Publicação
How hard were spanish banks knocked out by the sovereign debt crisis?
| Resumo: | The present Dissertation addresses the economic impact of the Sovereign Debt Crisis on the Spanish Banking industry, namely through the critical analysis of Spanish banks’ main profitability determinants over the business cycle leading to the said Crisis. More specifically, this empirical Dissertation establishes a link between the stylised risk transmission and contagion mechanisms and the economic/financial fallout to the Spanish Banking industry resulting from the said Crisis. The Dissertation employs an advanced econometric procedure - the ARDL regression model – in support of the Dissertation’s research design, while using macroeconomic/financial data pertaining to the Spanish Banking industry and macroeconomy, as quarterly macroeconomic, financial and aggregated banking sector data for Spain for the 1999Q1 to 2017Q1 period were used. The Dissertation’s main findings suggest that the profitability variables Net Interest Income, Non-Interest Income & Other Revenues, and Loan-Loss Provisions (as the main dependent variables to the estimations) are well explained by the set of chosen independent variables. More specifically, the sovereign debt tensions independent variable herein used as a proxy for investors’ pressure is quite decisive in explaining the profitability of the Spanish Banking industry, thus establishing a link between the said Crisis and the overall performance of the Spanish Banking industry. Accordingly, a significant relation from sovereign debt tensions with Net Interest Income and with Loan-Loss Provisions was found in the present Dissertation. Moreover, the Net Interest Income is negatively correlated to one-quarter lagged sovereign debt tensions, while Loan-Loss Provisions is positively correlated to contemporary sovereign debt tensions. |
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| Autores principais: | Almeida, Frederico Gomes de |
| Assunto: | Sovereign debt crisis Spanish banking industry Banking profitability Yield spreads Risk transmission mechanisms Interbank contagion Crise da dívida soberana Indústria bancária espanhola Rentabilidade bancária Spread de yields Mecanismos de transmissão de risco Contágio interbancos |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade Católica Portuguesa |
| Idioma: | inglês |
| Origem: | Veritati - Repositório Institucional da Universidade Católica Portuguesa |
| Resumo: | The present Dissertation addresses the economic impact of the Sovereign Debt Crisis on the Spanish Banking industry, namely through the critical analysis of Spanish banks’ main profitability determinants over the business cycle leading to the said Crisis. More specifically, this empirical Dissertation establishes a link between the stylised risk transmission and contagion mechanisms and the economic/financial fallout to the Spanish Banking industry resulting from the said Crisis. The Dissertation employs an advanced econometric procedure - the ARDL regression model – in support of the Dissertation’s research design, while using macroeconomic/financial data pertaining to the Spanish Banking industry and macroeconomy, as quarterly macroeconomic, financial and aggregated banking sector data for Spain for the 1999Q1 to 2017Q1 period were used. The Dissertation’s main findings suggest that the profitability variables Net Interest Income, Non-Interest Income & Other Revenues, and Loan-Loss Provisions (as the main dependent variables to the estimations) are well explained by the set of chosen independent variables. More specifically, the sovereign debt tensions independent variable herein used as a proxy for investors’ pressure is quite decisive in explaining the profitability of the Spanish Banking industry, thus establishing a link between the said Crisis and the overall performance of the Spanish Banking industry. Accordingly, a significant relation from sovereign debt tensions with Net Interest Income and with Loan-Loss Provisions was found in the present Dissertation. Moreover, the Net Interest Income is negatively correlated to one-quarter lagged sovereign debt tensions, while Loan-Loss Provisions is positively correlated to contemporary sovereign debt tensions. |
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