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This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the press statements and press conferences announcing monetary...
Persistent link: https://www.econbiz.de/10011928956
The paper assesses the main factors underlying the decreasing profitability in the European banking sector, in …
Persistent link: https://www.econbiz.de/10012153570
We analyse the impact of standard and non-standard monetary policy measures on bank profitability. For empirical … monetary policies on market-based measures of expected bank profitability and credit risk, by employing an event study analysis … identification, the analysis focuses on the euro area, thereby exploiting substantial bank and country heterogeneity within a …
Persistent link: https://www.econbiz.de/10011732734
This investigation starts with the observation that, over the last decade, profitability rates reported by euro area … profitability gap of around 5 percentage points.1 However, while comparisons are frequently made between EA and US banks in academic …-for-like comparison. This paper seeks to identify and analyse the factors behind the profitability gap in a structured manner. We …
Persistent link: https://www.econbiz.de/10014334553
This study assesses euro area banks' profitability using granular stress test data from three EU-wide exercises …-adjusted return on assets for the euro area as a whole and for individual countries to assess the profitability of lending activities … profitability of the various portfolios. We investigate how many country portfolios switch from profitable to loss-making under …
Persistent link: https://www.econbiz.de/10015061511
conditional profitability distributions. Real GDP growth and the NPL ratio are shown to be the most reliable determinants of bank …This paper explores the determinants of profitability across large euro area banks using a novel approach based on … profitability. However, the estimated conditional distributions reveal that, while higher growth would raise profits on average, a …
Persistent link: https://www.econbiz.de/10012154822
Persistent link: https://www.econbiz.de/10012521348
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
Transaction cost shocks in financial markets are known to affect asset prices. This paper analyses how changes in transaction costs may affect the value of assets that banks use to collateralise borrowings in monetary policy operations. Based on a simple asset pricing model and employing a...
Persistent link: https://www.econbiz.de/10012954177
Outlier detection in high-dimensional datasets poses new challenges that have not been investigated in the literature. In this paper, we present an integrated methodology for the identification of outliers which is suitable for datasets with higher number of variables than observations. Our...
Persistent link: https://www.econbiz.de/10011881086