Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation

Author First name, Last name, Institution

Ghulame Rubbaniy, Zayed University
Ali Awais Khalid, University of Lahore
Stathis Polyzos, Zayed UniversityFollow
Balqees Naser Almessabi, Zayed University

ORCID Identifiers

0000-0001-8385-3532

0000-0002-8777-2171

0000-0002-4317-1809

Document Type

Article

Source of Publication

Managerial and Decision Economics

Publication Date

12-3-2021

Abstract

Our study uses a new business cycle (BC) index and a nonlinear panel smooth transition regression model on quarterly data of 1538 bank holding companies of the United States to investigate response of capital adequacy ratios (CARs) to changes in economic activity. Our findings confirm the existence of nonlinear effects of BC on CARs. Although we use a nonlinear model and a new proxy of BC, our results about CARs are not only consistent with existing mainstream literature but also improve estimation and goodness of the estimation of CARs. The study outcome is useful for policymakers for CARs' standards adjustments during recessions.

DOI Link

10.1002/mde.3502

Publisher

Wiley

Disciplines

Business

Scopus ID

85120434765

Recommended Citation

Rubbaniy, Ghulame; Khalid, Ali Awais; Polyzos, Stathis; and Almessabi, Balqees Naser, "Cyclicality of capital adequacy ratios in heterogeneous environment: A nonlinear panel smooth transition regression explanation" (2021). All Works. 4729.
https://zuscholars.zu.ac.ae/works/4729

Indexed in Scopus

yes

Open Access

no