L'impatto della Direttiva Bank Recovery and Resolution sul costo di finanziamento delle banche europee

This thesis intends to investigate the impact of the bail-in mechanism, introduced by the EU Bank Recovery and Resolution Directive (BRRD), approved in July 2014 but fully effective - after the transformation in national laws since January 2016, on the European banks' cost of funding. The BRRD tackles the issue of regulating banks' crises and liquidations in order to prevent dangerous repercussions on the financial market stability and cross-border transmission of the crises, but avoiding costly bailo-uts at the expenses of public finance and tax-payers. The issue was dramatically raised as a consequence of the global financial crises of 2008 after the default of Lehman Brothers, which resulted in huge costs of tax-payers' money to rescue large banks in difficulty. Before analysing the logic of the BRRD and, more in details, the bail-in mechanism, the first part of the thesis summarizes the main reactions of policy makers and regulators to the financial crises. They took place initially in the form of government actions to rescue individual banks (bail-out) or to create guaranteed funding programmes, later in terms of new regulatory frameworks and new regulatory requirements (Basel III). The analysis of the BRRD is then focused on the implications on banks' funding, both in terms of overall risk premium, as a consequence of the abolition of any implicit or explicit State guarantee, and in terms of loss-absorption envisaged by the bail-in mechanism on the different typical banking funding instruments. In this respect, the composition of banks funding will be relevant as well as their business model and strategy. The empirical analysis will be based on market prices of banks' CDS, as a measure of banks' risk and as a proxy of relative cost of funding. In particular, the thesis will test the following hypotheses: 1) Did the bail-in succeed in breaking the vicious circle banks-sovereign risk? 2) Did the end of the implicit and explicit guarantees determine an increase in the banks spread over government debt? 3) Did the bail-in increase the importance of idiosyncratic risk and the difference of cost of funding between banks with different quality (rating, capital strength, asset quality)? 4) Did the bail-in determine an increased difference of costs between funding instruments, depending on their different loss-absorption capacity? If only the first two hypotheses are verified, the bail-in will end up in a generalized increase in banks' cost of funding and, therefore, in an increased cost of credit for borrowers, with restrictive effects on the real economy. On the opposite, if also the third hypothesis is verified, the bail-in will determine a healthy competition between banks, with the less risky institutions benefiting from lower cost of funding, creating a virtuous circle. The confirmation of the fourth hypothesis will impact on banking funding and capital planning strategies. The empirical analysis is based on the historical series of daily CDS prices of both banks (senior and subordinated) and sovereign issuers (source Datastream Reuters) and on banks' accounting data (source Bankscope and EBA) for the period 2012-2015. The tests will be conducted using statistical tests of correlation and multivariable regression.