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

Bagntasarian, A. ORCID: 0000-0002-7876-4487 and Mamatzakis, E., 2018. Testing for the underlying dynamics of bank capital buffer and performance nexus. Review of Quantitative Finance and Accounting. 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: Journal article
Publication Title: Review of Quantitative Finance and Accounting
Creators: Bagntasarian, A. and Mamatzakis, E.
Publisher: Springer New York
Date: 6 March 2018
ISSN: 0924-865X
Identifiers:
NumberType
10.1007/s11156-018-0712-yDOI
Divisions: Schools > Nottingham Business School
Depositing User: Jonathan Gallacher
Date Added: 19 Mar 2018 11:37
Last Modified: 06 Mar 2019 03:00
URI: http://irep.ntu.ac.uk/id/eprint/33017

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