Central bank research hub - Papers by Piotr Bańbuła
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Research hub papers by author Piotr BańbułaenOptimal level of capital in the Polish banking sector
http://www.nbp.pl/publikacje/materialy_i_studia/312_en.pdf
Narodowy Bank Polski NBP Working Papers by Piotr Bańbuła, Arkadiusz Kotuła, Agnieszka Paluch, Mateusz Pipień and Piotr WdowińskiOptimal level of capital in the Polish banking sector2019-01-01T00:31:02ZThis study presents estimates of the optimal level of aggregate Tier 1 capital ratio in the Polish banking sector. The analysis takes into account macroeconomic benefits of raising Tier 1 capital ratio and macroeconomic costs related to it. The main macroeconomic benefit from a higher capital captured in the study is a higher resilience of the banking sector and consequently a reduction in the likelihood of a banking crisis. The benefit of higher capital ratios is expressed as the product of a decrease in the likelihood of a crisis and the expected cost of a crisis. The latter was calibrated based on the literature review. The probabilities of crisis for different levels of capital were calculated based on probit models estimated on macro data and a simulation model reflecting some of the main features of the banking sector in Poland. The SVAR model estimated on data for the Polish economy was used to assess the scale of the slowdown in GDP growth due to a rise of capital ratios. The net effect of an increase of capital ratios, expressed as a percentage of GDP, reflects the difference between their expected benefits due to the reduction in the probability of a crisis and their economic costs in the form of a decrease in the expected GDP growth rate. The level of Tier 1 ratio, at which the net effect, i.e. the difference between benefits and costs of raising capital ratios, is the largest, is called optimal from a macroeconomic perspective. The results indicate that the optimal level of aggregate Tier 1 ratio is in the range of 11%-23% with the expected value derived from this analysis and the literature at the level of 18%.Optimal level of capital in the Polish banking sectorFull texthttp://www.nbp.pl/publikacje/materialy_i_studia/312_en.pdfArkadiusz KotułaAgnieszka PaluchMateusz PipieńPiotr WdowińskiPiotr BańbułaPiotr Bańbuła, Arkadiusz Kotuła, Agnieszka Paluch, Mateusz Pipień and Piotr Wdowiński2019Narodowy Bank Polski NBP Working PapersC25G01Early warning models of banking crises applicable to non-crisis countries
http://www.nbp.pl/publikacje/materialy_i_studia/257_en.pdf
National Bank of Poland Working papers by Piotr Bańbuła and Marcin PietrzakEarly warning models of banking crises applicable to non-crisis countries2017-01-01T00:25:07ZWe built Early Warning Models (EWM) for determining the optimal moment for build-up phase of the countercyclical capital buffer. For this purpose we estimate a number of early warning models based on the wide panel of countries. We test many potential variables from the early 1970s until 2014, their combinations, and the stability of their signals. Our setting includes country-specific information without using country-specific effects. This allows for direct application of EWM we obtain to any country, including those that have not experienced a banking crisis. Models with three explanatory variables outperform models with smaller number of variates. The probability of extracting a correct signal from best-performing EWM exceeds 0.9. We find that low levels of VIX tend to precede crises, and this was also true before 2006. This corroborates Minsky's hypothesis about periodic underestimation of risk in the financial sector. Other variables that generate signals with the highest accuracy and stability are those associated with credit growth, property prices and growth in the contribution of financial sector to GDP. This last finding suggests that substantial increases in measured value added of the financial sector seem to reflect augmented exposure to systemic risk, rather than welfare improvements.Early warning models of banking crises applicable to non-crisis countriesFull texthttp://www.nbp.pl/publikacje/materialy_i_studia/257_en.pdfPiotr BańbułaMarcin PietrzakPiotr Bańbuła and Marcin Pietrzak2017Narodowy Bank Polski NBP Working PapersE44G01G21