The Funding of Subsidiaries Equity, Double Leverage, and the Risk of BHCs
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1 1/7 The Funding of Subsidiaries Equity, Double Leverage, and the Risk of BHCs Discussion by Gong Cheng 1 2nd ACPR Academic Conference 2 December The views expressed hereafter are those of the authors and do not necessarily reflect the views of the ESM.
2 General appraisal 2/7 General appraisal This paper
3 General appraisal 2/7 General appraisal This paper focuses on an under-explored field with significant policy and market relevance: intra-holding group financing and its effect on holding companies risks
4 General appraisal 2/7 General appraisal This paper focuses on an under-explored field with significant policy and market relevance: intra-holding group financing and its effect on holding companies risks provides an extensive discussion on double leverage
5 General appraisal 2/7 General appraisal This paper focuses on an under-explored field with significant policy and market relevance: intra-holding group financing and its effect on holding companies risks provides an extensive discussion on double leverage follows a rigorous econometric analysis based on a number of different specification/estimation strategies
6 General appraisal 2/7 General appraisal This paper focuses on an under-explored field with significant policy and market relevance: intra-holding group financing and its effect on holding companies risks provides an extensive discussion on double leverage follows a rigorous econometric analysis based on a number of different specification/estimation strategies does not content itself with correlations but tries to uncover some degrees of causality (e.g. Granger causality, IV, etc.)
7 General appraisal 3/7 Key results A higher DLR xe(s) E(HC) is associated with/causes more volatile stock returns This relationship is non-linear, mostly driven by holding companies with a large DLR 100% Capital ratios and the global financial crisis could influence the market effect of DLR The type of subsidiaries matters: stock returns are more volatile when holding companies invest in bank subsidiaries
8 Comments 4/7 Main comments - specifications
9 Comments 4/7 Main comments - specifications Apart from the effect of the DLR, the specification and identification strategies condition some interesting results: The impact of regulatory capital and the crisis on the marginal effect of DLR: Capital dampens the marginal effect of DLR in OLS but reinforces it in the panel regression Panel regression: static? any serial correlation concerns?
10 Comments 4/7 Main comments - specifications Apart from the effect of the DLR, the specification and identification strategies condition some interesting results: The impact of regulatory capital and the crisis on the marginal effect of DLR: Capital dampens the marginal effect of DLR in OLS but reinforces it in the panel regression Panel regression: static? any serial correlation concerns? Potential collinearity issue: DLR and size might be highly correlated Useful to provide a correlation matrix of independent variables
11 Comments 4/7 Main comments - specifications Apart from the effect of the DLR, the specification and identification strategies condition some interesting results: The impact of regulatory capital and the crisis on the marginal effect of DLR: Capital dampens the marginal effect of DLR in OLS but reinforces it in the panel regression Panel regression: static? any serial correlation concerns? Potential collinearity issue: DLR and size might be highly correlated Useful to provide a correlation matrix of independent variables The impact of the crisis deserves further exploration Potential reverse causality? Banks (double) leverage up in the upturn because Risks were compressed Capital requirements (based on a VaR calculation) allow more leverage Is there a change of behaviour before and after the crisis?
12 Comments 5/7 Main comments - concepts
13 Comments 5/7 Main comments - concepts Dependent variable (stdev): a measure of risks or risk-taking? Stock returns are the result of BHC s operating and risk policies Stock returns also capture market volatility Are all BHCs in the sample publicly listed? What about unlisted companies?
14 Comments 5/7 Main comments - concepts Dependent variable (stdev): a measure of risks or risk-taking? Stock returns are the result of BHC s operating and risk policies Stock returns also capture market volatility Are all BHCs in the sample publicly listed? What about unlisted companies? To what extent does double leverage differ from leverage? Is DLR a proxy for leverage?
15 Comments 6/7 Main comments - policy and regulations
16 Comments 6/7 Main comments - policy and regulations Double leverage, a known suspect to regulators? Taking on double leverage would mean that the institution extends leverage beyond the allowed regulatory capital requirements
17 Comments 6/7 Main comments - policy and regulations Double leverage, a known suspect to regulators? Taking on double leverage would mean that the institution extends leverage beyond the allowed regulatory capital requirements Basel III (and Basel II) requires BHC to deduct from their own equity significant holdings of other financial intermediaries
18 Comments 6/7 Main comments - policy and regulations Double leverage, a known suspect to regulators? Taking on double leverage would mean that the institution extends leverage beyond the allowed regulatory capital requirements Basel III (and Basel II) requires BHC to deduct from their own equity significant holdings of other financial intermediaries Recent banking regulations (CRR) in Europe are even tougher Articles 36 and Double leverage de facto impossible
19 Comments 7/7 Minor comments Useful to provide additional information on the sample How many BHCs? How many subsidiaries on average? Some suggestions on the structure of the paper (to make the main story/results more salient) Section 2, which is useful for readers to understand the key concepts, is a bit too long Focus on one baseline regression + one or two most relevant alternatives
The Funding of Subsidiaries Equity, Double Leverage, and the Risk of Bank Holding Companies
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