This short communication examines the convergence of the Tier 1 capital ratio in the banking sector across the EMU. The study applies the Phillips-Sul convergence and clustering algorithm for 251 European banks over annual periods from 1990 to 2010. The null hypothesis of full convergence is rejected; however, the convergence tests reveal heterogeneity in the Tier 1 capital ratio in the European banking sector, with five distinct clusters.
N., A., A., G., J. E., P., Zagaglia, P. (2012). Convergence and clustering of Tier 1 capital in the European banking sector: a non-linear factor approach. INTERNATIONAL JOURNAL OF MONETARY ECONOMICS AND FINANCE, 5(2), 210-221 [10.1504/IJMEF.2012.048738].
Convergence and clustering of Tier 1 capital in the European banking sector: a non-linear factor approach
ZAGAGLIA, PAOLO
2012
Abstract
This short communication examines the convergence of the Tier 1 capital ratio in the banking sector across the EMU. The study applies the Phillips-Sul convergence and clustering algorithm for 251 European banks over annual periods from 1990 to 2010. The null hypothesis of full convergence is rejected; however, the convergence tests reveal heterogeneity in the Tier 1 capital ratio in the European banking sector, with five distinct clusters.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
