El impacto de la última gran crisis financiera sobre el comportamiento procíclico de los bancos Europeos: un punto de inflexión

• Luis Porcuna ^[1]
  1. [1] Universitat de València

     Universitat de València

     Valencia, España

     
• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Vol. 47, Nº 4, 2018, págs. 533-578
• Idioma: español
• DOI: 10.1080/02102412.2018.1449486
• Títulos paralelos:
  • The impact of the recent financial crisis on the procyclical behavior of European banks: a turning point
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• Dialnet Métricas: 1 Cita
• Resumen
  • español

    Este trabajo examina el impacto de la reciente crisis financiera sobre la relación entre los deterioros por pérdidas crediticias (LLP) y las fluctuaciones del crédito. Los datos macroeconómicos y el Índice de Riesgo Sistémico (CISS) indican que la crisis no ha sido homogénea, sino que podemos distinguir dos etapas: (i) la crisis subprime (2008–2009), y (ii) la crisis de la deuda soberana (2010–2013). Con un panel de 125 bancos comerciales cotizados europeos entre 2005 y 2013, encontramos que el uso discrecional de las LLP para alisar el resultado está directamente relacionado con la intensidad de la crisis. Asimismo, este componente discrecional de las LLP no actúa como herramienta anticíclica del ciclo de crédito durante la crisis financiera.

  • English

    This paper examines the impact of the most recent financial crisis on the relationship between loan loss impairments (LLP) and credit fluctuations. Both macroeconomic variables and the Composite Indicator of Systemic Stress show us that the last crisis has not been a homogeneous period but it may be split into two stages: (i) subprime crisis (2008–2009) and (ii) sovereign debt crisis (2010–2013). Using a panel based on 125 European listed commercial banks spanning 2005 and 2013, we find that the discretionary use of LLP to smooth earnings is positively associated with the intensity of the crisis. Moreover, this discretionary component of LLP does not act as a countercyclical mechanism to the credit cycle during the financial crisis.

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