Risk-based capital ratio, bank’s risk and financial performance: By using panel smooth transition regression model

• Main Authors: Ting-Yen Chang, 張婷雁
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/16542309480938506112

碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === In this paper, we investigate panel smooth transition effect between Risk-based capital ratio and bank’s risk and panel smooth transition effect between Risk-based capital ratio and bank’s financial performance by using panel smooth transition regression model (Gonzalez, Terasvirta and Dijk, 2004, 2005). In addition, we assess and weigh the bank’s risk and financial performance by the influence of independent variables. The results as follow: First, panel smooth transition regression model between Risk-based capital ratio and bank’s risk jumps abruptly at 9.0782%, because the transition speed is up to 3302.9, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between Risk-based capital ratio and bank’s financial performance produces a smooth transition at 11.0055%, because the transition speed is only 0.4139 that makes the model form a smooth transfer process close to transition threshold value. Third, we propose the administrative authority of the bank should use the control’s power of the risk-based capital ratio properly, in order to reach the financial optimization strategy.