This study investigates what impact mergers and acquisitions have on bank efficiency by examining both pre-merger and post-merger performance. Specifically, the research looks at the effect of bank efficiency on shareholder wealth creation upon bank merger announcement. The study finds supportive evidence that the market takes into account the pre-merger bidder bank’s efficiency in adjusting the bank stock’s price at the time of announcement. This suggests that bank efficiency has a significant positive effect on shareholder wealth creation when a merger is announced. Furthermore, in reacting to the announcement, the market also perceives the prospects for future enhancement of bank efficiency as a result of the current event. Thus, post-merger bank efficiency is found to also contribute to shareholder value creation on merger announcement. In particular, the study finds evidence suggesting that post-merger profit efficiency, rather than cost efficiency, has a positive effect on cumulative abnormal returns. The study investigates 56 commercial bank mergers that took place in 22 European countries between 2001 and 2007. The event study methodology is used to determine shareholder wealth creation, employing the market model in estimating expected returns. Efficiency is estimated using the parametric stochastic frontier approach. Performance improvement in the combined firm is obtained by comparing post-merger efficiency with pre-merger efficiency, which is the sum of bidder and target efficiencies after weighting them based on their pre-merger total assets. To find out whether efficiency has an effect on shareholder value creation, regression analyses are performed involving cumulative abnormal returns, a few efficiency variables, and a number of control variables. The main finding of this study is that pre-merger bank efficiency contributes to short-term shareholder value creation upon merger announcement. Some evidence is also found that post-merger bank efficiency has a positive effect on shareholder value creation at announcement time which is associated more with profit efficiency than with cost efficiency. Also, as the study finds statistically significant positive cumulative abnormal returns, the results of this study are supportive of the view that, increasingly, European merger studies that examine post-2000 data find that bank mergers are value-creating even for the bidding firms. Evidence that pre-merger bank efficiency has a positive effect on cumulative abnormal returns, and that the market takes into account perceived future bank efficiency on merger announcement, underscores the importance of efficiency as a performance measure. If how the market reacts to a merger announcement reflects future efficiency performance, shareholders, policy makers, and other stakeholders may be able to take that as one of the factors on which they can base their decisions regarding the yet uncompleted merger. They can also use previous efficiency records for predicting short-term and long-term performance of prospective parties to a merger before announcement.

Cette thèse est construite autour de trois essais empiriques centrés sur l'efficience rendement risque des banques européennes cotées et sur la tarification des obligations qu'elles émettent. Avec le premier essai, on mesure l'aptitude relative des banques à choisir efficacement le couple rendement / risque. On montre que cette aptitude relative est stable, surtout à court terme et que les banques les plus efficaces dans leurs choix rendement / risque partagent des caractéristiques communes et bénéficient d’une notation de solidité plus avantageuse. Le second essai apporte la preuve que l'introduction de cette mesure d'efficience du choix rendement / risque améliore de manière sensible l'explication de la prime de défaut qu'exigent les investisseurs sur les obligations émises par les banques et que les mesures traditionnelles du risque de défaut ne captent pas à elles seules l’intégralité de la prime de défaut. En outre, la capacité des banques à gérer efficacement le couple rendement / risque s’avère être un élément déterminant de la confiance que mettent les détenteurs d'obligations dans la mesure du risque effectif de défaut des banques. Avec le dernier essai on traite des conséquences d'une éventuelle divergence entre droits de contrôle et droits pécuniaires des actionnaires ultimes des banques sur la tarification des obligations qu'elles émettent. Si les obligataires ne semblent pas sensibles à une telle divergence avant la crise financière, les résultats montrent en revanche qu’ils le deviennent pendant la crise en exigeant un spread d'autant moins élevé que cette divergence est plus prononcée. Il est intéressant de noter que ce résultat ne tient que lorsque les banques font face à un risque de défaut élevé. / This thesis consists of three empirical essays with an emphasis on bank risk-return efficiency and bond pricing. Chapter 1 aims at a better understanding of the quality of banks’ risk management by providing, for a set of European listed banks, a measure of each bank’s relative efficiency in terms of risk-return trade-off. We show that the level of bank risk-return efficiency is quite stable in the short term, whereas in the long term low performing banks are not condemned to remain inefficient. We also identify some common characteristics for the most risk-return efficient banks, which are assigned, by rating agencies, a more attractive financial strength rating. In chapter 2, we investigate the determinants of bank bond spread and we show that bank managerial ability, proxied by bank risk-return efficiency, improves the explanation of the default premium required by bondholders. Our results underline that standard default risk measures do not entirely reflect the default premium and banks’ managerial ability turns out to be a determinant of bondholders’ confidence in the measure of the effective level of bank default. Chapter 3 examines the effect of divergence between control rights and cash-flow rights of ultimate owners in pyramid ownership structure on the pricing of banking bonds. Whereas before the financial crisis such a divergence does not affect bank bond yield spread, during downturns bondholders require a lower spread from banks controlled by an ultimate owner with excess control rights. The investigation on more restrictive subsets underlines that this result is only significant when banks experience a high level of default risk.

