Mamatzakis, Emmanuel and Bagntasarian, Anachit (2019) Testing for the underlying dynamics of bank capital buffer and performance nexus. Review of Quantitative Finance and Accounting, 52 (2). pp. 347-380. ISSN 0924-865X

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Abstract

This paper reveals the underlying dynamics between the capital buffer and bank performance in EU-27 countries. A dynamic panel analysis shows that capital buffer is significantly affected by bank performance and risk exposure. Remarkably, a threshold analysis identifies regime changes for the underlying relationships during the financial crisis of 2008. We find a positive relationship between the capital buffer and performance for banks that fall in the low performance regime, while a negative relationship is reported for the banks that belong to the high regime. Threshold results also show that buffer exerts a positive impact on bank performance. Although regulation reforms that aim to raise the capital requirements could improve bank performance and stability, these improvements are not homogeneous across banks.

Item Type:	Article
Schools and Departments:	University of Sussex Business School > Accounting and Finance
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > HG1501 Banking
Depositing User:	Emmanuel Mamatzakis
Date Deposited:	29 May 2018 11:23
Last Modified:	29 Oct 2019 14:37
URI:	http://sro.sussex.ac.uk/id/eprint/76177

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