ESSAYS IN BANKING

ESSAYS IN BANKING

by Ugo Albertazzi

PhD. Dissertation, Université Libre de Bruxelles, June 2011

Director: Prof. Mathias Dewatripont

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Contents

1. Bank size loan maturity . . . 10

1.1 Summary . . . 10

1.2 Introduction . . . 10

1.3 The literature on the maturity of debt . . . 13

1.4 The description of the data . . . 15

1.5 The econometric analysis . . . 17

1.5.1 The regression model . . . 17

1.5.2 The role of guarantees . . . 18

1.5.3 The role of the loan portfolio composition . . . 19

1.5.4 The linearity assumption . . . 20

1.5.5 Adding interaction terms . . . 20

1.5.6 Robustness and extensions . . . 22

1.5.7 Conclusions . . . 27

2. Competition and Commitment in Banking . . . 54

2.1 Summary . . . 54

2.2 Introduction . . . 54

2.3 The literature on competition in banking . . . 57

2.4 The model . . . 60

2.4.1 The basic model . . . 61

2.4.2 The repeated model . . . 62

2.4.3 Competition and the SBC . . . 63

2.4.4 Competition and the ratchet effect . . . 66

2.4.5 Competition in banking and rms' risk-taking . . . 69

2.5 Conclusions . . . 73

3. Con icts of Interest and Incentives in Universal Banks . . . 77

3.1 Summary . . . 77

3.2 Introduction . . . 77

3.3 Common agency . . . 79

3.4 The model . . . 81

3.4.1 The social optimum . . . 85

3.4.2 Equilibrium with rewalls . . . 86

3.4.3 Equilibrium with one principal . . . 86

3.4.4 Equilibrium without rewalls . . . 87

3.4.5 Contract game (t = 0). . . 89

3.4.6 Equilibrium with a naive player. . . 93

3.5 Conclusions . . . 95

3.6 Appendix A . . . 99

3.7 Appendix B . . . 102

References . . . 103

Université Libre de Bruxelles and Banca d'Italia. Email: ugo.albertazzi@bancaditalia.it