The effect of macroprudential policies on bank risk: the case of eurozone banks
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Keywords
Μακροπροληπτική πολιτική ; Μακροπροληπτική εποπτεία ; Μακροπροληπτικά εργαλεία ; Ευρωζώνη ; CAMELS ; Z-Score ; Μέτρα που στοχεύουν στον δανειζόμενο ; Μέτρα που στοχεύουν στο χρηματοπιστωτικό ίδρυμα ; Κίνδυνος χώρας ; Τραπεζικοί κίνδυνοι ; Cerutti's databaseAbstract
This thesis deals with the effectiveness of macroprudential policy on bank risk for Eurozone
banks. It gives an overview of macroprudential policy and examines its impact on risktaking
behavior of (Eurozone) banks. Macroprudential policy is expressed both as an
aggregate index and it is also divided into sub-indexes. Furthermore, the riskiness of
banking institutions is evaluated by using the so-called CAMELS variables. The empirical
analysis is conducted at bank level by using panel pooled OLS. The sample consists of 41
commercial, savings and cooperative banks headquartered in Eurozone member states
from 2011 till 2017. The main finding of the thesis is that macroprudential instruments do
have the power to reduce bank risk and improve financial stability. The effects are greater
for banks headquartered in a country that the market considers safe.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
81Language
English
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές