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Testing for the underlying dynamics of bank capital buffer and performance nexus

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journal contribution
posted on 2023-06-09, 13:31 authored by Emmanuel Mamatzakis, Anachit Bagntasarian
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.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Review of Quantitative Finance and Accounting

ISSN

0924-865X

Publisher

Springer Verlag

Issue

2

Volume

52

Page range

347-380

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2018-05-29

First Open Access (FOA) Date

2019-03-06

First Compliant Deposit (FCD) Date

2018-05-28

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