The macroeconomic costs of the bank tax

Marcin Borsuk, Joanna Przeworska, Dobromił Serwa

Abstract

Using bank-level data, we analyze the potential impact on bank profitability and lending practices of the recently implemented bank asset tax in Poland. To examine macro-financial linkages, we undertake an aggregate analysis to estimate the tax implications for economic activity. We link the results of a series of bank-level regressions to the specification of a macro-financial vector autoregressive model with a representation of the banking sector. We find evidence that the introduction of a new levy on financial intermediation impairs performance of the burdened institutions and has an adverse impact on the real economy through the lending channel.  

Link to be added soon

Overlapping Observations in Credit Risk Models

Dobromił Serwa

Abstract

Parameters in logistic regression models for probability of default are typically estimated using the maximum likelihood method. The aim of this paper is to verify whether the use of overlapping observations improves precision or causes deterioration of estimation results in these models. Our Monte Carlo simulations demonstrate that the difference between parameter estimates using all overlapping observations in a sample and only non-overlapping observations in a reduced sample is not statistically significant, but the variance of parameter estimates is reduced when overlapping observations are used.

https://www.erfin.org/journal/index.php/erfin/article/view/183/68