La réglementation du capital et l’interdépendance du capital, des risques et de l’efficacité des banques
Author: Do, Van Anh
Under the direction of: Jean-Christophe Statnik
University of Lille
Texte français
Keywords: Management sciences, Southeast Asia, Capital regulation, Bank capital, Risk, Efficiency, Asean, Banks, Financial risk, Association of Southeast Asian Nations, Vietnam, Thailand, Philippines, Malaysia, Indonesia.
Abstract
This thesis consists of three empirical studies examining the behaviors of banks in response to capital regulation and the nexus among capital, risk and efficiency of ASEAN banks. The first essay studies the impact of capital requirements on the simultaneous changes in bank capital and risk. The results establish that banks in ASEAN tend to increase their capital to absorb increase in risk. Banks with weak capitalization can hardly increase capital and expose to moral hazard behaviors since capital regulation increase their risk taking. Highly capitalized banks tend to reduce risk whereas moderately capitalized institutions increase risk taking in response to capital requirements. The second essay examines the interrelationship between capital, risk and efficiency, considering the impact of ownership structure and stock listing. Efficiency enables banks to improve capital and stronger capitalization increases bank efficiency. Less efficient banks engage in moral hazard behavior by taking more risk. Banks with state ownership are less capitalized but more cost efficient. Stock listing represents market discipline helps improve bank capital but not efficiency. The last essay uses panel VAR analysis to investigate the dynamic inter-196temporal relationship among risk, capital and efficiency. The results provide evidence of strong positive response of efficiency to capital shock, suggesting the importance of bank capital in improving bank efficiency. The analysis also yields bi-directional causal relationship between capital and credit risk. Behaviors are different for high and low efficiency banks.
