positors. Although the data cover resident and non-resident depositors, idiosyncraticand Irish-specific risk factors seem to have more explanatory power for deposit growth.Indicators of general stress in international financial markets are found to be statisti-cally insignificant. Once market-based risk factors are included in the model, no directmacro-economic infuence is found. Over the sample, statistical evidence of a regimeshift is found, with deposits switching from a high variance regime to a low varianceregime with the onset of an EU/ECB/IMF Programme of assistance for Ireland inearly-December 2010. Interestingly, evidence of a GARCH-in-Mean effect indicatesthat the conditional variance of customer deposits negatively affects deposit growthrates over the sample. An adverse reaction to risk as proxied by the conditionalvolatility would be consistent with fight-to-quality theories of deposit behaviour.Chapter three analyses price developments in the Irish commercial property mar-ket over the period 1985Q1 to 2012Q4 using time-series techniques. First, three dif-ferent statistical approaches are used to test if prices can be explained by fundamentaldeterminants such as income, interest rates and credit. Evidence of some deviationsbetween actual and fundamental prices over the sample period is found. Second, twopopular models of price misalignment from the stock price literature are used to testwhether these estimated misalignments between actual prices and fundamentals (i.e.,non-fundamental prices) suggest that there is an irrational fad or a rational bubble inIrish commercial property prices over the period under study. To distinguish betweenthese two models, regime switching methodology is used. The study funds evidenceof a number of periods where commercial property prices deviate from fundamentallydetermined values for a sustained period. The periods of estimated misalignment arefound to be broadly consistent across the various approaches. In testing between arational bubble and the irrational fad hypothesis, evidence of regime shifts over thesample provide some support for the presence of a bubble. However, the point es-timates of expected returns in each regime are not fully in-line with the theoreticalpredictions of the rational bubble theory. Therefore, the results are not conclusive infavour of the rational bubble hypothesis." @default.
• W2480498861 created "2016-08-23" @default.
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• W2480498861 date "2016-01-01" @default.
• W2480498861 modified "2023-09-23" @default.
• W2480498861 title "Financial Stability Models of the IrishBanking Sector: Deposit Flows andProperty Price Dynamics" @default.
• W2480498861 hasPublicationYear "2016" @default.
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