This master thesis is focused on assessing the impact of the global financial crisis on the EU banking sector. The main objectives is the description and analysis of measures taken by U.S. and European policies in response to the collapsing banking market. In the first part I deal with the beginning of the crisis in the U.S., defining the causes of the crisis, impact on the U.S. banking rescue and analysis of individual steps by the government and FED. The second and third part is already fully paid to the situation in the European Union. Besides of the stimulus policies of the ECB, which shoud prevented the deepening recession in the EU, I try to analyze and evaluate the impact of the Larosiere report. Large space is devoted to evaluation of Stress test of European's banks 2010, which were carried out by the ECB. In conclusion, I try to show my subjective outline of future development of European's banking market.

During the last decade, many European banks have been troubled with low profitability, while the amount of non-performing loans (NPLs) has increased. This thesis investigates and analyses how the increasing amount of NPL affects banks profitability and the financial system. With econometric models using panel data we examined the relationship between NPL, banks profitability and the economic cycle (GDP-growth). This combined with qualitative economic theories provided a solid analysis of this relationship. We found strong evidence the NPL-ratio has a negative correlation with both the profitability of banks and the economic cycle. With these results in mind we think the NPLs need to be dealt with by the banks and authorities soon. In accordance with our result and analysis we came up with recommendations for the banks and authorities to deal with the issue. We recognize they need to improve the secondary markets for non-performing loans, lifting the loans from their balance sheets, increase the use of Asset Management Companies and improve the NPL-management within banks.

La problématique de la thèse : en quoi les effets de la crise financière et bancaire de 2007-2008 ont influé les comportements de banques et en quoi ces derniers consistent-ils ? Pour ce faire, nous avons montré, d’abord, que le bilan et le compte de résultats sont des outils explicatifs de comportements stratégiques et opérationnels de banques. Vu la responsabilité particulière des banques de grande taille dans cette crise, nous avons exploité les données des 200 premières banques mondiales figurant dans le classement de 2006 (avant crise) et de 2012 (après crise) extraites de la base «The Banker» en utilisant, ensuite, l’analyse factorielle exploratoire pour découvrir les facteurs latents qui influencent leurs comportements dans une logique de statique comparative. Les résultats obtenus montrent que la crise a changé ces comportements. Au plan de comportement stratégique, les banques européennes s’orientent, en 2012, vers le modèle de banque de «détail pur» alors qu’en 2006 elles se répartissaient sur 3 modèles: «détail pur»; «mixtes»; «marché». Pour les banques de l’Amérique du Nord et de l’Asie-Pacifique, déjà spécialisées dans le «détail pur» en 2006, le restent pour 2012. Au plan de comportement opérationnel, les banques européennes passent d’une focalisation sur la rentabilité vers le renforcement de la suffisance de capital. Les banques nord-américaines et de l’Asie–Pacifique, focalisées sur l’activité en 2006, s’orientent sur la rentabilité en 2012. En conclusion, 2 recommandations pour les régulateurs financiers : s’assurer que la tendance vers le modèle de banque de «détail pur» soit de long terme et accorder une attention accrue à la taille du bilan / The thesis problem: how the effects of the financial and banking crisis of 2007-2008 have influenced the behavior of banks and what do they consist of ? To do this, we showed, first, that the balance sheet and income statement are good explanatory tools of strategic and operational behavior of banks. Due to the special responsibility of the large banks in this crisis, we used data of the top 200 global banks listed in the 2006 (pre-crisis) and 2012 (post-crisis) classifications, retrieved from the database "The Banker". We used the exploratory factor analysis to discover the latent factors which influence the banks behaviors, in a comparative static logic. The results show that this crisis has actually changed these behaviors. From the strategic positioning perspective, the trend of the European banks after the crisis is the "retail-funded" banking model. In 2006, the positioning was heterogeneous with a "cocktail" of "retail-funded", "wholesale-funded" and "trading" banks. For the North American and Asia-Pacific banks, which was already specialized in the "retail-funded" in 2006, will remain so for 2012. In terms of operational behavior, European banks pass from a strong focus on profitability, before the crisis, to a reinforcement of capital adequacy, after the crisis. The banks of North America and Asia-Pacific, which were focused on the activity, before the crisis, will give more importance to the profitability after the crisis. In conclusion, two recommendations for the financial regulators : ensure that the trend in matter of strategic positioning of the banks is oriented to the “retail-funded” model and pay special attention to the size of the balance sheet.

