Impacts of Financial Market Shock on Bank Asset Allocation from the Perspective of Financial Characteristics of Banks
Abstract
:1. Introduction
1.1. Background
1.2. Contributions
2. Literature Review and Research Hypothesis
2.1. Impact of Macroeconomic Factors on Company-Level Variables
2.2. Factors Affecting Bank Asset Structure
3. Data Processing and Empirical Analysis
3.1. Variable Selection
3.2. Data Source and Data Processing
3.3. Panel Unit Root Test
3.4. Panel Co-Integration Test
3.5. Model Specification
−a4 lendingratepbc1yeart−1 − a5 logm2t−1) + c1 Δb_qsit−1 + b1 Δlnassetit
+b2 Δroait + b3 Δreserve_ratioit + b4 Δzibenbilvit + b5 Δr7drepot
+b6Δlendingratepbc1yeart + b7 Δlogm2t + b8Δlogrealgdpt
+constant + eit
−a4 lendingratepbc1yearit−1 − a5 logm2it−1) + c1 Δb_qsit−1
+b1 Δlnassetit +b2 Δroait + b3 Δreserve_ratioit + b4 Δzibenbilvit
+b5 Δr7drepot + b6 Δlendingratepbc1yeart + b7 Δreserve_ratiot × r7drepot
+b8 Δzibenbilvit × r7drepot + b9 Δlogm2t + b10 Δlogrealgdpt + constant + eit
3.6. Empirical Test: Model 1
3.7. Empirical Test: Model 2
3.8. Robustness Test
+ a6 r7drepot + a7 lendingratepbc1yeart + a8 Δlogm2t + a9 Δlogrealgdpt
+ ui + eit
+a6 r7drepot + a7 lendingratepbc1yeart + c1 reserve_ratiot × r7drepot
+c2 zibenbilvit × r7drepot + a8 Δlogm2t + a9 Δlogrealgdpt + ui + eit
4. Conclusions
Author Contributions
Funding
Conflicts of Interest
References
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Type of Variable | Variable Name | Meaning |
---|---|---|
Dependent variable | b_qs | Total credit assets/total financial assets |
Independent variables | R7dRepo | Interbank 7-day interbank offered rate |
LendingRatePBC1year | Benchmark interest rate for loan | |
Cross2b | Deposit reserve ratio × return on financial asset | |
Cross3b | Capital asset ratio × return on financial asset | |
Micro-control variables | lnasset | Bank asset size (logarithm) |
reserve_ratio | Bank deposit reserve ratio | |
zibenbilv | Capital/total assets (capital-to-asset ratio) | |
ROA | Return on assets | |
Macro-control variables | LogM2 | Broad money total M2 (logarithm) |
Logrealgdp | Log (nominal GDP)—Log (GDP deflator) |
Variable | Obs | Mean | Std. Dev. | Min | Max |
---|---|---|---|---|---|
b_qs | 518 | 1.981869 | 0.9591657 | 0.5234423 | 4.809055 |
R7dRepo | 518 | 0.0246983 | 0.0072105 | 0.0083 | 0.039856 |
LendingRate | 518 | 0.0555301 | 0.0088298 | 0.0435 | 0.0747 |
Lnasset | 518 | 19.68766 | 1.25635 | 15.8445 | 21.68212 |
reserve_ratio | 518 | 0.1272791 | 0.0292104 | 0.0697685 | 0.214722 |
zibenbilv | 518 | 0.0637611 | 0.0108519 | 0.0353893 | 0.130712 |
ROA | 518 | 0.2810811 | 0.068122 | 0.05 | 0.5 |
b_qs | R7dRepo | LendingRate | lnasset | reserve_ratio | Zibenbilv | ROA | |
---|---|---|---|---|---|---|---|
b_qs | 1 | 0.0586 * | 0.0466 | 0.6531 * | 0.6342 * | 0.1930 * | 0.1678 * |
R7dRepo | 0.0586 * | 1 | 0.4175 * | 0.0603 | 0.2518 * | −0.0231 | 0.1248 |
LendingRate | 0.0466 | 0.4175 * | 1 | −0.2302 * | 0.4675 * | −0.1477 * | 0.4875 * |
lnasset | 0.6531 * | 0.0603 | −0.2302 * | 1 | 0.5012 * | −0.0026 | −0.0384 |
reserve_ratio | 0.6342 * | 0.2518 * | 0.4675 * | 0.5012 * | 1 | −0.0450 | 0.3147 * |
zibenbilv | 0.1930 * | −0.0231 | −0.1477 * | −0.0026 | −0.0450 | 1 | 0.0927 |
