Commonality, macroeconomic factors and banking profitability
نویسندگان
چکیده
We study banks’ profitability in the US economy by means of dynamic factor models. Our results emphasize importance a few common cyclical market factors that greatly determine banking profitability. conduct exhaustive regressions big data set macroeconomic variables aiming to gain interpretability our statistical factors. This allows us identify three main underlying profitability: financial burden households and economic activity; household income net worth and, case ROA ROE, stress markets. also provide an integrated perspective analyse dynamically inform policymakers concerned with stability issues, for which is fundamental. models allow several rankings vulnerable institutions considering forces we estimate. usefulness such exercise as market-monitoring tool.
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ژورنال
عنوان ژورنال: The North American Journal of Economics and Finance
سال: 2022
ISSN: ['1062-9408', '1879-0860']
DOI: https://doi.org/10.1016/j.najef.2022.101714