Bank-specific capital requirements: Short and long-run determinants

• Tipo: Artigo em Revista Científica Internacional
• Data: 2023

Autores

Carlos Alves (Autor) FEP; Citterio, A (Autor) Outra; Marques, Bernardo P. (Autor) FEP

Revista

Título: Finance Research Letters

Vol. 52

ISSN: 1544-6123

Editora: Elsevier

Indexação

ISI Web of Knowledge - 6 Citações

Scopus - 4 Citações

Outras Informações

ID Authenticus: P-00X-RJ1

DOI: 10.1016/j.frl.2022.103558

Abstract (EN): 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 7