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The impact of business cycle on Pakistani banks capital buffer and portfolio risk

This study attempts to estimate the impact of business cycle on Pakistani banks capital buffer and portfolio risk. Dynamic Panel data model, which includes a set of control variables reflect bank characteristics, has been estimated by using two-step Generalized Method of Moments (GMM) during the per...

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Main Authors: Venus, Khim-Sen Liew, Rossazana, Binti Ab-Rahim, Samina, Riaz
Format: Article
Language:English
Published: Institute for Economic Forecasting (IEF) 2019
Subjects:
HG Finance
Online Access:http://ir.unimas.my/id/eprint/29577/1/samina.pdf
http://ir.unimas.my/id/eprint/29577/
http://www.rjef.ro/
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spelling my.unimas.ir.295772021-03-30T06:38:41Z http://ir.unimas.my/id/eprint/29577/ The impact of business cycle on Pakistani banks capital buffer and portfolio risk Venus, Khim-Sen Liew Rossazana, Binti Ab-Rahim Samina, Riaz HG Finance This study attempts to estimate the impact of business cycle on Pakistani banks capital buffer and portfolio risk. Dynamic Panel data model, which includes a set of control variables reflect bank characteristics, has been estimated by using two-step Generalized Method of Moments (GMM) during the period of 2004-2014. The main results exhibit that bank capital buffer fluctuates counter-cyclically but business cycle fluctuations have no significant impact on portfolio risk. The main results support to Basel III accord that capital conservation buffer and counter-cyclical capital buffer are essential for banking institutions to help the economy. This study departs from existing literature because it focuses on developing country in assessment of behavior of capital buffer in a cyclical manner. The study contribute to the existing literature by revealing that counter-cyclical fluctuation of capital buffer may be due to shortsightedness of banks or low loan demand during downturns. This study will help policy makers to make and implement viable decisions on the optimal capital buffers and policy maker will seize an opportunity to devise strategies to ensure that banks have a sufficient buffer built up at all times to help protect the banks, their depositors and the economy at large. © 2019, Institute for Economic Forecasting. All rights reserved. Institute for Economic Forecasting (IEF) 2019 Article PeerReviewed text en http://ir.unimas.my/id/eprint/29577/1/samina.pdf Venus, Khim-Sen Liew and Rossazana, Binti Ab-Rahim and Samina, Riaz (2019) The impact of business cycle on Pakistani banks capital buffer and portfolio risk. Romanian Journal of Economic Forecasting, 22 (1). pp. 57-71. ISSN 1582-6163 http://www.rjef.ro/
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HG Finance
spellingShingle HG Finance
Venus, Khim-Sen Liew
Rossazana, Binti Ab-Rahim
Samina, Riaz
The impact of business cycle on Pakistani banks capital buffer and portfolio risk
description This study attempts to estimate the impact of business cycle on Pakistani banks capital buffer and portfolio risk. Dynamic Panel data model, which includes a set of control variables reflect bank characteristics, has been estimated by using two-step Generalized Method of Moments (GMM) during the period of 2004-2014. The main results exhibit that bank capital buffer fluctuates counter-cyclically but business cycle fluctuations have no significant impact on portfolio risk. The main results support to Basel III accord that capital conservation buffer and counter-cyclical capital buffer are essential for banking institutions to help the economy. This study departs from existing literature because it focuses on developing country in assessment of behavior of capital buffer in a cyclical manner. The study contribute to the existing literature by revealing that counter-cyclical fluctuation of capital buffer may be due to shortsightedness of banks or low loan demand during downturns. This study will help policy makers to make and implement viable decisions on the optimal capital buffers and policy maker will seize an opportunity to devise strategies to ensure that banks have a sufficient buffer built up at all times to help protect the banks, their depositors and the economy at large. © 2019, Institute for Economic Forecasting. All rights reserved.
format Article
author Venus, Khim-Sen Liew
Rossazana, Binti Ab-Rahim
Samina, Riaz
author_facet Venus, Khim-Sen Liew
Rossazana, Binti Ab-Rahim
Samina, Riaz
author_sort Venus, Khim-Sen Liew
title The impact of business cycle on Pakistani banks capital buffer and portfolio risk
title_short The impact of business cycle on Pakistani banks capital buffer and portfolio risk
title_full The impact of business cycle on Pakistani banks capital buffer and portfolio risk
title_fullStr The impact of business cycle on Pakistani banks capital buffer and portfolio risk
title_full_unstemmed The impact of business cycle on Pakistani banks capital buffer and portfolio risk
title_sort impact of business cycle on pakistani banks capital buffer and portfolio risk
publisher Institute for Economic Forecasting (IEF)
publishDate 2019
url http://ir.unimas.my/id/eprint/29577/1/samina.pdf
http://ir.unimas.my/id/eprint/29577/
http://www.rjef.ro/
_version_ 1696979508079362048
score 13.211869

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