Detail publikace

Time-varying Betas of the Banking Sector

Autor: PhDr. Tomáš Adam ,
PhDr. Ivo Jánský ,
PhDr. Soňa Pokutová - Benecká ,
Typ: IES Working Papers
Rok: 2012
Číslo: 23
Publikováno v: IES Working Papers 23/2012
Místo vydání: Prague
Klíčová slova: CAPM, Time-varying Beta, Multivariate GARCH, Bayesian State Space Models, Stochastic Volatility
JEL kódy: C11, G12, G21
Citace: Adam, T., Benecká, S., Jánský, I. (2012). “Time-varying Betas of the Banking Sector” IES Working Paper 23/2012. IES FSV. Charles University.
Abstrakt: This paper analyses the evolution of systematic risk of banking industries in eight advanced countries using weekly data from 1990 to 2012. The estimation of time-varying betas is done by means of a Bayesian state space model with stochastic volatility, whose results are contrasted with those of the standard M-GARCH and rolling-regression models. We show that both country specific and global events affect the perceived systematic risk, while the impact of the latter differs largely across countries. Finally, our results do not support the previous findings that systematic risk of the banking sector was underestimated before the last financial crisis.
Ke stažení: WP_2012_23_Adam_et_al


McKinsey & Company