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

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