IDEAS home Printed from https://ideas.repec.org/a/ptu/bdpart/r200702.html
   My bibliography  Save this article

The determinants of portuguese banks' capital buffers

Author

Listed:
  • Miguel Boucinha
  • Nuno Ribeiro

Abstract

The purpose of the present paper is to shed some light on why Portuguese banks hold significant capital buffers above the required regulatory minimum, through the estimation of a dynamic panel data model. The main findings are that the capital buffer is positively influenced by several broad risk measures, suggesting that the introduction of the more sensitive regulation in Basel II might not affect Portuguese banks’ capital ratios as much as one could expect. Provisions and high and stable profitability are found to be substitutes for capital buffers, whereas larger banks seem to hold less excess capital. A negative business cycle effect is also found, and several other hypotheses are tested.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Miguel Boucinha & Nuno Ribeiro, 2008. "The determinants of portuguese banks' capital buffers," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:bdpart:r200702
    as

    Download full text from publisher

    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/ar200702_e.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Stolz, Stéphanie & Wedow, Michael, 2005. "Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies 2005,07, Deutsche Bundesbank.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sherene A. Bailey-Tapper, 2011. "Investigating the Link between Bank Capital & Economic Activity: Evidence on Jamaican Panel," Money Affairs, CEMLA, vol. 0(2), pages 163-188, July-Dece.
    2. Pavla Klepková Vodová, 2019. "Determinants of Solvency in Selected CEE Banking Sectors: Does Affiliation with the Financial Conglomerate Matter?," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(2), pages 493-501.
    3. Sine KONTBAY BUSUN & Adnan KASMAN, 2015. "A Note on Bank Capital Buffer, Portfolio Risk and Business Cycle," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 15(1), pages 1-7.
    4. José Eduardo Gómez-González & Nidia Ruth Reyes, 2011. "Firm Failure and Relation Lending: New Evidence from Small Businesses," Money Affairs, CEMLA, vol. 0(2), pages 123-141, July-Dece.
    5. Daher, Hassan & Masih, Mansur & Ibrahim, Mansor, 2015. "The unique risk exposures of Islamic banks’ capital buffers: A dynamic panel data analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 36-52.
    6. Khurram Iftikhar & Syed Faizan Iftikhar, 2018. "The impact of business cycle on capital buffer during the period of Basel-II and Basel-III: Evidence from the Pakistani banks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-20, December.
    7. Hans Degryse & Sanja Jakovljević & Steven Ongena, 2015. "A Review of Empirical Research on the Design and Impact of Regulation in the Banking Sector," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 423-443, December.
    8. Rodrigo Alfaro & Andrés Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Money Affairs, CEMLA, vol. 0(2), pages 143-162, July-Dece.
    9. Montagnoli, Alberto & Mouratidis, Konstantinos & Whyte, Kemar, 2021. "Assessing the cyclical behaviour of bank capital buffers in a finance-augmented macro-economy," Journal of International Money and Finance, Elsevier, vol. 110(C).
    10. Andrene Senior & Sherene A. Bailey, 2017. "Estimación y pronóstico del riesgo de incumplimiento: evidencias para Jamaica," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 141-174, enero-jun.
    11. Ana Kundid Novokmet, 2015. "Cyclicality of bank capital buffers in South-Eastern Europe: endogenous and exogenous aspects," Financial Theory and Practice, Institute of Public Finance, vol. 39(2), pages 139-169.
    12. Syed Moudud-Ul-Huq, 2019. "Banks’ capital buffers, risk, and efficiency in emerging economies: are they counter-cyclical?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(4), pages 467-492, December.
    13. Daher, Hassan & Masih, A.Mansur M. & Ibrahim, Mansor H., 2014. "Islamic Banks’ Capital Buffers: Unique Risk Exposures and the Disciplining Effects of Charter Values," MPRA Paper 56947, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chau H. A. Le, 2016. "Macro-financial linkages and bank behaviour: evidence from the second-round effects of the global financial crisis on East Asia," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(3), pages 365-387, December.
