Non-linear Relationship between Bank's Risk and Financial Performance under the Real Estate Market -Application of PSTR
| Autor: | Chun-Lung Chen, 陳俊龍 |
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| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 In this paper, we investigate panel smooth transition effect between Real Estate Cycle and bank’s financial performance by using panel smooth transition regression model（Gonza’lez, Terasvirta and Dijk, 2004, 2005）.In addition, we assess and weigh the bank’s risk and finalcial performance by the influence of independent variables. Empirical results show that the real estate market below the conversion threshold 135.4679, the BIS ratio and coverage ratio have positive correlation with ROA, while NPL ratio has negative correlation with ROA. Below the conversion threshold 140.5379, coverage ratio has positive correlation with ROA, however, impact on ROA and ROE were inconsistent under the real state market. However, bank’s risk impact on ROA and ROE were inconsistent under the real state market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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