2 JEL Classification: G21, G14 Key words: e-mail y-murakami@aria.ocn.ne.jp 1
The Effect of Bank Failure on Client Firms A Study on the Hanwa Bank s Failure By Yoshiko Murakami Abstract The financial theories on relationship banking and main bank system suggest that bank relationship has an economic value because banks can obtain private information of borrowers through their close and continued interactions with client firms. But some empirical studies on bank relationship in Japan have not supported such hypothesis. This paper examines the effect of Hanwa Bank s failure on unlisted client firms. Because no bank took over Hanwa Bank s lending business, the impact of its failure on its client firms might be more serious than that observed in other cases of bank failure. I analyze the data of unlisted firms in Wakayama Prefecture, Hanwa Bank was based in, by applying a sample selection model. I find that, in the short term after this failure, a decline in the profitability was significantly larger at firms who had Hanwa Bank as their main-bank. This result is consistent with the theoretical argument mentioned above that losing relationship with the main bank may increase cost of capital for unlisted firms at least temporarily through the loss of the information which had been gathered and accumulated within the main bank. JEL Classification: G21, G14 Key words: bank relationship, bank failure, small business finance 2
1990 1 2 2003 Hori 2005 1 2003 11 (2003 11 29 ) ( ) 2 2003 3 2005 3 17 18 3
2.1 2.1.1 3 Boot(2000) (1) (2) 4 3 2005 1, 2 4 4
Boot(2000) 2 5 6 2.1.2 7 Aoki and Patrick (1994) 8 1993 (1) (2) (3) (4) (5) 9 5 Dewatripont and Maskin(1995) Sharpe(1990) Rajan(1992) 6 7 [Aoki and Patrick,1994 (,1996:p2)] 8 Aoki and Patrick(1994) (1) (2) (3) nexus[aoki and Patrick,1994 (,1996:p18)] 9 19931992 5
10 2.1.3 11 12 13 2.2 2.2.1 10 1992 1985 2000 11 1992 (1988) (1993) (1996) (2003) 12 13 1996 6
14 Petersen and Rajan(1994) late payment Berger and Udell (1995) 15 2002 2003 2.2.2 16 (1) (2) (3) (1) (2) (3) 2.2.3 Yamori and Murakami 1999 TOPIX Brewer et al. 2003 14 Boot(2000) 2003 2005 2 15 Petersen and Rajan(1994) Berger and Udell (1995) L/Cs 16 1999 2000 1999 7
2003 Hori 2005 2003 Yamori and Murakami 1999 Hori (2005) 3.1 8
(1) (2) 17 3.2 2 18 1996 11 21 19 1998 1 3 1 77 838 146 46 80 60 4 17 18 1996 4.1 6.5 1997 19 102 9
44 23 16 15 3.3 ( ) 20 1996 11 1996 2 7 77 1997 838 3 20 10
21 3 2 1 2 509 22 23 Hori 2005 77 3 2 4.3 3 3 3 4 3 3 1 3 ROE 24 Hori 2005 21 77 77 95 11 96 10 22 23 (2003) 1990-2000 10 82.4% 22 3 1 24 HP Hori(2005) 11
12
3.4 3.4.1 ROE Hori 2005 ROE ROE 3 5 2 3 1 2 1997 ROE 25 Hori 2005 25 13
26 = β + (1) y 1 i x 1i 1i u 1 i = β + (2) y 2 i x 2i 2i w i = u 2 i y 2i y 2i (1) ROE (2) u 1 i w i 1 0 2 u 2i σ 1 2 x 1 i x 2i (1) β1i β 2i (1) t j ROE j=0,1,2 t 1 y 1 i 27 u 1i u 2i x 1i a. 3 ROE ( ) 28 b. c. d. ( ) 29 e. 1 2 3 3 26 Wooldridge(2002) (1992)(1997) 27 Hori(2005) ( ) 28 Hori(2005) 3 3 29 14
f. Hori(2005) (1) (5) ROE ROE 30 t j x 2 i (2) y 2i 31 x 1i Hori(2005) 32 x 1 i t 1 t 2 t 3 x 1i x 2i x 2i 3 6 (1) (2) ROE t ROE t+1 ROE t+2 t t+1 t+2 A B White(1980) 30 3.1 (1) (2) 31 32 (1) 3 t 3 15
16
5 ROE 2 3 2 3 t 1 ROE t 2 33 t 1 B t 1 1 A 5 3.4.2 ROE 1 ROE ROE ROE t t 3.4.1 (1) 3 ROE a (2) 33 1 1 + stata atanh = ln 2 ρ 1 ρ 17
3 7 34 5 B A 5 ROE 34 18
ROE 2 3 2 3 2 35 1 2 1 36 3 3 35 (4 ) 36 19
Hori 2005 (2) 2003 Hori 2005 Hori 2005 1993, pp59-79. 20
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