The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum
This study aims to find the determinants of bank default risk in the eurozone under the special period of Brexit referendum, and find how Brexit referendum affect the bank stability within a short term. The period of 2013-2017 is selected, whereas the largest 200 commercial banks in the euro area ar...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2018
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| Online Access: | https://eprints.nottingham.ac.uk/53695/ |
| _version_ | 1848798974079664128 |
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| author | LI, Jingchao |
| author_facet | LI, Jingchao |
| author_sort | LI, Jingchao |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study aims to find the determinants of bank default risk in the eurozone under the special period of Brexit referendum, and find how Brexit referendum affect the bank stability within a short term. The period of 2013-2017 is selected, whereas the largest 200 commercial banks in the euro area are chosen as the research sample. In the empirical analysis, The Boyd and Graham’s (1986) Z-Score is applied as the proxy for bank default risk, whereas bank specific variables, traditional macro level indicators and Brexit referendum related variables are considered as regressors in the panel data model. The result found that bank profitability, asset liquidity, capital adequacy, size and GDP growth are significantly and positively related with bank stability, whereas unemployment rate and inflation rate have negative impact on the bank Z-score. In addition, the short-term impact of Brexit referendum is tested to have negative impact on bank stability via the application of time dummy variables and Brexit referendum related financial variables, which indicates euro area banks are required to predict these political events accurately and make sufficient preparation before. |
| first_indexed | 2025-11-14T20:28:17Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-53695 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:28:17Z |
| publishDate | 2018 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-536952022-03-11T16:45:59Z https://eprints.nottingham.ac.uk/53695/ The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum LI, Jingchao This study aims to find the determinants of bank default risk in the eurozone under the special period of Brexit referendum, and find how Brexit referendum affect the bank stability within a short term. The period of 2013-2017 is selected, whereas the largest 200 commercial banks in the euro area are chosen as the research sample. In the empirical analysis, The Boyd and Graham’s (1986) Z-Score is applied as the proxy for bank default risk, whereas bank specific variables, traditional macro level indicators and Brexit referendum related variables are considered as regressors in the panel data model. The result found that bank profitability, asset liquidity, capital adequacy, size and GDP growth are significantly and positively related with bank stability, whereas unemployment rate and inflation rate have negative impact on the bank Z-score. In addition, the short-term impact of Brexit referendum is tested to have negative impact on bank stability via the application of time dummy variables and Brexit referendum related financial variables, which indicates euro area banks are required to predict these political events accurately and make sufficient preparation before. 2018-09-05 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/53695/1/Li%20Jingchao%20Dissertation.pdf LI, Jingchao (2018) The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum. [Dissertation (University of Nottingham only)] bank default risk Z-Score determinants euro area Brexit referendum |
| spellingShingle | bank default risk Z-Score determinants euro area Brexit referendum LI, Jingchao The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum |
| title | The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum |
| title_full | The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum |
| title_fullStr | The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum |
| title_full_unstemmed | The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum |
| title_short | The Determinants of Bank Default Risk: Evidence from Commercial Banks in Euro Area under the Background of Brexit Referendum |
| title_sort | determinants of bank default risk: evidence from commercial banks in euro area under the background of brexit referendum |
| topic | bank default risk Z-Score determinants euro area Brexit referendum |
| url | https://eprints.nottingham.ac.uk/53695/ |