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Publicações


2020

020 – Performance indicators to support firm-level decision making in the Wine Industry: a systematic literature review

MOTA, J., MOREIRA, A. C., COSTA, R., SERRÃO, S., PAIS-MAGALHÃES, V., & COSTA, C.
International Journal of Wine Business Research, 33(2), 217-237

019 – Structural Systemic Risk: Evolution and Main Drivers

Azevedo, N. and Oliveira, V.
Journal of Network Theory in Finance, Vol. 5 (4), pp 1-28
Abstract

This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies. The methodology, known as network analysis, comprises direct (credit and liquidity risk) and indirect (concentration risk) contagion channels as well as other specificities that improve the methodologies exploited so far in the literature. Using a consolidated sample, which varies between 14 and 17 banks over the period 2007–17, we show that the structural systemic risk of the Portuguese banking system reduced between 2007 and 2017. Further, in line with most of the literature, this paper highlights that direct contagion is not significant compared with contagion that stems from banks’ common exposures to asset classes. Finally, this paper supports the role played by capital in mitigating structural systemic risk, and the model behind the analysis can be used to perform stress tests with a macroprudential dimension as well as to calibrate structural capital buffers such as the other systemically important institutions and systemic risk buffers.


018 – Has the crisis introduced a new paradigm in banks’ credit allocation? The non-financial corporations’ perspective

Lopes, A., Oliveira, V., Ramos, A. and Silva, F.
Journal of Financial Markets, Institutions & Instruments pp 1-32
Abstract

In the years prior to the onset of the global financial crisis, the sharp credit growth, in a context of optimistic income expectations, boosted by an increase in competition in the banking system, less restrictive lending criteria and favorable financing conditions in international wholesale debt market, led to a marked rise in the debt levels of non-financial corporations. In this paper, we use a panel data regression, with fixed effect estimators, to study how the relationship between bank credit granted to each firm and a set of firm-specific indicators, that measure overall balance sheet performance and riskiness, changed over the 2006–2017 period. The results suggest that, during and after the Portuguese sovereign debt crisis, the sensitivity of the bank credit granted to firms to overall balance sheet strength and riskiness of firms increased, except in the case of leverage, where the sensitivity decreased slightly. Nonetheless, banks on average lent more to lower leveraged firms than to higher leveraged firms throughout the period considered. The results also show that statistical significance slightly reduces with the size of the firm and, when compared with the pre-crisis sub-period, banks did not increase lending to higher leveraged large firms in the crisis and post-crisis sub-periods. Finally, we find that the most capitalized banks were the ones more willing and/or able to support firms, during the crisis, even firms that experienced a deterioration in their indicators.


017 – O Efeito Disposição na Negociação de Certificados

P. Silva & Victor Mendes
Caderno do Mercado de Valores Imobiliários, Vol. 66

016 – O Investidor em Fundos de Investimento Sustentáveis

P. Silva & Victor Mendes
Caderno do Mercado de Valores Mobiliários, Vol. 67

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