Capital Regulation and Bank Risk-Taking Behavior: Evidence from Pakistan

被引:36
作者
Ashraf, Badar Nadeem [1 ]
Arshad, Sidra [2 ]
Hu, Yuancheng [3 ]
机构
[1] East China Jiao Tong Univ, Int Sch, Nanchang 330013, Jiangxi, Peoples R China
[2] China Univ Geosci Wuhan, Sch Publ Adm, Wuhan 430074, Hubei, Peoples R China
[3] Jiangxi Univ Finance & Econ, Res Ctr Financial Dev & Risk Prevent, Nanchang 330013, Jiangxi, Peoples R China
关键词
capital regulation; bank risk taking; Basel-II; Basel-III; Pakistan;
D O I
10.3390/ijfs4030016
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In response to the global financial crisis of 2007-2009, risk-based capital requirements have been reinforced in the new Basel III Accord to counter excessive bank risk-taking behavior. However, prior theoretical as well as empirical literature that studies the impact of risk-based capital requirements on bank risk-taking behavior is inconclusive. The primary purpose of this paper is to examine the impact of risk-based capital requirements on bank risk-taking behavior, using a panel dataset of 21 listed commercial banks of Pakistan over the period 2005-2012. Purely regulatory measures of bank capital, capital adequacy ratio, and bank assets portfolio risk, risk-weighted assets to total assets ratio, are used for the main analysis. Recently developed small N panel methods (bias corrected least squares dummy variable (LSDVC) method and system GMM method with instruments collapse option) are used to control for panel fixed effects, dynamic dependent variables, and endogenous independent variables. Overall, the results suggest that commercial banks have reduced assets portfolio risk in response to stringent risk-based capital requirements. Results also confirm that all banks having risk-based capital ratios either lower or higher than the regulatory required limits, have decreased portfolio risk in response to stringent risk-based capital requirements. The results are robust to alternative proxies of bank risk-taking, alternative estimation methods, and alternative samples.
引用
收藏
页数:20
相关论文
共 52 条
[1]   Regulations, competition and bank risk-taking in transition countries [J].
Agoraki, Maria-Eleni K. ;
Delis, Manthos D. ;
Pasiouras, Fotios .
JOURNAL OF FINANCIAL STABILITY, 2011, 7 (01) :38-48
[2]  
Allen L., 1996, J EC BUSINESS, V48, P269
[3]   Examining the relationships between capital, risk and efficiency in European banking [J].
Altunbas, Yener ;
Carbo, Santiago ;
Gardener, Edward P. M. ;
Molyneux, Philip .
EUROPEAN FINANCIAL MANAGEMENT, 2007, 13 (01) :49-70
[4]   SOME TESTS OF SPECIFICATION FOR PANEL DATA - MONTE-CARLO EVIDENCE AND AN APPLICATION TO EMPLOYMENT EQUATIONS [J].
ARELLANO, M ;
BOND, S .
REVIEW OF ECONOMIC STUDIES, 1991, 58 (02) :277-297
[5]  
Ashraf B.N., 2015, POLITICAL I BANK RIS
[6]  
Ashraf B.N., 2015, TRADE CAPITAL OPENNE
[7]   Regulatory hypothesis and bank dividend payouts: Empirical evidence from Italian banking sector [J].
Ashraf, Badar Nadeem ;
Arshad, Sidra ;
Rahman, Mohammad Morshedur ;
Kamal, Muhammad Abdul ;
Khan, Khalid .
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015, 2 (01)
[8]   Effects of national culture on bank risk-taking behavior [J].
Ashraf, Badar Nadeem ;
Zheng, Changjun ;
Arshad, Sidra .
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 37 :309-326
[9]   Shareholder protection, creditor rights and bank dividend policies [J].
Ashraf, Badar Nadeem ;
Zheng, Changjun .
CHINA FINANCE REVIEW INTERNATIONAL, 2015, 5 (02) :161-186
[10]   How to regulate bank dividends? Is capital regulation an answer? [J].
Ashraf, Badar Nadeem ;
Bibi, Bushra ;
Zheng, Changjun .
ECONOMIC MODELLING, 2016, 57 :281-293