This paper assesses the dynamic causal relationships among bank risk, capital, and efficiency. Using a panel dataset of commercial banks in five ASEAN countries from 2005 to 2015, we employ panel vector autoregression analysis to take into account the endogeneity and interdependencies of these three variables while holding other shocks constant. We find that in general, better capitalized banks in ASEAN countries are more efficient and take less credit risk. However, high-efficiency banks tend to maintain low levels of capital, whereas low-efficiency banks have higher capital ratios. We also analyze the sensitivity of the relationships among capital, risk, and efficiency to ownership structure, bank size, and the periods before and after the 2008 crisis.

本文评估了银行风险，资本和效率之间的动态因果关系。我们使用2005年至2015年间五个东盟国家的商业银行面板数据集，采用面板向量自回归分析法来考虑这三个变量的内生性和相互依赖性，同时保持其他冲击不变。我们发现，总的来说，东盟国家中资本水平更高的银行效率更高，信用风险也更低。然而，高效率的银行往往保持较低的资本水平，而低效率的银行具有较高的资本比率。我们还分析了资本，风险和效率之间的关系对所有权结构，银行规模以及2008年危机前后的敏感性。