ROA | 0.1678 * | 0.1248 | 0.4875 * | −0.0384 | 0.3147 * | 0.0927 | 1 |
Raw Data | Fisher Test | First Order Differential Data | Fisher Test |
---|---|---|---|
b_qs | 47.9320 | b_qs | 187.8589 ** |
lnasset | 31.2131 | lnasset | 240.0918 *** |
reserve_ratio | 63.9013 *** | reserve_ratio | |
zibenbilv | 21.4892 | zibenbilv | 227.6362 *** |
ROA | 92.1190 *** | ROA | |
R7dRepo | 34.1820 | R7dRepo | 108.0844 *** |
LendingRatePBC1year | 21.9573 | LendingRatePBC1year | 91.8261 ** |
LogM2 | 27.8857 | LogM2 | 135.1815 ** |
Logrealgdp | 158.6797 *** | Logrealgdp |
Statistic | Value | Z-Value | p-Value | Original Hypothesis and Alternative Hypothesis |
---|---|---|---|---|
Gt | −1.948 | −0.903 | 0.083 | H0: No co-integration relationship found. H1: There is at least one set of co-integration relationships. |
Ga | −2.177 | 0.081 | 0.532 | |
Pt | −9.922 | −2.890 | 0.004 | H0: There is no co-integration relationship. H1: There is a co-integration relationship on the panel as a whole. |
Pa | −2.525 | −2.058 | 0.023 |
(1) | (2) | (3) | |
---|---|---|---|
DFE Estimator | PMG Estimator | MG Estimator | |
ec | −0.244 *** | −0.329 *** | −0.611 *** |
(−8.96) | (−7.09) | (−13.39) | |
D.ROA | −0.0815 | −0.00570 | 0.0850 |
(−0.66) | (−0.03) | (0.64) | |
D.lnasset | −2.358 *** | −4.835 *** | −3.022 *** |
(−8.56) | (−4.69) | (−3.57) | |
D.reserve_ratio | 5.318 *** | 7.425 *** | 5.101 *** |
(5.31) | (5.66) | (4.87) | |
D.zibenbilv | 21.48 *** | 25.47 *** | 14.59 *** |
(7.83) | (5.46) | (4.39) | |
D.R7dRepo | 3.349 ** | 5.333 *** | 5.189 ** |
(2.55) | (3.95) | (1.92) | |
D.LendingRatePBC1year | −4.174 | 4.045 | −1.119 |
(−0.95) | (1.08) | (−0.54) | |
D.logM2 | 1.245 | 1.178 | 1.297 |
(0.88) | (0.94) | (1.02) | |
D.logrealgdp | 6.568 *** | 6.603 ** | 4.882 |
(2.81) | (2.11) | (1.25) | |
lnasset | −2.320 *** | −1.467 *** | −6.406 *** |
(−6.68) | (−15.64) | (−3.77) | |
zibenbilv | −20.11 *** | 1.222 | −19.28 |
(−3.26) | (0.84) | (−1.26) | |
R7dRepo | 16.35 | 1.523 * | 12.89 ** |
(1.45) | (1.67) | (2.46) | |
LendingRatePBC1year | −25.44 ** | −2.905 ** | −5.815 |
(−2.11) | (−2.27) | (−1.29) | |
logM2 | 2.356 *** | 2.278 *** | 7.226 *** |
(4.58) | (15.56) | (4.14) | |
Constant | 5.653 *** | 1.218 *** | 30.74 ** |
(5.17) | (5.18) | (2.47) |
(1) | (3) | (5) | |
---|---|---|---|
DFE | PMG | MG | |
ec | −0.191 *** | −0.208 *** | −0.432 *** |
(−7.45) | (−4.29) | (−7.39) | |
D.ROA | 0.0848 | 0.396 * | 0.305 |
(0.75) | (1.76) | (1.53) | |
D.lnasset | −2.363 *** | −4.820 *** | −3.077 *** |
(−8.75) | (−4.39) | (−3.46) | |
D.reserve_ratio | −0.247 | −0.449 | −1.206 |
(−0.16) | (−0.08) | (−0.21) | |
D.zibenbilv | 2.493 | −14.57 * | −0.355 |
(0.55) | (−1.88) | (−0.04) | |
D.R7dRepo | 2.712 | 9.221 ** | 2.578 ** |
(0.68) | (2.31) | (2.47) | |
D.LendingRatePBC1year | −48.66 *** | −76.29 ** | −54.89 |
(−4.18) | (−2.10) | (−1.44) | |
D.cross2a | 211.4 *** | 312.5 | 307.5 * |
(3.84) | (1.41) | (2.02) | |
D.cross3a | 343.2 ** | 578.7 ** | 280.3 * |
(2.29) | (1.99) | (1.79) | |
D.logM2 | 2.255 * | 3.186 ** | 1.312 |
(1.72) | (2.18) | (1.01) | |
D.logrealgdp | −2.021 | 7.026 *** | 5.654 |
(−0.92) | (2.66) | (1.54) | |
lnasset | −2.264 *** | −1.387 *** | −3.529 |
