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*** (11.83) | 0.755*** (10.11) | ||||
| NPLTLt−1 | 0.752*** (21.79) | 0.724*** (17.19) | ||||
| LLPNIRt−1 | 0.570*** (7.76) | 0.600*** (8.76) | ||||
| CAR | 0.021*** (3.05) | −0.005*** (−2.18) | −0.050*** (−2.33) | |||
| ETAR | 4.235*** (3.07) | −0.117** (−1.48) | −1.374*** (−2.65) | |||
| ROAB | 5.906*** (4.62) | −0.708* (−1.71) | −1.822** (−2.90) | 3.715* (1.81) | −0.638*** (−2.85) | −1.140*** (−2.36) |
| OETA | −2.680** (−3.11) | 1.164** (1.27) | 2.551** (2.08) | -1.408* (−1.66) | 0.131** (1.60) | 2.419** (1.95) |
| DPR | −1.177* (−1.41) | 1.036** (2.11) | 1.107** (2.26) | −0.332** (−2.03) | 0.004* (1.06) | 0.771* (1.90) |
| LEV | −0.012 (−0.101) | 0.0008 (0.1028) | 0.126** (1.99) | −0.107** (−3.49) | 0.002 (0.20) | 1.111** (2.15) |
| BLINT | 0.029** (2.32) | −0.005* (−1.67) | −0.006 (−0.34) | 0.025* (1.93) | −0.006*** (−3.13) | −0.012* (−2.80) |
| INFLR | −0.024 (−3.96) | 0.003* (0.002) | 0.008* (1.71) | −0.006* (−1.01) | 0.003* (2.39) | 0.010** (1.59) |
| Intercept | 0.691* (0.91) | −0.100*** (−2.95) | 1.704** (2.06) | 0.182* (1.60) | −0.034* (−2.50) | 1.112*** (2.73) |
| Adjusted R2 | 0.81 | 0.82 | 0.58 | 0.83 | 0.85 | 0.56 |
| F-statistic | 204.77*** | 258.27*** | 26.87*** | 221.19*** | 255.25*** | 26.17*** |
| 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 | 0.755 | ||||
| NPLTL | 0.752 | 0.724 | ||||
| LLPNIR | 0.570 | 0.600 | ||||
| CAR | 0.021 | −0.005 | −0.050 | |||
| ETAR | 4.235 | −0.117 | −1.374 | |||
| ROAB | 5.906 | −0.708 | −1.822 | 3.715 | −0.638 | −1.140 |
| OETA | −2.680 | 1.164 | 2.551 | -1.408 | 0.131 | 2.419 |
| DPR | −1.177 | 1.036 | 1.107 | −0.332 | 0.004 | 0.771 |
| LEV | −0.012 (−0.101) | 0.0008 (0.1028) | 0.126 | −0.107 | 0.002 (0.20) | 1.111 |
| BLINT | 0.029 | −0.005 | −0.006 (−0.34) | 0.025 | −0.006 | −0.012 |
| INFLR | −0.024 (−3.96) | 0.003 | 0.008 | −0.006 | 0.003 | 0.010 |
| Intercept | 0.691 | −0.100 | 1.704 | 0.182 | −0.034 | 1.112 |
| Adjusted | 0.81 | 0.82 | 0.58 | 0.83 | 0.85 | 0.56 |
| F-statistic | 204.77 | 258.27 | 26.87 | 221.19 | 255.25 | 26.17 |
| 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 two-stage least squares (TSLS) in Eviews
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