Financial Development, Business Cycle and Bank Risk in Southeast Asian Countries

• 발행기관: 한국유통과학회
• 저자명: Son Hung TRAN Liem Thanh NGUYEN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.3, 127~135쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.03.30

영문 초록

The paper aims to examine whether business cycles affect the link between financial development and bank risk, measured by Zscore and nonperforming loans to total loans in six Southeast Asian countries, namely Indonesia, Philippines, Malaysia, Singapore, Thailand and Vietnam. This study uses a sample of 95 listed commercial banks over a 15-year period between 2004 and 2018 in the six Southeast Asian countries. This study employs panel OLS regression and modifications to tackle issues such as endogeneity and heteroscedasticity. The results show that the impact of stock market development (the ratio of the market capitalization to GDP) on Zscore is significantly positive, whereas its effect on non-performing loans is significantly negative. The findings suggest that financial development, in terms of stock market capitalization, improves banks‘ Zscores and reduces their level of non-performing loans, suggesting that financial development on average reduces bank risk. The impact of business cycle is insignificant towards bank risk, thus rejecting both counter- and pro-cyclical hypotheses, except for the case of risk indicator of loan loss provisions. Examining the joint effect of the business cycle and financial development on bank risk, we find that the phase of business cycles generally does not moderate the link between financial development and bank risk.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Empirical Results

5. Robustness Check

6. Conclusion

References

키워드

Bank Risk Business Cycle Financial Development South-East Asian Countries Listed Banks