Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorJoaqui-Barandica, Orlando-
dc.contributor.authorManotas-Duque, Diego F.-
dc.contributor.authorUribe Gil, Jorge Mario-
dc.description.abstractWe study banks’ profitability in the US economy by means of dynamic factor models. Our results emphasize the importance of a few common cyclical market factors that greatly determine banking profitability. We conduct exhaustive regressions in a big data set of macroeconomic variables aiming to gain interpretability of our statistical factors. This allows us to identify three main macroeconomic factors underlying banking profitability: the financial burden of households and economic activity; household income and net worth and, in the case of ROA and ROE, corporate indebtedness. We also provide an integrated perspective to analyse banks’ profitability dynamically and to inform policymakers concerned with financial stability issues, for which banks’ profitability is fundamental. Our models allow us to provide several rankings of vulnerable financial institutions considering the common market forces that we estimate. We emphasize the usefulness of such an exercise as a market-monitoring toolca
dc.format.extent38 p.-
dc.publisherUniversitat de Barcelona. Facultat d'Economia i Empresaca
dc.relation.isformatofReproducció del document publicat a:
dc.relation.ispartofIREA – Working Papers, 2021, IR21/13-
dc.relation.ispartofseries[WP E-IR21/13]ca
dc.rightscc-by-nc-nd, (c) Joaqui-Barandica et al., 2021-
dc.subject.classificationEntitats financeres-
dc.subject.otherRate of return-
dc.subject.otherFinancial institutions-
dc.titleCommonality, macroeconomic factors and banking profitabilityca
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Files in This Item:
File Description SizeFormat 
IR21_013_ Joaqui+Manotas+Uribe.pdf19.49 MBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons