Mark Bertus

A Cross-Country Analysis of Bank Performance: The Role of External Governance

Recent corporate scandals, together with the effects of globalization, have led to an increasing interest in corporate governance issues. Little attention has been paid, however, to international laws and recommendations dealing with corporate governance in banking from a global perspective. This impressive international set of expert contributors – academics, practitioners and regulators – remedies the lack of attention by examining the various issues and concerns of this important topic.

A Simplified Approach to Understanding the Kalman Filter Technique

The Kalman Filter is a time series estimation algorithm that is applied extensively in the field of engineering and recently (relative to engineering) in the field of finance and economics. However, presentations of the technique are somewhat intimidating despite the relative ease of generating the algorithm. This paper presents the Kalman Filter in a simplified manner and produces an example of an application of the algorithm in Excel. This scaled down version of the Kalman filter can be introduced in the (advanced) undergraduate classroom as well as the graduate classroom.

A Cross-Country Assessment of Bank Risk-Shifting Behavior

Banks are important for mobilizing savings and then channeling those funds to productive investment projects. While providing these and other services that contribute to economic growth and development, banks take on various types of risks with the expectation that the return they receive will compensate for the risks. This paper presents a simple model and tests the extent to which information asymmetry between bank owners and depositors induces risk-shifting behavior that allows for higher bank net interest margins. The empirical results support the hypothesis that the greater the degree of information asymmetry the higher net interest margins base upon a sample of 3,115 banks in 98 countries.

A Theoretical and Empirical Assessment of Bank Risk-Shifting Behavior

Banks are important for mobilizing savings and then channeling those funds to productive investment projects. While providing these and other services that contribute to economic growth and development, banks take on various types of risks with the expectation that the return they receive will compensate for the risks. This paper theoretically models and empirically tests the extent to which information asymmetry between bank owners and depositors induces risk-shifting behavior that allows for higher bank net interest margins. The empirical results support the theoretical hypothesis that the greater the degree of information asymmetry the higher net interest margins base upon a sample of 3,115 banks in 98 countries.

To be euro or not to be euro: a comparative analysis of banking systems

For the past half century, European countries have moved to harmonize their economies. While there has been a push for a single banking market in Europe, the 25 European Union (EU) countries have still not achieved full harmonization. The purpose of this study is to explore similarities and differences in country-specific banking system attributes between member nations in the EU that have adopted the Euro and those that have not. We find evidence suggesting that the currency adoption decision is related to the level of market disclosure and openness. In general, countries that have adopted the Euro have the strongest quality of information and greatest protection against the exploitation of banking entities.