Bank-specific capital requirements: short and long-run determinants
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/39735 |
Resumo: | This paper studies the determinants of the Pillar 2 capital requirements (P2R) of banks directly supervised by the ECB between 2016 and 2021. Drawing on the ECB’s Supervisory Review and Evaluation Process (SREP) to identify the list of potential drivers of P2R, we estimate the impact on P2R by employing a method that separates long-run from short-run determinants. Our results suggest that in (i) the long-run, the P2R is mostly driven by credit risk, funding risk, and governance, whereas (ii) profitability and market risk seem to be the main short-run determinants of P2R. Furthermore, we find evidence that suggests the supervisor incorporates proportionality in the P2R decisions. Effectively, our sensitivity analyses show considerable differences in the long-run determinants of P2R according to the level of capital, size, and access to market funding of supervised entities. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Bank-specific capital requirements: short and long-run determinantsBankingSupervisionPillar 2Capital requirementsMundlak estimatorThis paper studies the determinants of the Pillar 2 capital requirements (P2R) of banks directly supervised by the ECB between 2016 and 2021. Drawing on the ECB’s Supervisory Review and Evaluation Process (SREP) to identify the list of potential drivers of P2R, we estimate the impact on P2R by employing a method that separates long-run from short-run determinants. Our results suggest that in (i) the long-run, the P2R is mostly driven by credit risk, funding risk, and governance, whereas (ii) profitability and market risk seem to be the main short-run determinants of P2R. Furthermore, we find evidence that suggests the supervisor incorporates proportionality in the P2R decisions. Effectively, our sensitivity analyses show considerable differences in the long-run determinants of P2R according to the level of capital, size, and access to market funding of supervised entities.Veritati - Repositório Institucional da Universidade Católica PortuguesaAlves, Carlos FranciscoCitterio, AlbertoMarques, Bernardo P.2023-01-04T17:51:05Z2023-032023-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.14/39735eng1544-612310.1016/j.frl.2022.10355885145694398000922723900029info: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:RCAAP2023-07-12T17:45:17ZPortal AgregadorONG |
dc.title.none.fl_str_mv |
Bank-specific capital requirements: short and long-run determinants |
title |
Bank-specific capital requirements: short and long-run determinants |
spellingShingle |
Bank-specific capital requirements: short and long-run determinants Alves, Carlos Francisco Banking Supervision Pillar 2 Capital requirements Mundlak estimator |
title_short |
Bank-specific capital requirements: short and long-run determinants |
title_full |
Bank-specific capital requirements: short and long-run determinants |
title_fullStr |
Bank-specific capital requirements: short and long-run determinants |
title_full_unstemmed |
Bank-specific capital requirements: short and long-run determinants |
title_sort |
Bank-specific capital requirements: short and long-run determinants |
author |
Alves, Carlos Francisco |
author_facet |
Alves, Carlos Francisco Citterio, Alberto Marques, Bernardo P. |
author_role |
author |
author2 |
Citterio, Alberto Marques, Bernardo P. |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Alves, Carlos Francisco Citterio, Alberto Marques, Bernardo P. |
dc.subject.por.fl_str_mv |
Banking Supervision Pillar 2 Capital requirements Mundlak estimator |
topic |
Banking Supervision Pillar 2 Capital requirements Mundlak estimator |
description |
This paper studies the determinants of the Pillar 2 capital requirements (P2R) of banks directly supervised by the ECB between 2016 and 2021. Drawing on the ECB’s Supervisory Review and Evaluation Process (SREP) to identify the list of potential drivers of P2R, we estimate the impact on P2R by employing a method that separates long-run from short-run determinants. Our results suggest that in (i) the long-run, the P2R is mostly driven by credit risk, funding risk, and governance, whereas (ii) profitability and market risk seem to be the main short-run determinants of P2R. Furthermore, we find evidence that suggests the supervisor incorporates proportionality in the P2R decisions. Effectively, our sensitivity analyses show considerable differences in the long-run determinants of P2R according to the level of capital, size, and access to market funding of supervised entities. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-01-04T17:51:05Z 2023-03 2023-03-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/39735 |
url |
http://hdl.handle.net/10400.14/39735 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1544-6123 10.1016/j.frl.2022.103558 85145694398 000922723900029 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
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 |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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1777303229432856576 |