Die globale Finanzkrise unterstrich die Bedeutung von makrofinanziellen Verknüpfungen für Vermögenspreisdynamiken und Konjunkturschwankungen. Bei angebotsseitigen Finanzfriktionen werden hierbei Finanzintermediäre, insbesondere ihre Bilanz und ihre Risikotragfähigkeit, als zentral erachtet. Diese Dissertation wendet verschiedene Klassen von SVAR Modellen und neueste Identifizierungsmethoden an um empirische Belege für die Rolle von Finanzintermediären für Finanzmärkte und die Realwirtschaft zu liefern. Das erste Kapitel untersucht das regimeabhängige Handelsverhalten von Finanzintermediären auf dem Öl-Futures-Markt und zeigt, dass Finanzintermediäre während Krisenzeiten preisunelastischer werden und mehr ihren eigenen Interessen folgend handeln. Die Ergebnisse deuten auf eine nichtlineare Futures-Preissetzung von Intermediären hin, was die Volatilität im Markt während Krisenzeiten signifikant erhöht. Das zweite Kapitel legt dar, dass die meisten Händlergruppen in Rohstoff-Futures-Märkten eine antizyklische Investitionsstrategie verfolgen. Das einfache SVAR Modell eignet sich für die Analyse der Handelsstrategien verschiedener Händlergruppen sowie deren Auswirkungen für die Preisvolatilität in jedweden Vermögensmärkten. Kapitel 3 identifiziert in einem einzelnen Modell sektorspezifische Kreditangebotsschocks gegenüber Firmen und Haushalten und präsentiert empirische Belege über deren Effekte für die US-Wirtschaft. Die Ergebnisse zeigen, dass beide Kreditangebotsschocks wesentlich zum Konjunkturverlauf während des Beobachtungszeitraums beigetragen haben, wobei Kreditangebotsschocks gegenüber Haushalten klassischen Nachfrageschocks ähneln. Das letzte Kapitel analysiert die globalen Auswirkungen des Schuldenabbaus europäischer Banken und findet, dass europäische Bankbilanzschocks Bruttokapitalzuflüsse und das Kreditwachstum in fortgeschrittenen Ökonomien mit entwickelten Finanzmärkten beeinflussen, aber nur geringfügige Effekte auf das Wirtschaftswachstum haben. / The global financial crisis has demonstrated the importance of macrofinancial linkages for asset price dynamics and business cycles. Regarding supply-side financial frictions, financial intermediaries, in particular their balance sheet and risk-bearing capacity, are considered to be pivotal. This thesis applies different classes of SVAR models and state-of-the-art identification techniques to provide empirical findings on the role of financial intermediaries in financial markets and the real economy. The first chapter studies the state-dependent trading behavior of financial intermediaries in the oil futures market and shows that intermediaries become less price-elastic and trade more according to their own demand. The findings suggest that the futures pricing of intermediaries is nonlinear which significantly raises the volatility in the market during crisis times. The second chapter demonstrates that most trader groups in commodity futures markets employ contrarian strategies. The simple SVAR model can be applied for analyzing the trading strategies of different trader groups as well as their effects for price volatility in any asset market. Chapter 3 identifies sector-specific business and household loan supply shocks in one single model and provides empirical evidence on their effects for the U.S. macroeconomy. The results show that both loan supply shocks have contributed significantly to business cycle dynamics over the sample period, with household loan supply shocks resembling classical demand shocks. The last chapter analyzes the global effects of European bank deleveraging and finds that European bank balance sheet shocks significantly affect gross capital inflows and credit growth in in advanced economies with developed financial markets, but have only minor effects on output growth.