Do an event study about European Banks during Brexit referendum date using the data that I give
1) Please use STATA for the regression
2) You get from me the data on capitalization and systemic risk indicators for a set of banks and financial firms
3) You might have to download a basic set of control variables (Assets, NPLs, capital ratios, ROA)
4) You do an event study analysis on Brexit referendum date (Banks in Europe can be about Return or other)
5) As a measure of “exposure” you try the following:
=> UK banks
=> systemically risky banks (use the GSIB list published here https://www.fsb.org/wp-content/uploads/P221119-1.pdf, you might need to look for 2015 -2016 list)
=> systemically risky banks (take. 2015 SRISK from the database I share, rank the banks and take “above median” as an affected group or “above 75% percentile” as an affected group)
*=> ib/commercial (use the proportion of non-interest income…)
*=> use the country-country exposure matrix and find how much the banking system of say France is exposed to the non-France sectors or to UK sectors. Then each bank in France gets X as a measure of “treatment” (if you want to do this one we can look at it in detail ) *=> use synthetic controls to check the analysis above
6) Use the variables and the data that is mentioned and given in the excel
7) Literature review on the second chapter with a minimum of 5 citations from credible academics journal. Literature is more on policy interventions and outcomes – just see brexit as political rather than banking reform but the approach is similar.
8)The database has separate files per bank (see attached). I am also attaching an xls with the mapping, a mapping I did to pre-select the European bank sample and some controls
