Capital, Liquidity, Profitability, and Credit Risk Nexus: A Panel VAR Study on Selected Developing Countries

Mochammad Doddy Ariefianto and Irwan Trinugroho

A chapter in Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from SEA, 2023, vol. 33B, pp 149-164 from Emerald Group Publishing Limited

Abstract: A banking system is essential for financial stability, especially economic growth and development. The authors investigate the dynamic linkage of key banking system stability measures, namely, liquidity, capital, profitability, and credit risk. To this end, the authors employ Panel Vector Autoregressive (VAR) to a panel data set of country-level banking system indicators from seven developing countries; from March 2010 to December 2020 (308 country quarter observations). A nation is selected on the basis of similar characteristics large and bank-based economy with the considerably same stage of economic development. The authors find a remarkable resilient feature of the banking system in which both liquidity risk and credit risk appears significant only in the short run (within three quarters). Shocks from both risk sources dissipate quickly, suggesting an internal mechanism is at work. This study provides evidence of how a good performance of financial safety net should be.

Keywords: Capital; liquidity; profitability; credit risk; Panel VAR; banking system; G21; G28; G32; C23 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... 1-03862023000033B010
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:isetez:s1571-03862023000033b010

DOI: 10.1108/S1571-03862023000033B010

Access Statistics for this chapter

More chapters in International Symposia in Economic Theory and Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().