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2007 Lamfalussy Fellows
The 2007 Lamfalussy fellows are: - Pedro Matos, Assistant Professor of Finance, University of Southern California (USC) Marshall School of Business
Research project:
Does Bank Insider Owneship affect the Loan Market? International Evidence
His project focuses on the pricing and performance of loans granted or
arranged by banks that are simultaneously insiders (i.e., hold equity
stakes) in the firms they are financing around the World. He plans to
use a large worldwide sample of loans granted by the 500 largest banks
in the world and study the impact of bank insider stakes on the loan
interest rates that banks charge to firms. He will first investigate
whether the existence of bank ownership in a firm spurs the incidence
of loans from the very same bank. In other words if the firms tends to
get more loans from banks which have a stake in the firm in comparison
to banks that do not have a stake. Next, he will investigate whether
the existence of a bank-firm relationship affects the terms of the loan
(interest rate charged, covenants, etc). In addition, he is interested
in the ex-post performance of these loans. This project will help to
understand better potential conflicts of interest in universal banking,
the type of banking which is prevalent in Europe. It addresses the
ECB-CFS network priority on financial system modernisation and economic
growth and also the one on EU accession, financial development and
financial integration.
- Judit Montoriol-Garriga
,
PhD Student, Universitat Pompeu Fabra (UPF)
Research project:
Lending Relationships and Bank Mergers
Her
project aims at studying the impact of bank mergers on lending
relationships by using data on bank-firm relationships in Spain. Do
bank mergers harm or benefit firm borrowers? And even more importantly:
Can one explain differential effects with firms' characteristics?
Moreover, this project will provide insights on three issues. First, on
the optimal number of bank relationships: 'overlap'? borrowers (firms
borrowing from the two merging banks) suffer an exogenous decrease in
the numbers of lenders. The author will explore whether these overlap
borrowers react to bank mergers by restoring their initial number of
bank relationships. The second issue is the impact of mergers on credit
conditions. Do overlap borrowers suffer more from bank mergers than
other borrowers? Third, the Fellow will explore the short run and long
run effects of bank mergers on the number of lenders and on credit
conditions. The results would provide insights on the heterogeneous
impact of mergers across borrowers, depending on whether they are
borrowing from the two merging banks, only one or none of them. This
project will help to understand the costs of bank mergers on the
availability of credit for small and medium firms. It is relevant for
the ECB-CFS network priority on bank competition and the geographic
scope of banking.
- Viorel Roscovan
,
PhD Student, Tilburg University, CentER Graduate School
Research project:
Does Bank Origin and Organization Matter for the Impact of Bank Loan Announcements on Firm Stock Prices?
His
proposal is on the following. Bank loans are a good signal for firms as
reflected in the stock market reaction of the borrower after the
announcement of the bank loan. The contribution to the loan
announcement literature will rely on answering the following main
questions: Do investors assess the quality of bank lending signals as a
function of bank specific characteristics? In particular, does bank
nationality/reach matter? And how does bank organizational structure
affect investors' reactions to bank lending signals? Moreover, this
research is of interest especially in the European context where
regulatory and economic borders do not coincide and bank identities and
reputation seem to matter. Hence, this project will help to understand
better the implications of European financial integration on retail
banking. It addresses the network priority on bank competition and the
geographical scope of banking.
- Klaus Schaeck
,
PhD Student, University of Southampton
Research project:
Competition Efficiency and Bank Soudness: Analysing the Mechanics
The
purpose of his project is to analyse empirically whether efficiency is
the driving factor behind the positive relationship between competition
and stability the recent literature has found. While there is a vast
body of literature on efficiency of financial institutions, the project
will add a new dimension to the literature on bank market structure,
competition and stability in that it will explicitly model the
underlying mechanics by which efficiency impacts upon stability. The
project will help to understand whether more financial competition can
bring more financial stability through higher banking efficiency and
how. It addresses the network priority on the relationship between
financial integration and financial stability.
- Xiaoyan Zhang
,
Assistant Professor in Cornell University
Research project:
International Stock Return Co-movement
Her
study focuses on the co-movements between the returns of
country-industry portfolios and country-style portfolios for 23
developed countries, 26 industries and 9 size and book-to-market styles
between 1980 and 2006. During this period, markets may have become more
integrated at a world level through increased capital and trade
integration. Also, a number of regional developments have likely
integrated stock markets at regional level. These developments include
the emergence of the euro, the increasing economic and financial
integration within the European Union and NAFTA. The first research
question addressed is whether any asset pricing models are able to
explain the co-movements observed in the data. The second research
question is whether there is any trend in the co-movements measures and
model implied co-movements measures. This project will help to
understand better international financial integration and addresses the
network priority on asset market linkages between Europe, the United
States and Japan.
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