The impact of bank capital on risk
| Model-1 | Model-2 | Model-3 | Model-4 | Model-5 | Model-6 | |
|---|---|---|---|---|---|---|
| Variables | CAR and LNZSCORE | CAR and NPLTL | CAR and LLPNIR | ETAR and LNZSCORE | ETAR and NPLTL | ETAR and LLPNIR |
| LNZSCOREt−1 | 0.779*** (37.77) | 0.757*** (33.29) | ||||
| NPLTLt−1 | 0.767*** (33.07) | 0.747*** (21.78) | ||||
| LLPNIRt−1 | 0.627*** (11.20) | 0.631*** (11.22) | ||||
| CAR | 0.020*** (3.20) | −0.005*** (−3.80) | −0.053** (−2.35) | |||
| ETAR | 4.061*** (13.14) | −0.128** (−1.55) | −1.228*** (−2.96) | |||
| ROAB | 6.975*** (7.06) | −0.502*** (−2.82) | −1.791*** (−2.80) | 4.948*** (4.45) | −0.441*** (−2.33) | −0.885*** (−2.02) |
| OETA | −2.263*** (−2.83) | 1.122** (1.80) | 2.521** (2.027) | −1.578* (−1.70) | 0.063* (1.54) | 2.386* (1.89) |
| DPR | −1.263** (−1.46) | 0.050* (1.63) | 1.347*** (4.23) | −0.248** (−2.44) | 0.013** (1.31) | 0.847*** (3.29) |
| LEV | −0.067 (−1.28) | 0.006 (0.06) | 0.178** (2.12) | −0.141*** (−3.67) | 0.002 (0.22) | 1.109** (2.38) |
| BLINT | 0.019** (2.26) | −0.003*** (−2.50) | −0.005 (−0.01) | 0.013* (1.78) | −0.007*** (−4.24) | −0.016* (−2.30) |
| INFLR | −0.028*** (−3.86) | 0.002* (1.64) | 0.007* (1.67) | −0.006* (−1.07) | 0.005*** (2.90) | 0.006** (1.52) |
| Intercept | 0.530* (0.86) | −0.099*** (−3.13) | 2.027*** (3.82) | 0.149* (1.53) | −0.062* (−2.11) | 1.172*** (4.03) |
| Adjusted R2 | 0.81 | 0.82 | 0.55 | 0.82 | 0.84 | 0.63 |
| Sargan test (P-Value) | 0.16 | 0.27 | 0.24 | 0.16 | 0.15 | 0.15 |
| Bank-year observations | 413 | 413 | 413 | 413 | 413 | 413 |
| Number of banks | 30 | 30 | 30 | 30 | 30 | 30 |
| Model-1 | Model-2 | Model-3 | Model-4 | Model-5 | Model-6 | |
|---|---|---|---|---|---|---|
| Variables | CAR and LNZSCORE | CAR and NPLTL | CAR and LLPNIR | ETAR and LNZSCORE | ETAR and NPLTL | ETAR and LLPNIR |
| LNZSCORE | 0.779 | 0.757 | ||||
| NPLTL | 0.767 | 0.747 | ||||
| LLPNIR | 0.627 | 0.631 | ||||
| CAR | 0.020 | −0.005 | −0.053 | |||
| ETAR | 4.061 | −0.128 | −1.228 | |||
| ROAB | 6.975 | −0.502 | −1.791 | 4.948 | −0.441 | −0.885 |
| OETA | −2.263 | 1.122 | 2.521 | −1.578 | 0.063 | 2.386 |
| DPR | −1.263 | 0.050 | 1.347 | −0.248 | 0.013 | 0.847 |
| LEV | −0.067 (−1.28) | 0.006 (0.06) | 0.178 | −0.141 | 0.002 (0.22) | 1.109 |
| BLINT | 0.019 | −0.003 | −0.005 (−0.01) | 0.013 | −0.007 | −0.016 |
| INFLR | −0.028 | 0.002 | 0.007 | −0.006 | 0.005 | 0.006 |
| Intercept | 0.530 | −0.099 | 2.027 | 0.149 | −0.062 | 1.172 |
| Adjusted | 0.81 | 0.82 | 0.55 | 0.82 | 0.84 | 0.63 |
| Sargan test ( | 0.16 | 0.27 | 0.24 | 0.16 | 0.15 | 0.15 |
| Bank-year observations | 413 | 413 | 413 | 413 | 413 | 413 |
| Number of banks | 30 | 30 | 30 | 30 | 30 | 30 |
Notes:
***Significance at 1 per cent level;
**significance at 5 per cent level;
*significance at 10 per cent level; Numbers in parentheses are t-statistics;
Author calculations using GMM system in Eviews
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