The non-linear relationship between bank performance and financial indicators in China

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题名:	The non-linear relationship between bank performance and financial indicators in China
其它题名:	財務指標對銀行績效之非線性探討 : 以中國大陸銀行為例
作者:	馮月慧;Huynh, Le-Hoa
贡献者:	淡江大學財務金融學系碩士班聶建中
关键词:	縱橫平滑移轉回歸模型;財務指標;銀行績效;panel smooth transition regression model;financial indicators;Bank Performance
日期:	2012
上传时间:	2013-04-13 10:49:34 (UTC+8)
摘要:	本研究使用14家中國大陸銀行資料，期限從2006年至2010年，探討在不同的資本適足率下，中國大陸銀行財務指標與績效間之非線性關係。實證研究發現當資本適足率在轉換值10.2172%及10.3383%時，銀行財務指標對ROE與ROA之影響存在結構性改變。流動性比率、效率比率、與總資產分別對 ROE與ROA有顯著的正向關係，且不受限於資本適足率之高低；而不良貸款率與凈利息收益率對ROE與ROA的影響會因銀行資本適足率的高低而有所不同。本研究可作為管理當局在規定銀行資本適足率規範之參考，尤其是中國大陸銀行。 Using a sample set of fourteen listed commercial banks in China from 2006 to 2010, this study investigates the non-linear relationship between bank performance and financial indicators in different levels of capital adequacy ratio. Results showed that there is a structural change on the effect of financial indicators on return on assets and return on equity when capital adequacy is equal to the transition value 10.2172% and 10.3383%, respectively. The empirical results also indicate that the impact of liquidity ratios, efficiency ratios and total assets on return on equity and return on assets are positively correlated regardless of the capital adequacy ratio level; while the impact of non-performing loans and net interest margins on return on assets and return on equity depends on the level of the bank’s capital adequacy ratio. The research can be considered as a reference point for regulators seeking to identify the optimal level of capital adequacy ratio for banks, especially for the Chinese banking sector.
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