Calculating the composite indexes of banking earnings and banking security
| For composite index of banking earnings (PROFIT) | |||
|---|---|---|---|
| Part A: Eigen analysis of correlation matrix | |||
| PCs | Eigen value | Proportion | Cumulative |
| 1 | 1.637 | 0.546 | 0.546 |
| 2 | 0.923 | 0.308 | 0.854 |
| 3 | 0.439 | 0.146 | 1.000 |
| Part B: Eigen vectors (Component loadings) | |||
| Variables | PC1 | PC2 | PC3 |
| ROA | 0.6795 | −0.1254 | −0.7229 |
| ROE | 0.6398 | −0.3810 | 0.6674 |
| NIM | 0.3591 | 0.9160 | 0.1787 |
| For composite index of banking earnings (PROFIT) | |||
|---|---|---|---|
| PCs | Eigen value | Proportion | Cumulative |
| 1 | 1.637 | 0.546 | 0.546 |
| 2 | 0.923 | 0.308 | 0.854 |
| 3 | 0.439 | 0.146 | 1.000 |
| Variables | PC1 | PC2 | PC3 |
| ROA | 0.6795 | −0.1254 | −0.7229 |
| ROE | 0.6398 | −0.3810 | 0.6674 |
| NIM | 0.3591 | 0.9160 | 0.1787 |
| For composite index of banking safeness (STABILITY) | |||
| Part A: Eigen analysis of correlation matrix | |||
| PCs | Eigen value | Proportion | Cumulative |
| 1 | 1.293 | 0.431 | 0.431 |
| 2 | 0.947 | 0.316 | 0.747 |
| 3 | 0.760 | 0.253 | 1.000 |
| Part B: Eigen vectors (Component loadings) | |||
| Variables | PC1 | PC2 | PC3 |
| CRE | 0.4006 | 0.9084 | 0.1197 |
| ZSC | 0.6345 | −0.3693 | 0.6790 |
| LIQ | −0.6610 | 0.1960 | 0.7243 |
| For composite index of banking safeness (STABILITY) | |||
| PCs | Eigen value | Proportion | Cumulative |
| 1 | 1.293 | 0.431 | 0.431 |
| 2 | 0.947 | 0.316 | 0.747 |
| 3 | 0.760 | 0.253 | 1.000 |
| Variables | PC1 | PC2 | PC3 |
| CRE | 0.4006 | 0.9084 | 0.1197 |
| ZSC | 0.6345 | −0.3693 | 0.6790 |
| LIQ | −0.6610 | 0.1960 | 0.7243 |
Note(s): PCs indicate principal components; ROA is the returns on assets; ROE is the returns on equity; NIM is net interest margin; ZSC is banking z-score; CRE is private credit by deposit money banks; LIQ is bank liquid assets to deposits and short-term funding
Source(s): Author's calculation