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Did the recent financial crisis contribute to an EU Multi-Speed Banking System?
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Orientador(es)
Resumo(s)
O elevado impacto da crise financeira de 2007-08 na União Europeia (UE) gerou um período marcado por incerteza e ineficiência, enfatizando as discrepâncias entre os países pertencentes à UE.
A presente dissertação tem como principal propósito investigar os efeitos da recente crise financeira no desempenho do sistema bancário em diferentes países da UE, apresentando resultados empíricos da sua evolução durante o período de 2000 a 2014. Um painel composto por 12 países pertencentes à UE (Alemanha, Áustria, Bélgica, Espanha, França, Holanda, Grécia, Irlanda, Itália, Portugal, Reino Unido e Suécia) foi selecionado e subdividido de acordo com a reacção dos países face à crise financeira. Foram analisados três níveis de eficiência (Eficiência Técnica, Alocativa e de Custos) obtidos através da metodologia Data Envelopment Analysis, um método não paramétrico, usando como variáveis os dados presentes nas contas consolidadas das demonstrações financeiras do aglomerado de bancos comerciais e de poupança de cada país, obtidos através da base de dados Bankscope.
Os principais resultados da análise indicam um aumento dos níveis de eficiência nos países analisados da UE nos últimos anos, bem como a redução das oscilações dos níveis de eficiência. A comparação entre os países analisados permitiu concluir que se mantém um fosso nos níveis de eficiência no período Pós-Crise, induzindo diferentes impactos e reacções à crise financeira por parte dos países definidos para esta análise. No entanto não existe evidência empírica de uma relação entre indicadores macroeconómicos e eficiência bancária nos países seleccionados.
The impact of the global financial crisis of 2007-08 in the European Union (EU) induced a transition process marked by uncertainty and inefficiency, emphasizing the discrepancies among EU countries. Following this thought, this paper aims to investigate the effects of the recent financial crisis in bank system performance in different EU countries, providing empirical evidence regarding its evolution over the period of time 2000-2014. A panel composed of 12 EU countries (Austria, Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, Sweden and United Kingdom) was selected and subdivided according to countries' reactions to the financial crisis. Three types of efficiency (Technical, Allocative and Cost Efficiency) were computed applying the Data Envelopment Analysis, a non-parametric approach, using as bank level variables the annual consolidated financial statement accounts of the agglomerate commercial and savings banks presented in BankScope Database. The main results point out an overall improvement of banking efficiency in the EU in the last sample years as well as a reduction of efficiency level´s oscillations in a yearly basis. From the comparison of banking efficiency among the selected countries it was observed the maintenance of a significant efficiency level gap in the Post-Crisis period, inducing different impacts and reactions to periods of financial distress in the countries defined for this analysis. Nevertheless, it was not found any strong empirical evidence of a relationship between bank performance and macroeconomic environment in the selected countries.
The impact of the global financial crisis of 2007-08 in the European Union (EU) induced a transition process marked by uncertainty and inefficiency, emphasizing the discrepancies among EU countries. Following this thought, this paper aims to investigate the effects of the recent financial crisis in bank system performance in different EU countries, providing empirical evidence regarding its evolution over the period of time 2000-2014. A panel composed of 12 EU countries (Austria, Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, Sweden and United Kingdom) was selected and subdivided according to countries' reactions to the financial crisis. Three types of efficiency (Technical, Allocative and Cost Efficiency) were computed applying the Data Envelopment Analysis, a non-parametric approach, using as bank level variables the annual consolidated financial statement accounts of the agglomerate commercial and savings banks presented in BankScope Database. The main results point out an overall improvement of banking efficiency in the EU in the last sample years as well as a reduction of efficiency level´s oscillations in a yearly basis. From the comparison of banking efficiency among the selected countries it was observed the maintenance of a significant efficiency level gap in the Post-Crisis period, inducing different impacts and reactions to periods of financial distress in the countries defined for this analysis. Nevertheless, it was not found any strong empirical evidence of a relationship between bank performance and macroeconomic environment in the selected countries.
Descrição
Mestrado em Finanças
Palavras-chave
Crise Financeira DEA Desempenho Bancário Eficiência de Custos União Europeia Bank Performance Cost Efficiency European Union Financial Crisis
Contexto Educativo
Citação
Monteiro, João Carlos Marques Tomás Grade (2016). "Did the recent financial crisis contribute to an EU Multi-Speed Banking System?". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão