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Alin Andries
Former Member
Title
Dr.
Last Name
Andries
First name
Alin
Phone
+41 71 224 7755
Skype
andriesalin82
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1 - 5 of 5
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PublicationCredit booms and busts in emerging markets. The role of bank governance and risk managementWe investigate to what extent corporate governance and risk management mitigate the involvement of banks in credit boom and bust cycles. We study a unique, hand-collected dataset covering 156 banks from Central and Eastern Europe during 2005–2012. We document that stronger risk management is associated with more moderate pre-crisis credit growth but not with fewer credit losses in the crisis. With respect to bank governance, we find that a higher share of foreign members on the supervisory board is associated with less rapid credit growth in the pre-crisis period and a lower level of credit losses during the crisis period.Type: journal articleJournal: The Economics of TransitionVolume: 25Issue: 3DOI: 10.1111/ecot.12127
Scopus© Citations 23 -
PublicationStress-testing for portfolios of commodity futuresIn this paper, we perform stress-testing for a portfolio of commodity futures which mimics the dynamics of the DJ-UBS index. We identify extreme events that impacted commodity prices over time and look at correlation structures in a dynamic way, with copula functions. In line with Basel III financial regulations, we derive baseline, historical, and hybrid scenarios and discussed their advantages and shortfalls. We find that the financialization of commodity markets led to an increase in correlations and in the probability for joint extremes. However, we identify structural breaks in commodity markets that temporarily led to a breakdown of expected statistical patterns and of traditional dependence structures among commodities. This fact shows the need for forward-looking stress testing techniques, like hybrid and hypothetical scenarios, as encouraged by financial regulators.Type: journal articleJournal: Economic ModellingVolume: 50
Scopus© Citations 11 -
PublicationThe nexus between competition and efficiency: The European banking industries experienceIn this paper, we investigate competition in banking systems in the EU27 as a whole for the period 2004-2010, but also for old members' banking systems compared with new members' banking systems and for banking systems from countries member of euro zone compares with banking systems from countries non-member of euro zone. In order to investigate this issue, we estimate a non-structural indicator of banking competition, using the H-statistic indicator that is estimated using bank-level data. Also, we apply two tests of convergence, ?- and ?-convergence, for assessing competition evolution during the specified period. We want to fill the gap in the banking literature testing the validity of the Competition-Efficiency Hypothesis, analysing the impact of the banking competition measures on two alternative measures of efficiency, cost and profit efficiency, in the European banking systems in a Granger-causality manner. The results confirm us that in the EU the convergence process occur from the banking systems with higher competition level than the mean score of all countries. The evidence for all groups of countries, except non-euro zone group, where results are not statistically significant, confirm the Competition-Efficiency Hypothesis in terms of cost and profit efficiency.Type: journal articleJournal: International Business ReviewVolume: 23Issue: 3
Scopus© Citations 51 -
PublicationDecomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysisThis study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.Type: journal articleJournal: Economic ModellingVolume: 2013Issue: 31
Scopus© Citations 77 -
PublicationCredit Booms and Busts in Emerging Markets: The Role of Bank Governance and Risk Management( 2014)