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Os determinantes da performance bancária durante a crise financeira : o caso dos países do eurosistema
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A presente investigação pretende estudar os determinantes internos e externos da performance do sector bancário para dois subperíodos, antes e depois da crise financeira: 2005-2007 e 2008-2009. A amostra, baseada no Bankscope, é constituída por 358 bancos representativos dos 16 países do Eurosistema. São estimados dois modelos explicativos da performance bancária, o primeiro é aplicado a cada um dos subperíodos, o segundo avalia o impacto diferencial, provocado pela crise, nos coeficientes das variáveis estudadas. A performance bancária é avaliada pelo Return On Average Asset (ROAA). Os determinantes internos testados foram o capital, a liquidez, a qualidade do activo, a diversificação da actividade, os custos e a dimensão. Os determinantes externos foram: o PIB, a inflação, o desemprego e a concentração do mercado. Os resultados empíricos destacam o efeito positivo da diversificação sobre a performance bancária. Em ambos os subperíodos, os custos, a qualidade do activo e a liquidez apresentam uma relação inversa com a performance. O capital exibe uma relação positiva, sendo que no segundo período a crise diminuiu o efeito positivo. A crise provocou uma diminuição do nível da performance média no conjunto dos países analisados, contudo, o modelo de análise do impacto diferencial não identificou evidências relativamente à relação entre a performance bancária e as variáveis macroeconómicas estudadas. Apenas a concentração apresenta uma relação com a performance bancária, no entanto os resultados não são estáveis, não evidenciando nenhuma das teorias Structure-Conduct-Performance (SCP) ou Efficiency-Structure (ES).
This research seeks to study which internal and external factors have contributed to bank performance during two specific periods, one the pre-recession (2005-2007) and the other post-recession (2008-2009). Using Bankscope's database, the analysis focuses on 358 banks. This sample is representative of the bank sector of the 16 Eurosystem member states. Bank performance is explained using two models: the first model is applied to each of the two periods; the second includes crisis as a dummy variable and it aims to explain how the recession has impacted on the coefficients of the variables studied. Bank performance is measured through Return On Average Asset (ROAA). The internal factors tested are the bank's capital, liquidity, asset quality, activity diversification, costs, and size. The external factors considered are sectorial concentration, GDP, inflation, and unemployment. Empirical results highlight that diversification has had a positive effect on banks' performance. These two periods depicted an inverse relationship between performance and costs, asset quality and liquidity. Banks’ capital shows a positive relationship with performance, although in the second period the positive effect is lower, due to the recession. The financial crisis has triggered a reduction in the average performance level in the Eurosystem countries. Nevertheless, no evidence was found of a relationship between bank performance and the macroeconomic variables studied. Sectorial concentration is an exception, but the relationship is not constant. There is no evidence for Structure-Conduct-Performance (SCP) or Efficiency-Structure (ES) theories.
This research seeks to study which internal and external factors have contributed to bank performance during two specific periods, one the pre-recession (2005-2007) and the other post-recession (2008-2009). Using Bankscope's database, the analysis focuses on 358 banks. This sample is representative of the bank sector of the 16 Eurosystem member states. Bank performance is explained using two models: the first model is applied to each of the two periods; the second includes crisis as a dummy variable and it aims to explain how the recession has impacted on the coefficients of the variables studied. Bank performance is measured through Return On Average Asset (ROAA). The internal factors tested are the bank's capital, liquidity, asset quality, activity diversification, costs, and size. The external factors considered are sectorial concentration, GDP, inflation, and unemployment. Empirical results highlight that diversification has had a positive effect on banks' performance. These two periods depicted an inverse relationship between performance and costs, asset quality and liquidity. Banks’ capital shows a positive relationship with performance, although in the second period the positive effect is lower, due to the recession. The financial crisis has triggered a reduction in the average performance level in the Eurosystem countries. Nevertheless, no evidence was found of a relationship between bank performance and the macroeconomic variables studied. Sectorial concentration is an exception, but the relationship is not constant. There is no evidence for Structure-Conduct-Performance (SCP) or Efficiency-Structure (ES) theories.
Descrição
Palavras-chave
determinantes da performance ROA bancos Eurosistema crise financeira performance factors banks Eurosystem financial crisis
Contexto Educativo
Citação
Nunes, Anne-Sophie Cavaco (2011). "Os determinantes da performance bancária durante a crise financeira : o caso dos países do eurosistema". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão