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The Threshold Effects Of Capital Adequacy Ratio Control On The Risk And The Business Performance Of China’s Commercial Bank

Posted on:2013-01-18Degree:MasterType:Thesis
Country:ChinaCandidate:S MaFull Text:PDF
GTID:2249330395468885Subject:Finance
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Since the1970s, the capital adequacy regulation has been the hot topic ofacademic study in financial and economics circles. Particularly, global financial crisisin2008, which triggered by the U.S subprime mortgage crisis, leaded to manywell-known financial institutions bankruptcy, which made the regulatory of capitaladequacy ratio once again become a hot topic of banking regulation. Also madepeople realize the reasonable supervision of capital adequacy ratio in banking sector’s,which are conducive to the normal functions of the banking sector to play, thuscontributing to social and economic stability, healthy and rapid development.Therefore, exploring China’s banking regulatory capital adequacy ratio has importanttheoretical and practical significance.Firstly, this article review the literature researched by domestic and foreignscholar on the control of capital adequacy ratio of commercial banks, through thereview found that domestic and foreign scholars come to study this problem a varietyof conclusions. Secondly, introduce threshold autoregressive model to be specific, anduse the theoretical analysis to analyze the impact of capital adequacy regulation oncommercial bank risk and business performance, and then combined with our statusof the impact of capital adequacy ratio on the risk and the reality of businessperformance of commercial banks, select2005-2010, six years of China’s14listedbanks in the sample data, empirical research the threshold effect of China’s capitaladequacy ratio on risk controls and operational performance of commercial bank. Theresults showed that: the risk on behalf of banks’ risk-weighted assets/total assets in asingle threshold effect, before and after the threshold value capital adequacy ratio ofbank has the impact of non-linear relationship was asymmetric in risk, that is beforethe threshold value the capital adequacy ratio improved can reduce the risk of thebanks, but after the threshold capital adequacy ratio of banks has led to an increasedrisk of increase. Behalf of the bank’s total assets net profit margin of operatingperformance exit triple threshold effect, before and after the threshold value thecapital adequacy ratio also show the impact of asymmetric non-linear relationship inthe performance of banking operations. Finally, summary and explain the findings,then make a few policy recommendations to the banking supervisory authoritiest.
Keywords/Search Tags:capital adequacy ratio, business performance, bank risk, thresholdeffects, threshold autoregressive model
PDF Full Text Request
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