Examinando por Autor "Baselga Pascual, Laura"
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Ítem Bank credit risk and sovereign debt exposure: moral hazard or hedging?(Elsevier Ltd, 2025-01) Baselga Pascual, Laura; Lobán Acero, Lidia; Myllymäki, Emma RiikkaThis study investigates the relationship between credit risk and bank exposure to sovereign debt. Using an international dataset of commercial banks from 2002 to 2022, we apply various regressions and panel data models to address potential endogeneity issues. Our results reveal that banks with higher levels of impaired loans tend to hold more sovereign debt. Furthermore, we observe that this relationship is stronger in countries with high sovereign credit ratings. This suggests that banks, when confronted with elevated credit risk from impaired loans, may seek safety in sovereign debt as a seemingly secure investment.Ítem Bank risk determinants in Latin America(MDPI AG, 2020-09-07) Martínez Malvar, Mariña; Baselga Pascual, LauraSystemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system. This paper examines the main bank risk determinants in Latin America. The period analysed covers the timespan from 1999 to 2013, including the systemic banking crisis episodes in Argentina (2001–2003) and Uruguay (2002–2005). We apply a new data‐driven comparable methodology to classify and select commercial banks from the sample. We study bank risk proxied by the Z‐score. We use the system‐GMM estimator as our main empirical analysis method. According to our results, well capitalized, liquid, and traditional commercial banks are less risky. We perform robustness tests by applying OLS, and the results resemble our original model.Ítem Corporate relation extraction for the construction of knowledge-bases against tax fraud(Elsevier B.V., 2025-01-19) López Gazpio, Íñigo; Baselga Pascual, Laura; Garmendia-Lazcano, AitorTax fraud is a criminal activity that entails significant losses for governments. Due to its clandestine nature, it is difficult to reliably estimate the amount of taxes evaded. To fight tax fraud, this investigation details the construction and evaluation of a corporate relation extraction system designed to access an unstructured knowledge-base and extract corporate relations for further validation. The system was developed in response to a need raised by the Treasury and Finance Department of the Provincial Council of Gipuzkoa (Spain). It follows a waterfall architecture that integrates Natural Language Processing (NLP) and Computer Vision (CV) components, including web scraping, optical character recognition, syntactic parsing, and information extraction. The proposed system produces a relational knowledge-base with structured data representing 23 types of corporate operations published in the Official Gazette of the Commercial Registry (e.g., incorporation of companies, terminations, capital increases and reductions, mergers and takeovers, etc.), allowing for comparison with the fiscal information available in the tax agency. Facilitating such comparison across distinct sources is key to identifying discrepancies that might be indicators of tax fraud.Ítem The role of regional tax autonomy, firm size, and business groups in tax avoidance: evidence from Spain(Taylor & Francis, 2024-07-10) Garmendia-Lazcano, Aitor; Baselga Pascual, LauraThis paper investigates the influence of regional tax autonomy, firm size, and business group affiliation on corporate tax burden in a large sample of Spanish firms, including non-listed firms, from 2007 to 2016. Our findings reveal that firms located in tax- autonomous regions exhibit lower effective corporate tax rates (ETR), providing new empirical support for the horizontal tax com-petition theory. Additionally, we identify a positive relationship between firm size and corporate tax burden, aligning with the political cost theory. Furthermore, we find that group-affiliated firms face a higher ETR than independent firms, and that group affiliation attenuates the differences in the tax burden experienced by large and small firms.Ítem Sovereign debt exposure of european less significant banks: too small to be bailed(Universidad Camilo José Cela , 2022-12-23) Martínez Malvar, Mariña; Baselga Pascual, LauraThis paper studies the determinants of the sovereign debt portfolios of small European banks. We cover the time frame from 2010 to 2017, including the European debt crisis. Our main results indicate that capitalization and credit quality determine the sovereign debt exposure of Less Significant Institutions (LSI). We provide empirical support to previous literature showing that bank capitalization is negatively correlated to sovereign debt exposure. We, unexpectedly, find credit quality to be positively correlated to the sovereign debt exposure of LSIs which could be explained by the conservative nature of their business model together with their smaller size, that makes them “not-too-big-to fail”, leading to a greater risk aversion and a more efficient loan policy. We apply a GMM-system estimator to address endogeneity and unobserved heterogeneity. Overall, our results contribute to a better understanding of the risk determinants of LSIs, enriching the debate on supervision and regulation proportionality for small European banks.Ítem Toward a more resilient financial system: should banks be diversified?(MDPI AG, 2018-06-07) Baselga Pascual, Laura; Orden Olasagasti, Olga del ; Trujillo-Ponce, AntonioThis article empirically analyzes the effects of revenue diversification on the profitability and risk of a large sample of Eurozone banks over the period from 2000 to 2012. We use the generalized method of moments (GMM) estimator, which is also referred to as the system-GMM estimator. We conclude that higher income diversification favors bank profitability. However, our study does not find a significant relationship between revenue diversification and bank risk, even when considering a crisis period. Our results suggest that establishing restrictions in the universal banking model could damage the resilience of the financial system, and thus affect the sustainability of the uneven economic recovery in Europe.