The effect of credit risk, liquidity risk and bank capital on bank profitability: Evidence from an emerging market

Figures & data

Table 1. Description of the use variables

Categories	Variables	Formula
Profitability	ROAA	Net Income to Average Total Assets
	ROAE	Net Income to Average Total Equity
	NIM	Net Interest Income to Earning Assets
Credit risk	Crisk	Loans Loss Provisions to Loans
Liquidity risk	Lrisk	Liquid Assets to Total Assets Ratio
Bank capital	B-Cap	Equity to Total Assets Ratio
Bank size	Size	Logarithm of the Total Assets
Loan growth	Growth	Loant—Loant-1 Loant-1
Efficiency	Cost	Cost to Income Ratio

Table 2. Description of the variables

	ROAA	ROAE	NIM	Crisk	Lrisk	B-Cap	Size	Growth	Cost
Obs	117	117	117	117	117	117	117	117	117
Mean	0.0238	0.1026	0.0401	0.8361	0.0382	0.0973	21.9665	0.6152	0.4326
Std Dev	0.0051	0.0762	0.0237	0.0433	0.0252	0.0411	1.3472	0.3413	0.1533
Min	0.0002	0.0021	−0.0039	0.7735	0.0001	0.0290	19.8652	0.0011	0.1467
Max	0.0361	0.3586	0.1103	0.9372	0.0196	0.3537	24.2759	0.8437	0.9372

Table 3. Correlation matrix among variables

	ROAA	ROAE	NIM	Crisk	Lrisk	B-Cap	Size	Growth	Cost
ROAA	1.000
ROAE	0.586	1.000
NIM	0.381	0.035	1.000
Crisk	0.340	−0.052	0.040	1.000
Lrisk	0.289	0.193	−0.115	0.082	1.000
B-Cap	0.314	0.252	0.144	0.063	0.476	1.000
Size	0.369	−0.353	−0.214	0.064	−0.396	−0.662	1.000
Growth	−0.052	0.141	−0.080	0.006	0.055	−0.533	0.134	1.000
Cost	−0.483	0.595	−0.046	0.082	−0.063	0.095	−0.087	−0.159	1.000

Table 4. Regression results—The dependent variable is ROAA

	Coeff.	P-value	Coeff.	P-value
Constant	0.0758	0.0000
ROAA −1			0.3651	0.0001
Crisk	−0.0020***	0.0000	−0.0145**	0.0110
Lrisk	−0.00415**	0.0376	−0.1155*	0.0553
B-Cap	0.0312***	0.0030	0.0052**	0.0414
Size	−0.0023***	0.0001	−.0013**	0.0221
Growth	0.0124*	0.0872	0.0481*	0.0797
Cost	−0.0332**	0.0020	−0.0411**	0.0021
R-squared	0.8197
Adj R-squared	0.7856
F-stat	25.4021
Prob F-stat	0.0000
Sargan test	24.6165
Prob Sargan test	0.2269
No. Observations	117

* , **, *** = p-value <.10,.05,.01

Table 5. Regression results—The dependent variable is ROAE

	Coeff.	P-value	Coeff.	P-value
Constant	0.0884	0.0726
ROAE −1			0.0652	0.3724
Crisk	−0.1349	0.2463	−0.0739	0.3790
Lrisk	−0.0527**	0.0245	0.0325**	0.0149
B-Cap	0.0282***	0.0001	0.0198*	0.0363
Size	−0.0014**	0.0022	0.0264	0.2077
Growth	0.0533***	0.0000	0.0377**	0.0325
Cost	−0.4228*	0.0738	−0.2935	0.5058
R-squared	0.7458
Adj R-squared	0.6846
F-stat	15.3162
Prob F-stat	0.0000
Sargan test	23.4649
Prob Sargan test	0.2682
No. Observations	117

* , **, *** = p-value < .10,.05,.01

Table 6. Regression results—The dependent variable is NIM

	Coeff.	P-value	Coeff.	P-value
Constant	0.0658	0.0957
NIM-1			−0.0027	0.7378
Crisk	−0.0318**	0.0325	−0.019*	0.0772
Lrisk	−0.1589*	0.0804	−0.0073	0.6987
B-Cap	0.0446***	0.0013	0.0688**	0.0346
Size	−0.0034***	0.0002	−0.0013***	−0.0001
Growth	−0.0752	0.4335	−0.0682	0.6485
Cost	−0.1368***	0.0000	−0.1714**	0.0019
R-squared	0.8037
Adj R-squared	0.7743
F-stat	19.3640
Prob F-stat	0.0000
Sargan test	18.1285
Prob Sargan test	0.5986
No. Observations	117

* , **, *** = p-value < .10,.05,.01