Assessing the Potential Strength of a Bank Capital Channel in Europe: A Principal Component Analysis

Cristina Badarau and Grégory Levieuge

The Review of Finance and Banking, 2010, vol. 02, issue 1, 005-016

Abstract: The asymmetric impact of the recent financial crisis on the European countries' real activity raised the question of the heterogeneity of the transmission channels of shocks in the euro area. In this article, we suggest an assessment of this heterogeneity based on the banks' capital channel (BCC). To this end, we follow an original and global perspective, studying the combination of several key indicators through a Principal Component Analysis (PCA). Based on data collected before the beginning of the crisis, the analysis identifies Germany and Italy as the European economies a priori the most exposed to a financial shock passing through the BCC, while Finland, France or Spain would be the least exposed. The comparison of these a priori results to the post-crisis economic performance of the largest European countries supports the idea of a heterogeneous bank capital channel inside the union.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.rfb.ase.ro/articole/A1-Semenescu.pdf Full text (application/pdf)

Related works:
Working Paper: Assessing the Potential Strength of a Bank Capital Channel in Europe: A Principal Component Analysis (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfb:journl:v:02:y:2010:i:1:p:005-016

Access Statistics for this article

The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

More articles in The Review of Finance and Banking from Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Tatu Lucian ().