(−5.59) | (−10.67) | (−1.06) | |
zibenbilv | −22.21 *** | −0.821 | −13.66 |
(−3.05) | (−0.46) | (−0.62) | |
R7dRepo | 18.65 | 0.290 | 14.56 |
(1.41) | (0.26) | (1.64) | |
LendingRatePBC1year | −35.26 ** | −2.869 * | −5.891 |
(−2.45) | (−1.87) | (−0.38) | |
logM2 | 2.109 *** | 2.145 *** | 3.798 |
(3.50) | (10.38) | (1.09) | |
Constant | 4.871 *** | 0.760 *** | 16.55 * |
(4.85) | (4.91) | (1.88) |
(1) | (2) | (3) | |
---|---|---|---|
fe | lsdvc_ab | lsdvc_bb | |
VARIABLES | b_qs | b_qs | b_qs |
L.b_qs | 0.748 *** | 0.790 *** | 0.805 *** |
(24.61) | (26.35) | (26.77) | |
L1ROA | 0.931 *** | 0.951 *** | 0.945 *** |
(4.85) | (6.50) | (6.12) | |
L1lnasset | −0.255 ** | −0.195 ** | −0.175 |
(−2.42) | (−1.99) | (−1.57) | |
L1ratio | 2.082 *** | 2.106 ** | 2.178 ** |
(2.64) | (2.54) | (2.48) | |
L1zibenbilv | 3.245 * | 2.848 | 2.739 |
(1.96) | (1.50) | (1.30) | |
R7dRepo | 6.621 *** | 6.161 *** | 5.895 *** |
(2.86) | (3.10) | (2.78) | |
LendingRatePBC1year | −6.217 * | −6.557 ** | −5.628 ** |
(−1.75) | (−2.56) | (−2.01) | |
logM2 | 1.938 *** | 1.726 *** | 1.865 *** |
(3.24) | (2.76) | (2.68) | |
logrealgdp | −3.047 *** | −2.814 ** | −3.081 ** |
(−2.98) | (−2.43) | (−2.37) |
(4) | (5) | (6) | |
---|---|---|---|
fe | lsdvc_ab | lsdvc_bb | |
VARIABLES | b_qs | b_qs | b_qs |
L.b_qs | 0.719 *** | 0.755 *** | 0.764 *** |
(24.84) | (26.71) | (26.78) | |
L1ROA | 0.901 *** | 0.922 *** | 0.919 *** |
(4.96) | (6.26) | (5.91) | |
L1lnasset | −0.206 ** | −0.161 * | −0.140 |
(−2.06) | (−1.76) | (−1.35) | |
L1ratio | 4.381 *** | 4.489 *** | 4.537 *** |
(4.61) | (4.29) | (4.09) | |
L1zibenbilv | 12.85 *** | 12.63 *** | 12.54 *** |
(6.01) | (5.20) | (4.78) | |
R7dRepo | 55.11 *** | 54.62 *** | 55.08 *** |
(7.07) | (6.74) | (6.40) | |
LendingRatePBC1year | −9.138 *** | −9.107 *** | −8.272 *** |
(−2.73) | (−3.91) | (−3.25) | |
cross2a | 182.8 *** | 180.2 *** | 180.2 *** |
(5.25) | (4.76) | (4.47) | |
cross3a | 589.5 *** | 580.6 *** | 584.0 *** |
(6.62) | (6.02) | (5.68) | |
logM2 | 1.793 *** | 1.623 *** | 1.786 *** |
(3.17) | (2.91) | (2.87) | |
logrealgdp | −2.947 *** | −2.744 *** | −3.063 *** |
(−3.04) | (−2.61) | (−2.60) |
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Huang, K.; Yao, Q.; Li, C. Impacts of Financial Market Shock on Bank Asset Allocation from the Perspective of Financial Characteristics of Banks. Int. J. Financial Stud. 2019, 7, 29. https://doi.org/10.3390/ijfs7020029
Huang K, Yao Q, Li C. Impacts of Financial Market Shock on Bank Asset Allocation from the Perspective of Financial Characteristics of Banks. International Journal of Financial Studies. 2019; 7(2):29. https://doi.org/10.3390/ijfs7020029
Chicago/Turabian StyleHuang, Kun, Qiuge Yao, and Chong Li. 2019. "Impacts of Financial Market Shock on Bank Asset Allocation from the Perspective of Financial Characteristics of Banks" International Journal of Financial Studies 7, no. 2: 29. https://doi.org/10.3390/ijfs7020029
APA StyleHuang, K., Yao, Q., & Li, C. (2019). Impacts of Financial Market Shock on Bank Asset Allocation from the Perspective of Financial Characteristics of Banks. International Journal of Financial Studies, 7(2), 29. https://doi.org/10.3390/ijfs7020029