The Asymmetric Impact of Portfolio Mix on Bank Performance over the Business Cycle: U.S. and Canadian Evidence
Christian Calm¨¨s () and
Raymond Th¨¦oret ()
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Christian Calm¨¨s: D¨¦partement des sciences administratives, University du Qu¨¦bec (Outaouais), CANADA
Raymond Th¨¦oret: D¨¦partement de finance, Universit¨¦ du Qu¨¦bec (Montr¨¦al), CANADA
Review of Economics & Finance, 2016, vol. 6, 57-74
We analyze the dynamic linkage between fee-based income and bank performance linkage in the aftermath of the crisis. Surprisingly, our time series approach suggests that the share of fee-based income keeps contributing substantially to bank return on assets (ROA) and risk-adjusted ROA after the crisis. More precisely, our multivariate GARCH framework suggests that the comovements between ROA and fee-based income return are asymmetric¡ªi.e., crucially depend on the phase of the business cycle.
Keywords: Bank; Diversification; Business cycles; Multivariate GARCH; GMM (search for similar items in EconPapers)
JEL-codes: C32 G20 G21 (search for similar items in EconPapers)
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