Panel Econometric Analysis on the Determinants Affecting Default Probability of Saving Banks in Korea (in Korean)

Jeong Hwan Bae ()
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Jeong Hwan Bae: Department of economics, Korea Chonnam National University

Economic Analysis (Quarterly), 2014, vol. 20, issue 2, 92-128

Abstract: Since 2011, numerous Korean saving banks have confronted 'default' condition. This study examines major sources of affecting default probability of saving banks. Bootstrapping and Huber-White-Sandwich estimation methods were employed to solve the problem of heteroskedasticity and panel GEE (generalized Estimatin Equations) to solve the problem of autocorrelation. The results show that profitability, basic capital ratio, liquidity, loan type, size, housing price growth rates are significant. Especially size variables have U shaped relations with the default probability and turning points of U curves show that banks have kept excessive sizes relative to proper levels on average.

Keywords: Saving Bank; Default Probability; Bootstrapping; Panel GEE (search for similar items in EconPapers)
JEL-codes: G23 G28 G33 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:20:y:2014:i:2:p:92-128

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