The impact of basel II regulation in the european banking market - A panel data analysis approach

Detta är en Kandidat-uppsats från Göteborgs universitet/Institutionen för nationalekonomi med statistik

Författare: Mattias Andersson; Isabell Nordenhager; [2013-07-05]

Nyckelord: ;

Sammanfattning: This thesis aims to investigate if the improved capital regulatory framework implemented by the BaselCommittee on Banking Supervision has had any effect on the capital adequacy ratio of selected banks.A sample of twenty-four European banks was chosen to represent the European banking market as awhole, and a panel data approach was used. To evaluate if any difference occurred between the timeperiod before and after the implementation, a multiple regression analysis using Ordinary LeastSquares and Fixed Effects was carried out. Capital adequacy ratio was set as the dependent variable,and Equity ratio, Net loans over total assets, Return on assets, Liquid assets over total deposits andNon‐performing loan ratio as independent variables. A dummy variable was added to eachindependent variable to distinguish the ratios before the implementation with those from the periodafter. Further, a bank‐dummy variable for each bank was also added to the model in order to count forbank‐specific differences and to not let these bias the result.The Robust FE result showed that five independent variables had a significant effect on the capitaladequacy ratio, and that the effect has changed since the implementation of Basel II. It also showedthat the mean value of the capital adequacy ratio has increased by approximately two percent. Themodel proved that Basel II has had a statistically significant effect, but in reality this effect was quiteunpretentious related to how big and expensive the implementation process has been. We considerour regression reliable on the basis of an accurate selection of the econometric methods used and asignificant result, even though the effect of Basel II turned out to be minor compared to what weexpected it to be.

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