Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis

[EN] Given the central role of banks in financial stability and the recent impact of their insufficient capitalization, this article focuses on finding determinants of their solvency through financial variables. The study considers the European Banking Union framework and the results of the latter s...

ver descrição completa

Detalhes bibliográficos
Autores: Gutiérrez López, Cristina, Abad González, Julio Ignacio
Tipo de documento: artigo
Estado:Versão publicada
Data de publicação:2020
País:España
Recursos:Ajuntament de Barcelona
Repositório:BULERIA. Repositorio Institucional de la Universidad de León
OAI Identifier:oai:buleria.unileon.es:10612/17430
Acesso em linha:https://hdl.handle.net/10612/17430
Access Level:Acceso aberto
Palavra-chave:Economía
Banking solvency
Financial stability
Stress test
CAMELS
Multilevel models
id ES_c5edac8e8b17e1a93428a98a4fcd1bbb
oai_identifier_str oai:buleria.unileon.es:10612/17430
network_acronym_str ES
network_name_str España
repository_id_str
spelling Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial CrisisGutiérrez López, CristinaAbad González, Julio IgnacioEconomíaBanking solvencyFinancial stabilityStress testCAMELSMultilevel models[EN] Given the central role of banks in financial stability and the recent impact of their insufficient capitalization, this article focuses on finding determinants of their solvency through financial variables. The study considers the European Banking Union framework and the results of the latter stress test exercises, using a panel of the 45 banks based in 15 European countries that were stress tested in 2014, 2016 and 2018. This paper models bank soundness proxied by the stressed tier capital 1 ratio by means of financial indicators representing a CAMELS (Capital, Assets quality, Management, Earnings, Liquidity and Sensitivity to market risk) approach as well as global systemically important financial institutions (G-SIFIs) additional requirements. The model also specifies a dummy covariate referred to the disclosure of corporate social responsibility (CSR) reports, adopting a comprehensive sustainability scheme. The research period starts with the European Banking Union and includes the three exercises conducted since then. We find that financial sustainability is positively correlated with higher capitalization, earnings and liquid assets, while poor quality assets (high non-performing loans) and inefficiency impact negatively on bank soundness. Moreover, it considers the year-scenario interaction either as a fixed or a random effect. The results support capital and liquidity regulation and highlight factors that reinforce banking soundness. They also reveal a positive connection between CSR and banking solvency.SIMDPIEconomia Financiera y ContabilidadFacultad de Ciencias Economicas y Empresariales2020info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttps://hdl.handle.net/10612/17430reponame:BULERIA. Repositorio Institucional de la Universidad de Leóninstname:Ajuntament de BarcelonaIngléshttp://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:buleria.unileon.es:10612/174302026-06-24T12:43:27Z
dc.title.none.fl_str_mv Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
title Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
spellingShingle Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
Gutiérrez López, Cristina
Economía
Banking solvency
Financial stability
Stress test
CAMELS
Multilevel models
title_short Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
title_full Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
title_fullStr Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
title_full_unstemmed Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
title_sort Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis
dc.creator.none.fl_str_mv Gutiérrez López, Cristina
Abad González, Julio Ignacio
author Gutiérrez López, Cristina
author_facet Gutiérrez López, Cristina
Abad González, Julio Ignacio
author_role author
author2 Abad González, Julio Ignacio
author2_role author
dc.contributor.none.fl_str_mv Economia Financiera y Contabilidad
Facultad de Ciencias Economicas y Empresariales
dc.subject.none.fl_str_mv Economía
Banking solvency
Financial stability
Stress test
CAMELS
Multilevel models
topic Economía
Banking solvency
Financial stability
Stress test
CAMELS
Multilevel models
description [EN] Given the central role of banks in financial stability and the recent impact of their insufficient capitalization, this article focuses on finding determinants of their solvency through financial variables. The study considers the European Banking Union framework and the results of the latter stress test exercises, using a panel of the 45 banks based in 15 European countries that were stress tested in 2014, 2016 and 2018. This paper models bank soundness proxied by the stressed tier capital 1 ratio by means of financial indicators representing a CAMELS (Capital, Assets quality, Management, Earnings, Liquidity and Sensitivity to market risk) approach as well as global systemically important financial institutions (G-SIFIs) additional requirements. The model also specifies a dummy covariate referred to the disclosure of corporate social responsibility (CSR) reports, adopting a comprehensive sustainability scheme. The research period starts with the European Banking Union and includes the three exercises conducted since then. We find that financial sustainability is positively correlated with higher capitalization, earnings and liquid assets, while poor quality assets (high non-performing loans) and inefficiency impact negatively on bank soundness. Moreover, it considers the year-scenario interaction either as a fixed or a random effect. The results support capital and liquidity regulation and highlight factors that reinforce banking soundness. They also reveal a positive connection between CSR and banking solvency.
publishDate 2020
dc.date.none.fl_str_mv 2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/10612/17430
url https://hdl.handle.net/10612/17430
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:BULERIA. Repositorio Institucional de la Universidad de León
instname:Ajuntament de Barcelona
instname_str Ajuntament de Barcelona
reponame_str BULERIA. Repositorio Institucional de la Universidad de León
collection BULERIA. Repositorio Institucional de la Universidad de León
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869419030188654592
score 15,228081

Registros relacionados