2.2.3 ‘LOAN PROVISIONING’ MODEL ONDER TOEKOMSTIGE REGELGEVING
6.1 ONDERZOEKSBEPERKINGEN EN SUGGESTIES VOOR VERDER ONDERZOEK
De gebruikte dataset bevat veel ontbrekende data, slechts 366 van de 518 observaties zijn hierdoor geldig voor het onderzoek. Ook heb ik met behulp van een steekproef de Bankscope data gecontroleerd met de bron (de jaarrekening), hierin zaten inconsistenties. Deze beperkingen in data kwaliteit zouden de uitkomst van het onderzoek kunnen beïnvloeden. Gezien de beperking in middelen voor dit onderzoek is de data uit Bankscope toch het uitgangspunt.
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Hoewel de selectie van controlebanken door mij zorgvuldig is gedaan, blijft het door zijn aard zeer foutgevoelig. Aanvullende toetsen zouden kunnen worden uitgevoerd om de homogeniteit tussen de twee groepen te controleren.
Het effectief meten van het discrete gedeelte van ‘loan loss provisions’ is ingewikkeld. Het door mij gebruikte model, of soortgelijk, is eerder ingezet door Wahlen (1994), Beaver & Engel (1996), Kim & Kross (1998) en Kanagaretnam et al. (2005; 2010). De uitkomsten op basis van mijn data zijn niet helemaal in lijn met voorgaand onderzoek. Ik vind een positieve in plaats van de verwachte negatieve regressiecoëfficiënt voor LLAit-1 en een negatieve in plaats van de verwachte positieve regressiecoëfficiënt voor EBTPit (zie tabel 10). In mijn steekproef neemt het gemiddelde van de variabele LLPit toe, LLAit-1 neemt toe en EBTPit neemt af (zie figuur 5 t/m 8). Deze tendensen zouden de gevonden coëfficiënten kunnen verklaren. Daarmee ontstaat het vermoeden of het regressiemodel wel juist controleert voor het niet discrete gedeelte van ‘loan loss provisions’ en weet te corrigeren voor economische omstandigheden. Ik heb hierom een simpele controle uitgevoerd door als onafhankelijke variabele in het regressiemodel alléén EBTPit te gebruiken. De uitkomst is vervolgens een significant negatief verband, dat het vermoeden bevestigt. Het zou voor de betrouwbaarheid van de uitkomsten van het onderzoek dan ook interessant zijn of er op basis van een alternatief winststurings regressiemodel dezelfde conclusies getrokken kunnen worden. Het toegepaste ‘dynamic provisioning’ model in Spanje en Portugal, wordt geacht minder procyclisch te zijn dan het ‘incurred loss’ model. Gezien de beperkte hoeveelheid Spaanse en Portugese banken in de steekproef was het niet mogelijk hiermee te toetsen. Interessant voor volgend onderzoek zou zijn hoe ‘loan loss provisions’ van Spaanse en Portugese banken zich hebben ontwikkeld voorafgaand en gedurende de kredietcrisis.
Ook het ondervonden verschil in relatieve hoogte van ‘loan loss allowance’ tussen banken met en zonder staatssteun behoeft meer onderzoek.
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