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Essays on European Banks' Consolidation, Integration and Systemic Risk

Luo, Jun (2020) Essays on European Banks' Consolidation, Integration and Systemic Risk. PhD thesis, University of Essex.

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Abstract

This thesis consists of three essays about European banks and provides several useful policy implications for bank supervisors, regulators and managers. In the first essay, firstly, we find some evidences that size, liquidity ratio, efficiency, leverage ratio, tier 1 ratio, concentration ratio, capital regulatory power and supervisory power are the main determinants of acquirers’ performance changes after M&As. Secondly, we obtain that interest rate difference between distressed and non-distressed countries negatively granger-cause change of ROE and change of NII but not vice versa. Thirdly, we find some evidences that the financial crisis did have negative impacts on acquirers’ performance changes after M&As. In the second essay, first, we find that acquirers’ systemic risk increased significantly after M&As. Second, we identify that acquirers from more integrated banking markets will have higher systemic risk after M&As. Third, we recognize that size, product diversification, asset quality, capital ratio, short-term debt, bailouts, deposit insurers’ power and private monitoring index are the main determinants of acquirers’ systemic risk of bank M&As in Europe. Fourth, we also find some evidences that those variables have significantly different effects on acquirers’ systemic risks in post-crisis period, compared with those in pre-crisis period. In the third essay, firstly, we find certain evidences that the expansionary monetary policy will contribute to the buildup of systemic risk in banking sector in euro area in the long-term. Secondly, we identify that banks that have more diversified income structure, poorer asset quality, more deposit funding, more equity capitals and larger sizes will have higher systemic risks. Thirdly, we find that riskier banks will benefit more from the expansionary monetary policy.

Item Type: Thesis (PhD)
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jun Luo
Date Deposited: 22 Jan 2020 15:43
Last Modified: 22 Jan 2020 15:43
URI: http://repository.essex.ac.uk/id/eprint/26553

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