Does GACS scheme help systemic risk and financial stability of the Italian banks?

Abstract

The dissertation aims to evaluate the impact of the Italian GACS policy enacted in 2016 on the banking sector. This policy scheme is designed to decrease the Non-Performing Loans from banks’ balance sheets. We used a sample of 22 Italian listed banks and three systemic risk measures: Marginal Expected Shortfall (MES) in two versions and Conditional Value at Risk (CoVaR). The period under investigation goes from 2015 to 2019. Based on panel-data regression methods and controlling for bank’s risk profile (size, leverage, returns-on-asset, liquidity ratio), we found a negative correlation between GACS and the systemic risk measures. The banks that applied for the Italian policy on average decreased their risk contribution to the banking system, providing evidence in favour of the effectiveness of this policy measure. All the estimations are consistent among the three systemic risk indicators.

Date of Award	29 Jun 2020
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carla Sofia Soares (Supervisor)