Determinants of bank risk behaviour in EMU countries

摘要

This article investigates the determinants of banking sector risk behaviour in EMU countries over the period 2004Q4-2013Q3. Average 'Distance-to-default (DtD)' based on all publicly listed banks headquartered in a particular country is used as an indicator of banking risk. Macroeconomic fundamentals, market sentiments and gross debt-to-GDP together with private debt are considered as factors explaining risk behaviour. Using a panel framework, I found that the market sentiments, debt-to-GDP ratio and nonfinancial institutions debt significantly affect banking sector fragility.