Bakker, B. and C. Klingen, 2012, How Emerging Europe Came Through the 2008/09 Crisis: An Account by the Staff of the IMF’s European Department, IMF Publications, Washington D.C.
European Bank Coordination (“Vienna”) Initiative (EBCI), 2011, Report by the Public Private Sector Working Group on Local Currency and Capital Market Development.
Further background on the guidance can be found at http://www.fma.gv.at/en/companies/banks/special-topics/supervisory-guidance.html
If both numbers are positive, this implies a flow-LLSFR greater than 110 percent.
Some countries were dropped because of data quality and cross-country comparability issues. In particular, Russian banks are excluded from part of the analysis because the customer deposits data seem to follow a different definition from that in other countries in the region, leading to implausibly high LDRs. Bank Austria (a subsidiary of Italian bank Unicredit since 2005) and Hypo Group Alpe Adria (a subsidiary of German bank Bayerische Landesbank during 2007-2009) are considered “Austrian” throughout the whole period.
This mechanism could in principle be investigated using detailed bank-level supervisory data.
One of the medium-sized banks sold all its CESEE bank subsidiaries but one to Russian bank Sberbank during 2012Q1.
The 10 percentage point difference is an average value with significant dispersion across individual subsidiaries.
This finding is robust to a correction for Austrian banks’ mergers and acquisitions during 2006-2008, or to a decomposition of individual bank credit growth between a “safe” part (financed only by customer deposits) and an “unsafe” part (financed by other types of liabilities).
Because of lack of data availability at the time of the analysis, we are unable to include data for the change in asset quality during 2011. Yet, the loan loss provisioning rate kept deteriorating in 2011 in a number of CESEE countries, which leaves open the possibility that the contrast between the post-2008 performance of banks with a LDR smaller than 120 percent and those with a LDR in the (120 percent, 150 percent) range might be starker when a longer period is considered.