Open AccessDeterminants of Systemic Risk of Banks in India
Author(s) -
Mihir Dash
Publication year - 2019
Publication title -
asian journal of finance and accounting
Language(s) - English
Resource type - Journals
ISSN - 1946-052X
DOI - 10.5296/ajfa.v11i1.14157
Subject(s) - systemic risk , private sector , public sector , leverage (statistics) , return on assets , net interest income , panel data , business , capital adequacy ratio , capital requirement , economics , financial system , monetary economics , interest rate , finance , economic growth , economy , econometrics , profit (economics) , financial crisis , machine learning , incentive , profitability index , computer science , microeconomics , macroeconomics
This study examines the determinants of systemic risk for banks in India. The independent variables considered for the study include the sector, bank size, return on assets, beta, leverage, capital adequacy, non-performing assets, price to book value, deposits, loans & advances, investments, net interest income, and non-interest income. A mixed panel regression model was applied, with bank fixed effects and year random effects.The results of the study indicate that public sector banks have a much higher level of systemic impact than private sector banks. Further, the determinants of systemic impact are different for public sector and private sector banks. The systemic impact of public sector banks was positively related with size and negatively related with price to book value ratio and investments to total assets ratio, while the systemic impact of private sector banks was negatively related with return on assets and positively related with beta and net interest income to total funds ratio.