Purpose

The purpose of this study is to examine whether the relationship between asset quality and profitability is linear or nonlinear, using a global dataset containing 2,943 banks from advanced and emerging economies.

Design/methodology/approach

The authors use the U-shape test to investigate the existence of a nonlinear relationship between asset quality and profitability. In addition, the dynamic panel generalised method of moments (GMM) and quantile regression are used to examine the nonlinear effect of profitability on nonperforming loans (NPLs).

Findings

After controlling for macroeconomic and bank internal factors, the authors find empirical evidence supporting the existence of a nonlinear relationship in the form of a U-shape. This is also confirmed through the three-stage U test procedure. After distinguishing between advanced and emerging economies, the authors also find that, in advanced markets, the credit policy responds more rapidly to changes in credit market conditions than in emerging markets, providing insights into credit market dynamics.

Research limitations/implications

Further research can check the robustness of this study’s findings in different markets and investigate the existence of nonlinearity in other bank variables.

Practical implications

In a nutshell, the results demonstrate potential implications for policymakers who need to carefully monitor banks' lending behaviour to ensure that banks do not lower lending standards. In addition, banking regulators and supervisors should consider the possible nonlinear relationship in their risk assessments and macrostress tests. Further, these results are important for bank managers, who should monitor the performance of their loan portfolios to ensure that their credit officers do not lower credit standards. Likewise, for banks located in an emerging economy, investing in human capital and advanced technologies can enable them to respond more effectively to changes in the credit market.

Originality/value

To the best of the authors' knowledge, this study is considered the first to provide empirical evidence for the nonlinear relationship between asset quality and profitability.

中文翻译：

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银行资产质量和盈利能力之间的非线性联系：来自使用全球样本的动态和分位数方法的证据

目的

本研究的目的是使用包含来自发达和新兴经济体的 2,943 家银行的全球数据集来检验资产质量和盈利能力之间的关系是线性的还是非线性的。

设计/方法/方法

作者使用U形检验来研究资产质量和盈利能力之间是否存在非线性关系。此外，动态面板广义矩量法（GMM）和分位数回归用于检验盈利能力对不良贷款（NPLs）的非线性影响。

发现

在控制宏观经济和银行内部因素后，作者发现经验证据支持U形形式的非线性关系的存在。这也通过三阶段U测试程序得到证实。在区分了发达经济体和新兴经济体之后，作者还发现，在发达市场，信贷政策对信贷市场状况变化的反应比新兴市场更快，从而提供了对信贷市场动态的洞察。

研究限制/影响

进一步的研究可以检验本研究结果在不同市场中的稳健性，并调查其他银行变量中是否存在非线性。

实际影响

简而言之，结果表明对需要仔细监控银行贷款行为以确保银行不会降低贷款标准的政策制定者的潜在影响。此外，银行业监管机构在风险评估和宏观压力测试中应考虑可能存在的非线性关系。此外，这些结果对银行经理很重要，他们应该监控其贷款组合的表现，以确保他们的信贷官员不会降低信贷标准。同样，对于位于新兴经济体的银行而言，投资于人力资本和先进技术可以使它们更有效地应对信贷市场的变化。

原创性/价值

据作者所知，这项研究被认为是第一个为资产质量和盈利能力之间的非线性关系提供经验证据的研究。