Are banks in Europe too big to fail or too big to save?
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/35244 |
Resumo: | The financial crisis of 2007-2009 raised concerns regarding countries’ abilities to rescue their largest banks should a new crisis emerge. By focusing on European Union banks from 2001 through 2019, this dissertation investigates the impact of both absolute and systemic bank size on a bank’s valuation and CDS spreads. We find that a bank’s market-to-book ratio is negatively related to its natural logarithm of total assets and liabilities-to-GDP ratio. We further established that CDS spreads seemingly increase in a dynamic market response to changes in bank’s absolute size. These results suggest that large banks can increase their value by downsizing or splitting up. Our findings also show that in the aftermath of the financial crisis, most banks in our sample reduced their systemic size. This decrease may indicate that while banks in the European Union were certain of a too big to fail status with the inference that governments would rescue them if necessary, this certainty mostly vanished post 2009. The events that followed the crisis revealed to several banks that they were in fact, too big to save, leading many to adapt to this new reality by downsizing. |
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Are banks in Europe too big to fail or too big to save?Financial crisisToo big to failToo big to saveBank sizeSystemic riskBank valuationCrise financeiraDemasiado grande para perderDemasiado grande para ser salvoDimensão dos bancosRisco sistémicoAvaliação da bancaDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe financial crisis of 2007-2009 raised concerns regarding countries’ abilities to rescue their largest banks should a new crisis emerge. By focusing on European Union banks from 2001 through 2019, this dissertation investigates the impact of both absolute and systemic bank size on a bank’s valuation and CDS spreads. We find that a bank’s market-to-book ratio is negatively related to its natural logarithm of total assets and liabilities-to-GDP ratio. We further established that CDS spreads seemingly increase in a dynamic market response to changes in bank’s absolute size. These results suggest that large banks can increase their value by downsizing or splitting up. Our findings also show that in the aftermath of the financial crisis, most banks in our sample reduced their systemic size. This decrease may indicate that while banks in the European Union were certain of a too big to fail status with the inference that governments would rescue them if necessary, this certainty mostly vanished post 2009. The events that followed the crisis revealed to several banks that they were in fact, too big to save, leading many to adapt to this new reality by downsizing.A crise financeira de 2007-2009 revelou dúvidas quanto às capacidades dos países para salvar os seus maiores bancos no caso de surgimento de uma nova crise. Ao centrar-se nos bancos da União Europeia, no período entre 2001 a 2019, esta dissertação investiga o impacto, tanto da dimensão absoluta, como sistémica, dos bancos, na sua avaliação e nos spreads dos CDS. Constatamos que o rácio entre o valor de mercado e o valor contabilístico dos capitais próprios de um banco está negativamente relacionado com o seu logaritmo natural do total de ativos e o rácio de passivos em relação ao PIB. Estabelecemos ainda que os spreads de CDS parecem aumentar em resposta dinâmica do mercado às mudanças na dimensão absoluta de um banco. Estes resultados sugerem que os grandes bancos podem aumentar o seu valor reduzindo a sua dimensão ou por cisão. Os nossos resultados também mostram que, no rescaldo da crise financeira, a maioria dos bancos da nossa amostra reduziu a sua dimensão sistémica. Esta redução pode indicar que, embora os bancos na União Europeia estivessem convictos de deterem um estatuto demasiado grande para perderem, com a inerente consequência de que os governos sempre os resgatariam se necessário, esta certeza desapareceu na sua maioria após 2009. Os acontecimentos que se seguiram à crise revelaram a vários bancos que eram, afinal, demasiado grandes para poderem ser salvos, levando muitos a adaptarem-se a esta nova realidade através de reduções de dimensão.Zhao, LeiVeritati - Repositório Institucional da Universidade Católica PortuguesaSilva, Catarina de Figueiredo Bettencourt Moreira da2021-09-27T14:10:47Z2021-01-2720212021-01-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/35244TID:202656683enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:40:44Zoai:repositorio.ucp.pt:10400.14/35244Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:28:35.145077Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Are banks in Europe too big to fail or too big to save? |
title |
Are banks in Europe too big to fail or too big to save? |
spellingShingle |
Are banks in Europe too big to fail or too big to save? Silva, Catarina de Figueiredo Bettencourt Moreira da Financial crisis Too big to fail Too big to save Bank size Systemic risk Bank valuation Crise financeira Demasiado grande para perder Demasiado grande para ser salvo Dimensão dos bancos Risco sistémico Avaliação da banca Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Are banks in Europe too big to fail or too big to save? |
title_full |
Are banks in Europe too big to fail or too big to save? |
title_fullStr |
Are banks in Europe too big to fail or too big to save? |
title_full_unstemmed |
Are banks in Europe too big to fail or too big to save? |
title_sort |
Are banks in Europe too big to fail or too big to save? |
author |
Silva, Catarina de Figueiredo Bettencourt Moreira da |
author_facet |
Silva, Catarina de Figueiredo Bettencourt Moreira da |
author_role |
author |
dc.contributor.none.fl_str_mv |
Zhao, Lei Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Silva, Catarina de Figueiredo Bettencourt Moreira da |
dc.subject.por.fl_str_mv |
Financial crisis Too big to fail Too big to save Bank size Systemic risk Bank valuation Crise financeira Demasiado grande para perder Demasiado grande para ser salvo Dimensão dos bancos Risco sistémico Avaliação da banca Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Financial crisis Too big to fail Too big to save Bank size Systemic risk Bank valuation Crise financeira Demasiado grande para perder Demasiado grande para ser salvo Dimensão dos bancos Risco sistémico Avaliação da banca Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The financial crisis of 2007-2009 raised concerns regarding countries’ abilities to rescue their largest banks should a new crisis emerge. By focusing on European Union banks from 2001 through 2019, this dissertation investigates the impact of both absolute and systemic bank size on a bank’s valuation and CDS spreads. We find that a bank’s market-to-book ratio is negatively related to its natural logarithm of total assets and liabilities-to-GDP ratio. We further established that CDS spreads seemingly increase in a dynamic market response to changes in bank’s absolute size. These results suggest that large banks can increase their value by downsizing or splitting up. Our findings also show that in the aftermath of the financial crisis, most banks in our sample reduced their systemic size. This decrease may indicate that while banks in the European Union were certain of a too big to fail status with the inference that governments would rescue them if necessary, this certainty mostly vanished post 2009. The events that followed the crisis revealed to several banks that they were in fact, too big to save, leading many to adapt to this new reality by downsizing. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-09-27T14:10:47Z 2021-01-27 2021 2021-01-27T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/35244 TID:202656683 |
url |
http://hdl.handle.net/10400.14/35244 |
identifier_str_mv |
TID:202656683 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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