tailieunhanh - Factors affecting bank risk-taking: Evidence from Southeast Asian countries

In this paper we use a dynamic panel data model (system GMM estimator) to analyze bank-specific and macroeconomic determinants of bank risk as measured by the Z-score of 70 listed commercial banks operating in six Southeast Asian countries over the period from 2005 to 2013. | 120 Tran Hung Son et. al. / Journal of Economic Development 23(2) 120-136 Factors Affecting Bank Risk-Taking: Evidence from Southeast Asian Countries TRAN HUNG SON University of Economics and Law – sonth@ NGUYEN THANH LIEM University of Economics and Law – liemnt@ HOANG TRUNG NGHIA University of Economics and Law – nghiaht@ ARTICLE INFO ABSTRACT Article history: In this paper we use a dynamic panel data model (system GMM estimator) to analyze bank-specific and macroeconomic determinants of bank risk as measured by the Z-score of 70 listed commercial banks operating in six Southeast Asian countries over the period from 2005 to 2013. Our results indicate that asset structure, capitalization, size, and the stock market development are negatively and significantly related to bank risk, which is, in turn, positively related to efficiency, revenue diversification, and the banking system development. Received: Apr. 9 2015 Received in revised form: Aug. 11 2015 Accepted: Mar. 25 2016 Keywords: Bank risk, Z-score, Southeast Asian countries, banking system Tran Hung Son et. al. / Journal of Economic Development 23(2) 120-136 121 1. Introduction On the international scene, conducting banking business has become ever riskier, as well as the actions by monetary authorities that are more onerous than ever before. Bank risk is an issue that has had its importance re-emphasized by the banking crisis of 2008. This is understandable because of the negative experiences and particularly serious, negative repercussions of the banking crisis on individual national economies. As banks play a dominant role in most of the financial system as the main source of financing and payment management system, financial collapse can have serious macro-economic consequences on the national economy. Literature identifies various determinants of bank risk, including bank-specific variables and macroeconomic variables (Louzis et al., 2012; Poghosyan & Čihak, .

• Ngân hàng - Tín dụng
• Bank risk taking
• Bank risk
• Z score
• Southeast Asian countries
• Banking system
• System GMM estimato