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Determinants of bank risk behaviour in EMU countries

Manish Singh ()

Applied Economics Letters, 2016, vol. 23, issue 5, 365-368

Abstract: This article investigates the determinants of banking sector risk behaviour in EMU countries over the period 2004Q4–2013Q3. Average ‘Distance-to-default (DtD)’ based on all publicly listed banks headquartered in a particular country is used as an indicator of banking risk. Macroeconomic fundamentals, market sentiments and gross debt-to-GDP together with private debt are considered as factors explaining risk behaviour. Using a panel framework, I found that the market sentiments, debt-to-GDP ratio and nonfinancial institutions debt significantly affect banking sector fragility.

Date: 2016
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DOI: 10.1080/13504851.2015.1076138

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