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Title: Exploring Short- and Long-Run Links from Bank Competition to Risk
Authors: Davis, EP
Karim, D
Issue Date: 25-Mar-2018
Citation: Davis, E.P. and Karin, D. (2018) 'Exploring short- and long-run links from bank competition to risk', European Financial Management, 25 (3), pp. 462 - 488. doi: 10.1111/eufm.12176.
Abstract: Copyright © 2018 The Authors. The current literature offers diverse findings on the bank competition-risk relationship. We seek to advance understanding by looking at both short- and long-run relationships for banks from 27 EU countries, using a six-year period before and since 2007 and employing both the H-statistic and the Lerner index as measures of competition. We thus highlight further nuances in the competition–risk relationship that are absent from the current literature. Both measures have a positive short-run relationship with risk, while long-run effects differ. Underlying this, the competition measures differ in their relationship to the volatility of profits, with important policy implications.
ISSN: 1354-7798
Other Identifiers: ORCiD IDs: E Philip Davis:; Dilruba Karim:
Appears in Collections:Dept of Economics and Finance Research Papers

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