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Title:Predvideni vplivi nove bančne regulative Basel III na dobičkonosnost bank iz Evropske unije
Authors:ID Kalacun, Slaviša (Author)
ID Zbašnik, Dušan (Mentor) More about this mentor... New window
Files:.pdf MAG_Kalacun_Slavisa_2015.pdf (1,46 MB)
MD5: 10CD1367435E971C90725AFAD814236A
 
Language:Slovenian
Work type:Master's thesis
Typology:2.09 - Master's Thesis
Organization:EPF - Faculty of Business and Economics
Abstract:Vzroki in posledice zadnje finančne krize so mednarodno skupnost privedle do spoznanja, da so bančni in finančni sistemi držav občutljivi na nepričakovane finančne in ekonomske šoke. Mednarodna skupnost je spoznala, da z veljavno regulativo Basel II te vrste tveganj ni možno obvladovati, zato je Baselski odbor za bančni nadzor pripravil novo bančno regulativo Basel III. Problem raziskovanja so predvideni vplivi sprememb, ki jih prinaša nova bančna regulativa Basel III na dobičkonosnost bank iz EU, merjeno s kazalnikom donosnosti sredstev ROA in s kazalnikom donosnosti lastniškega kapitala banke ROE. Ugotovitve bodo pripomogle h kakovostni pripravi bank na predvidene vplive zahtev iz nove bančne regulative Basel III na dobičkonosnost poslovanja bank in posledično h kakovostnejšemu strateškemu in operativnemu načrtovanju delovanja bank, kar je v interesu vseh deležnikov bank. Deset hipotez smo preverjali s Pearsonovimi koeficienti korelacije, s katerimi je mogoče ugotavljati moč in smer korelacije med posameznimi spremenljivkami. V nadaljevanju smo opravili poglobljeno raziskavo vplivov z ekonometričnim modelom multiple regresije, s katerim smo raziskali vplive štirih bančnih in treh makroekonomskih spremenljivk (napovedovalcev) na kazalnik dobičkonosnosti sredstev bank ROA in kazalnik dobičkonosnosti kapitala bank ROE. Rezultati preverjanja hipotez nam pokažejo, da ima najmočnejšo raven korelacije, merjeno s Pearsonovim koeficientom korelacije, s kazalnikom dobičkonosnosti bank ROA napovedovalec temeljni kapital 1. reda, nato po moči korelacije sledi bruto družbeni produkt in nato sledita kapitalski blažilnik in tveganju prilagojena sredstva. Najmočnejšo raven korelacije s kazalnikom dobičkonosnosti bank ROE ima prav tako napovedovalec temeljni kapital 1. reda, nato sledita kapitalski blažilnik in tveganju prilagojena sredstva ter nato bruto družbeni produkt. Pri ugotavljanju skupnega vpliva sedmih spremenljivk na posamezen kazalnik dobičkonosnosti bank, nam analiza z metodo multiple regresije pokaže, da daje največji prispevek posameznega napovedovalca k modelu ROA temeljni kapital 1. reda, nato bruto družbeni produkt in nato kapitalski blažilnik. Napovedovalca temeljni kapital 1. reda in bruto družbeni produkt vplivata na izid pomembno pozitivno, medtem ko napovedovalec kapitalski blažilnik vpliva na izid pomembno negativno. V našem modelu lahko ugotovimo, da zgolj napovedovalec kapitalski blažilnik vpliva na kazalnik dobičkonosnosti bank ROA negativno, vsi ostali napovedovalci pa na ROA vplivajo pozitivno. Največji prispevek posameznega napovedovalca k modelu ROE dajeta napovedovalca bruto družbeni produkt in temeljni kapital 1. reda. Oba napovedovalca vplivata na kazalnik dobičkonosnosti bank ROE pozitivno. Z ekonometrično raziskavo smo ugotovili, da ima temeljni kapital 1. reda najmočnejši medsebojni vpliv, kakor tudi delež v skupinskem vplivu na dobičkonosnosti bank, merjeno s kazalnikom dobičkonosnosti bank ROA in kazalnikom dobičkonosnosti bank ROE. Glede na to, da ima nova bančna regulativa Basel III najpomembnejše nove zahteve ravno s področja kapitala bank, bodo zahteve Basel III imele velik vpliv na dobičkonosnosti bank, na kar morajo biti vodstva bank pravočasno pripravljena.
Keywords:finančna kriza, Basel III, dobičkonosnost sredstev, dobičkonosnost kapitala, Pearsonov koeficient korelacije, multipla regresija
Place of publishing:[Maribor
Publisher:S. Kalacun
Year of publishing:2015
PID:20.500.12556/DKUM-55454 New window
UDC:336.71
COBISS.SI-ID:12202524 New window
NUK URN:URN:SI:UM:DK:TJV9WGOY
Publication date in DKUM:25.01.2016
Views:2449
Downloads:230
Metadata:XML DC-XML DC-RDF
Categories:EPF
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Secondary language

Language:English
Title:Estimated Impacts of the New Basel III Banking Regulation on the Profitability of Banks in the European Union
Abstract:Causes and consequences of the recent financial crisis, led the international community to the conclusion that the banking and financial systems, as an important part of the national economies, are very vulnerable to unexpected financial and economic shocks. The international community has also recognized that with the current Basel II regulations these types of risks can not be managed, therefore, the Basel Committee on Banking Supervision drafted the new Basel III banking regulations. Regarding all we decided to research estimated impact of the new Basel III banking regulations on the profitability of the banks in the EU, measured by the indicator of return on assets ROA and by the indicator of return on equity ROE. The research findings will contribute to the quality of the preparation of the banks to the impacts of the new Basel III banking regulation on profitability as well as to relevant strategic and operational planning of the bank, which is in the interests of all stakeholders. Ten hypotheses were examined and analysed with Pearson's correlation coefficient, which can be applied to determine the strength and direction of the correlation between two variables. In continuation, we conducted an in-depth analysis of the effects of the econometric model of multiple regression, with whom we studied the impacts of four banking and three macroeconomic predictive variables on the indicators of bank's profitability ROA and ROE. The results of verifying hypotheses have shown us that the strongest levels of correlation, measured by the Pearson's correlation coefficient, with the indicator of profitability of banks ROA is predictor Core Tier 1 capital, then followed by predictor Gross domestic product, and then by Capital buffer and Risk-weighted assets. The strongest levels of correlation with the profitability indicator ROE has also a predictor Core Tier 1 capital, then followed by Capital buffer and Risk-weighted assets, and by Gross domestic product. In researching the combined effect of all seven variables on each measure of profitability, we conduct the analysis with multiple regression which indicated that the largest contribution to ROA model gave Core Tier 1 capital, then followed by the Gross domestic product, and then Capital buffer. Predictors Core Tier 1 capital and Gross domestic product affect the outcome significantly positive, while the predictor Capital buffers affect the outcome significantly negative. Predictor Capital buffer affects the indicator of profitability ROA negative, and all the others predictors of ROA model positive. The maximum contribution to the ROE model gave prodictors Gross domestic product and Core Tier 1 capital. Both prodictors effected bank's profitability indicator ROE positive. With the econometric study we indicated that the Core Tier 1 capital has the strongest single impact as well as the share in collective impact on the profitability of banks, measured by indicator of bank's profitability ROA and by indicator ROE. Major new requirements of the new banking regulation Basel III are mainly from the area of bank's capital requirements, therefore Basel III new requirements shall have a significant impact on the profitability of banks, therefore the management of banks should be timely prepared.
Keywords:financial crisis, Basel III, assets profitability, equity profitability, Pearson's correlation coefficient, multiple regression


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