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EU BANKS’ PROFITABILITY AND RISK ADJUSTMENT DECISIONS UNDER BASEL III

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Šútorová B., Teplý P.
Ekonomický časopis (Journal of Economics)
|
2014
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vol. 62
|
issue 7
667 – 691
EN
This paper uses quantitative modelling methods to assess the potential impact of the new capital requirements defined in Basel III and Capital Requirements Directive IV (CRD IV) on European banks. In our analysis we explore the impact of the higher capital requirements on the level of profitability of European banks. More specifically, we try to pinpoint which of the variables will have the most significance. Based on the results of our analysis which employs a simultaneous equations model on 594 banks operating in the European Union in the 2006 – 2011 periods, we conclude that higher capital requirements under the CRD IV proposal would cause a decrease in banks’ profitability accompanied by a drop in their risk taking. Additionally, we show that a higher level of capital held by banks would cause them to decrease their risky assets held relative to total assets.
2

ANALÝZA ŘÍZENÍ RIZIK SEKTORU STAVEBNÍCH SPOŘITELEN V ČESKÉ REPUBLICE

100%
Horváth R., Teplý P.
Ekonomický časopis (Journal of Economics)
|
2013
|
vol. 61
|
issue 1
24 – 46
EN
The article investigates risks of building societies in the Czech Republic, both theoretically and practically, focusing on the liquidity and interest rate risk. We show that these two risks are more theoretical and are not threatening the sector in an extensive manner recently. Nevertheless, the stability of this sector can be undermined by hasty government reforms. In addition, we use the vector auto regression model to examine the interest rate pass-through into bank and building society interest rates in 2004 – 2011. The results indicate that the building society interest rates are more stable and less responsive to interbank market rates as well as to government bond yields. This conclusion follows from the institutional setting of building societies.
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