Revisiting bank profitability: A semi-parametric approach

Kanas, Angelos and Vasiliou, Dimitrios and Eriotis, Nikolaos (2012) Revisiting bank profitability: A semi-parametric approach. Journal of International Financial Markets, Institutions and Money, 22 (4). pp. 990-1005. ISSN 1042-4431. (doi:https://doi.org/10.1016/j.intfin.2011.10.003) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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Official URL
http://dx.doi.org/10.1016/j.intfin.2011.10.003

Abstract

We employ a semi-parametric empirical model and reveal evidence that the U.S. bank profitability is affected non-parametrically by the business cycle, short-term interest rates, inflation expectations, credit risk, and loan portfolio structure. If a semi-parametric perspective was not adopted then it would not be feasible to uncover the effects of these variables, as well as the effects arising from capital and financial structure upon U.S. bank profitability. In addition, the out-of-sample performance of the semi-parametric model is superior to that of the linear model. These results are of importance to policy makers in designing a macro-prudential framework for monitoring the banking system. © 2012.

Item Type: Article
Additional information: Unmapped bibliographic data: AD - University of Piraeus, Department of Economics, Greece [Field not mapped to EPrints] AD - Hellenic Open University, Greece [Field not mapped to EPrints] AD - University of Athens, Department of Economics, Greece [Field not mapped to EPrints] JA - J. Int. Financ. Mark. Inst. Money [Field not mapped to EPrints]
Uncontrolled keywords: Bank profitability, Determinants, Macro-prudential perspective, Semi-parametric model, U.S.
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 11:24 UTC
Last Modified: 16 Jul 2014 15:50 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41130 (The current URI for this page, for reference purposes)
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