ผลกระทบของความเสี่ยงด้านเครดิตและความเสี่ยงด้านสภาพ คล่องต่อเสถียรภาพทางการเงินของธนาคารเพื่อการเกษตรและสหกรณ์การเกษตร

Abstract

From many past global financial crises It was caused by bank failures that had a real negative impact on the economy. Most of the reasons for bank failures are due to the risks they face. Therefore, the purpose of this study was to assess whether credit risk and liquidity risk had an impact on the stability of the Bank for Agriculture and Agricultural Cooperatives using secondary data from the Bank for Agriculture and Agricultural Cooperatives Consolidated Financial Report. quarterly and use risk management reports and annual business reports From fiscal year 2007-2018, a total of 48 quarters, which variables are time series data. The data used in this study was a stability index. with Liquidity Risk (LR), Credit Risk (CR), Capital to Risk Assets (CAR), Return on Equity (ROE), Net Interest Income Margin (NIM), Return on Assets (ROA) Products Gross(GDP) Inflation(Inf.) Before testing the relationship of the bank's financial stability ( ) by analyzing data by VAR (Vector Autoregressive) method, the unit root test was performed using the Augmented DickeyFuller Test ( ADF) Data stability test results at 10% significance. Granger Causality Test to test the relationship between credit risk and liquidity risk, which was found to be correlated short term equilibrium and the studied variables , LR and CR were related. Changes in credit risk (CR) and changes in liquidity risk (LR) greatly affect the stability of banks. Finally, an examination of the causal relationship between credit risk and liquidity risk using the two-stage least squares method (2SLS) was examined. 1. No variable could significantly explain credit risk 2. CAR variables are significant that can explain the statistical effect of liquidity risk 3. ROE and ROA variables are significant that can explain the statistical effect of bank stability