On the drivers of profitability in the banking industry in restructuring timesa Bayesian perspective

  1. Paula Cruz García 1
  2. Anabel Forte Deltell 1
  3. Jesús Peiró Palomino 1
  1. 1 Universitat de València
    info

    Universitat de València

    Valencia, España

    ROR https://ror.org/043nxc105

Revista:
Applied economic analysis

ISSN: 2632-7627

Ano de publicación: 2020

Volume: 28

Número: 83

Páxinas: 111-131

Tipo: Artigo

DOI: 10.1108/AEA-01-2020-0003 DIALNET GOOGLE SCHOLAR lock_openAcceso aberto editor

Outras publicacións en: Applied economic analysis

Resumo

Purpose – There is abundant literature analyzing the determinants of banks’ profitability through its main component: the net interest margin. Some of these determinants are suggested by seminal theoretical models and subsequent expansions. Others are ad-hoc selections. Up to now, there are no studies assessing these models from a Bayesian model uncertainty perspective. This paper aims to analyze this issue for the EU-15 countries for the period 2008-2014, which mainly corresponds to the Great Recession years. Design/methodology/approach – It follows a Bayesian variable selection approach to analyze, in a first step, which variables of those suggested by the literature are actually good predictors of banks’ net interest margin. In a second step, using a model selection approach, the authors select the model with the best fit. Finally, the paper provides inference and quantifies the economic impact of the variables selected as good candidates. Findings – The results widely support the validity of the determinants proposed by the seminal models, with only minor discrepancies, reinforcing their capacity to explain net interest margin disparities also during the ecent period of restructuring of the banking industry. Originality/value – The paper is, to the best of the knowledge, the first one following a Bayesian variable selection approach in this field of the literatur

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Información de financiamento

Authors acknowledge the financial support of the Spanish Ministry of Economy and Competitiveness (ECO2017-84858-R, ECO2017-85746-P and MTM2016-77501-P). Jesús Peiro-Palomino is also grateful to the University Jaume I (UJI-B2017-33) and Anabel Forte is also grateful to Consejería de Educacion, Cultura y Deportes (JCCM, Spain) (SBPLY 17/180501/000491).

Financiadores

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