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Computational Path and Risk Analysis of Performance Changes of Chinese Listed Commercial Banks under Diversification of Interest Rate Marketization

Xinchun Zhang

Xinchun Zhang

School of Finance, Central University of Finance and EconomicsBeijing, China
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Zhang, Xinchun
  
24 mar 2025
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Publicado en línea: 24 mar 2025
Recibido: 22 nov 2024
Aceptado: 20 feb 2025
DOI: https://doi.org/10.2478/amns-2025-0731
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© 2025 Xinchun Zhang, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Diversification of risk model estimates

All samples Large commercial bank sample Small and medium-sized commercial bank samples
Variable Coefficient SD Coefficient SD Coefficient SD
β0 0.30692*** 0.15243 0.36263 0.36524 0.36261 0.23625
(0.0006) (0.3642) (0.13634)
DIV 0.13659 0.13698 -0.34159 0.21456 -1.25634 0.01542
(0.1254) (0.1254) (0.2563)
SIZE -0.03654*** 0.00235 -0.06251 0.0006 -0.03698*** 0.23621
(0.0000) (0.0001) (0.0006)
EA 0.12634 0.01362 0.23626 0.12536 0.2362 0.06321
(0.2533) (0.1256) (0.1253)
NPL 0.00364* 0.23352 0.02635*** 0.0023 0.03652** 0.01256
(0.0695) (0.0000) (0.0236)
CIR 0.31236** 0.15263 0.59632*** 0.07152 0.71256*** 0.13622
(0.0362) (0.0000) (0.0001)
CAR 0.00521 0.00325 -0.03695*** 0.00635 0.03695** 0.0312
(0.3652) (0.0000) (0.0123)
GDP 2.03226 0.25631 3.36221 0.12546 3.21456 0.14523
(0.3222) (0.1961) (0.2136)
EFF Fixed effect Random effect Random effect
ECT
Statistic 2.36259*** 2.36544 6.35214
(0.0063) (0.2365) (0.1569)
Observed value 163 63 96

Kao cointegral test results

ADF t-Statistic Prob.
-4.526552 0.0000
Residual variance 0.005663 -
HAC variance 0.56336

Descriptive statistical analysis of variables

Variable M SD Min Max
ROA 1.019 0.084 0.133 2.28
Z 44.361 23.425 11.798 139.508
DIV 0.447 0.113 0.166 0.701
SIZE 27.721 1.623 23.83 31.005
EA 6.111 1.465 2.207 14.939
NPL 1.365 1.584 0.029 23.586
CIR 32.865 6.13 20.465 67.408
CAR 12.364 2.204 4.63 27.004
GDP 8.786 2.212 6.597 14.261

Diversification of performance model estimates

All samples Large commercial bank sample Small and medium-sized commercial bank samples
Variable Coefficient SD Coefficient SD Coefficient SD
α0 -0.65233*** 0.21636 -5.36252*** 0.63251 -1.36542*** 0.42569
(0.0036) (0.0000) (0.0016)
DIV 0.50365** 0.23657 -1.36518*** 0.33251 0.72651** 0.23521
(0.01963) (0.0002) (0.0256)
SIZE 0.07236*** 0.03625 0.71235*** 0.14563 0.07452*** 0.36548
(0.0001) (0.0000) (0.0004)
EA 0.012563 0.23674 0.63521*** 0.15678 0.23635 0.02365
(0.9632) (0.0006) (0.3652)
NPL -0.05326*** 0.00263 -0.00423*** 0.00126 -0.03652 0.03623
(0.0000) (0.0009) (0.1963)
CIR 0.01236 0.02369 0.71256*** 0.41253 0.13652 0.26369
(0.6323) (0.0000) (0.9005)
CAR 0.03652*** 0.56342 0.21489*** 0.36512 0.07412*** 0.41526
(0.0000) (0.0003) (0.0006)
GDP 0.02366*** 0.26634 0.36556*** 0.50236 0.22365*** 0.06963
(0.0000) (0.0000) (0.0000)
EFF Random effect Fixed effect Random effect
ECT
Statistic 10.63566 5.62412*** 7.63541
(0.1963) (0.0000) (0.1636)
Observed value 163 63 96

Stability test results

Variable Statistic Prob. Conclusion
ROA -8.3346 0.000 Smoothness
Z -10.3199 0.000 Smoothness
DIV -8.43881 0.000 Smoothness
SIZE -9.89699 0.000 Smoothness
EA -9.27176 0.000 Smoothness
NPL -28.5724 0.000 Smoothness
CIR -7.78844 0.000 Smoothness
CAR -9.79396 0.000 Smoothness
GDP -6.39059 0.000 Smoothness
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