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.
Convergence and clustering of Tier 1 capital in the European banking sector: a non-linear factor approach / N. Apergis; A. Gabrielsen; J. E. Payne; P. Zagaglia. - In: INTERNATIONAL JOURNAL OF MONETARY ECONOMICS AND FINANCE. - ISSN 1752-0479. - STAMPA. - 5:2(2012), pp. 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.
