Threshold Effect of Bank-specific Determinants of Non-performing Assets: An Application in Indian Banking

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-04-09 DOI:10.1177/0972652719831546

Samaresh Bardhan, Rajesh Sharma, Vivek Mukherjee

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引用次数: 6

Abstract

The article investigates role of bank-specific factors on non-performing assets (NPAs) in Indian banking system in a panel threshold framework (Hansen, 1999, Journal of Econometrics, 93(2), 345–368), using an unbalanced panel of 82 scheduled commercial banks over the period of 1995–1996 to 2010–2011. We consider capital to risk-weighted assets ratio (CRAR) and credit growth as alternative threshold variables (and regime dependent) along with relevant bank-specific variables treated as regime independent. Findings reveal that CRAR exerts negative and significant impact on NPAs once it reaches a critical threshold. Possible implication is that banks extend less risky loans in a high CRAR regime than in low CRAR regime that helps reduce NPAs. With credit growth as threshold as well as regime dependent, we observe statistically significant non-linear effect of credit growth on NPAs. Beyond threshold, credit growth exerts significant negative effect on NPAs that may imply that banks extend good quality loans. However, we cannot rule out the possibility of evidence of ‘ever-greening hypothesis’ of bad debts in Indian banking, that is, banks just roll over previous bad debts into fresh performing loans. JEL Classification: G21, G28, C13, C33

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不良资产银行特定决定因素的阈值效应：在印度银行业的应用

本文在面板阈值框架中调查了印度银行系统中银行特定因素对不良资产的作用（Hansen，1999，Journal of Econometrics，93（2），345-368），使用了1995-1996年至2010-2011年期间82家计划商业银行的不平衡面板。我们将资本与风险加权资产比率（CRAR）和信贷增长视为替代阈值变量（和制度相关），并将相关银行特定变量视为制度独立变量。研究结果表明，一旦达到临界阈值，CRAR就会对NPA产生负面和显著的影响。可能的含义是，银行在高CRAR制度下发放的贷款风险比低CRAR制度低，这有助于减少不良贷款。在以信贷增长为阈值和制度依赖的情况下，我们观察到信贷增长对NPA的非线性影响具有统计学意义。超过阈值，信贷增长对不良贷款产生了显著的负面影响，这可能意味着银行提供了高质量的贷款。然而，我们不能排除印度银行业存在坏账“不断绿化假说”的可能性，即银行只是将以前的坏账展期为新的表现良好的贷款。JEL分类：G21、G28、C13、C33

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.