    2. Romila Qamar & Shahid Mansoor Hashmi & Jaleel Ahmed & Ahmed N.K. AlFarra, 2016. "Are Capital Buffers Countercyclical ? An Evidence From Pakistan," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(61), pages 123-146, September.
    3. Jokipii, Terhi & Milne, Alistair, 2011. "Bank capital buffer and risk adjustment decisions," Journal of Financial Stability, Elsevier, vol. 7(3), pages 165-178, August.
    4. Khurram Iftikhar & Syed Faizan Iftikhar, 2018. "The impact of business cycle on capital buffer during the period of Basel-II and Basel-III: Evidence from the Pakistani banks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-20, December.
    5. Daher, Hassan & Masih, A.Mansur M. & Ibrahim, Mansor H., 2014. "Islamic Banks’ Capital Buffers: Unique Risk Exposures and the Disciplining Effects of Charter Values," MPRA Paper 56947, University Library of Munich, Germany.
    6. Boubacar Camara & Laetitia Lepetit & Amine Tarazi, 2013. "Ex ante capital position, changes in the different components of regulatory capital and bank risk," Applied Economics, Taylor & Francis Journals, vol. 45(34), pages 4831-4856, December.
    7. Kick, Thomas & Malinkovich, Swetlana & Merkl, Christian, 2020. "Loan supply and bank capital: A micro-macro linkage," Journal of International Money and Finance, Elsevier, vol. 104(C).
    8. Romila Qamar & Shahid Mansoor Hashmi & Mughees Tahir Bhalli, 2016. "Are Basel Capital Standards Implemented Successfully in Pakistan?," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(62), pages 119-152, December.
    9. Heid, Frank, 2007. "The cyclical effects of the Basel II capital requirements," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3885-3900, December.
    10. repec:ipg:wpaper:2014-413 is not listed on IDEAS
    11. Thomas Brenner & Marco Capasso & Matthias Duschl & Koen Frenken & Tania Treibich, 2018. "Causal relations between knowledge-intensive business services and regional employment growth," Regional Studies, Taylor & Francis Journals, vol. 52(2), pages 172-183, February.
    12. Balázs Égert & Douglas Sutherland, 2014. "The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 98-117, February.
    13. Karmakar, Sudipto & Mok, Junghwan, 2015. "Bank capital and lending: An analysis of commercial banks in the United States," Economics Letters, Elsevier, vol. 128(C), pages 21-24.
    14. Seba Mohanty & Jitendra Mahakud, 2021. "Causal Nexus Between Liquidity Creation and Bank Capital Ratio: Evidence from India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 15(2), pages 205-237, May.
    15. Tobias Körner, 2017. "Board Accountability and Risk Taking in Banking: Evidence from a Quasi-Experiment," Journal of Financial Services Research, Springer;Western Finance Association, vol. 52(3), pages 155-190, December.
    16. Henrik Andersen, 2009. "Norwegian banks in a recession: Procyclical implications of Basel II," Working Paper 2009/04, Norges Bank.
    17. Koetter, Michael & Poghosyan, Tigran, 2008. "The implications of latent technology regimes for competition and efficiency in banking," Discussion Paper Series 2: Banking and Financial Studies 2008,15, Deutsche Bundesbank.
    18. Giacomo Carboni & Christoffer Kok & Matthieu Darrak Paries, 2014. "Exploring the Nexus Between Macro-Prudential Policies and Monetary Policy Measures: Evidence from an Estimated DSGE Model for the Euro Area," Working Papers BFI_2013-005, Becker Friedman Institute for Research In Economics.
    19. repec:zbw:bofrdp:2006_017 is not listed on IDEAS
    20. Sine KONTBAY BUSUN & Adnan KASMAN, 2015. "A Note on Bank Capital Buffer, Portfolio Risk and Business Cycle," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 15(1), pages 1-7.
    21. Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(3), pages 123-141, December.
    22. Andrea Schertler & Claudia Buch & Natalja Westernhagen, 2006. "Heterogeneity in lending and sectoral growth: evidence from German bank-level data," International Economics and Economic Policy, Springer, vol. 3(1), pages 43-72, April.

    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ptu:bdpart:r200702. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: DEE-NTD (email available below). General contact details of provider: https://edirc.repec.org/data/bdpgvpt.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.