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

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

[img] PDF - Accepted Version
Download (754kB)

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: School of Business, Management and Economics > Economics
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: 01 Jul 2019 16:19
URI: http://sro.sussex.ac.uk/id/eprint/76177

View download statistics for this item

📧 Request an update