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2021, vol. 15, br. 2, str. 53-68
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Osjetljivost kapitala banaka u Federaciji Bosne i Hercegovine na promjenu egzogenih i endogenih faktora
Sensitivity of banks' capital in the Federation of Bosnia and Herzegovina to changes in exogenous and endogenous factors
Sažetak
Radi osiguranja da rizična aktiva bude pokrivena kapitalom banke, regulator je propisao minimalnu stopu adekvatnosti kapitala. Propisana stopa adekvatnosti kapitala, koja u Federaciji BiH iznosi 12% predstavlja sposobnost banke da apsorbira gubitke nastale lošim plasmanima iskazana kao odnos kapitala i rizične aktive banke. Uzorak ovog istraživanja je izvršen na nivou populacije cjelokupnog bankarskog sistema Federacije Bosne i Hercegovine. Primarni cilj ovog rada je da pokuša prepoznati egzogene i endogene faktore koji utječu na osjetljivost kapitala banaka koje posluju u FBiH. Istraživanje je fokusirano na period OD 2014. do 2020. godine, na kvartalnom nivou, a istraživanje će objasniti deskriptivnu statistiku, korelacionu analizu i regresionu analizu. Tokom istraživanja, estimirana su dva regresiona modela, provjerene su pretpostavke i interpretirani su dobiveni rezultati. Rezultati prvog modela su pokazali da postoji statistički značajna pozitivna korelacija između stope finansijske poluge i stope adekvatnosti kapitala, te statistički značajna negativna korelacija između stope rasta GDP-a i stope adekvatnosti kapitala. Drugi model je potvrdio da postoji negativna statistički značajna korelacija između varijabli dobit na prosječnu aktivu (ROAA), ukupan prihod/prosječna aktiva (UPPA), neto kamatni prihod/prosječna aktiva (NIM) sa stopom adekvatnosti kapitala.
Abstract
In order to ensure that risky assets are covered by the bank's capital, the regulator has prescribed a minimum capital adequacy ratio (CAR). The prescribed CAR, which in the Federation of Bosnia and Herzegovina is 12%, represents the ability of banks to absorb losses caused by bad placements, expressed as the ratio of capital and risk assets of the bank. The sample of this research was performed at the level of the whole banking system of the Federation of Bosnia and Herzegovina. The primary goal of this paper is to try to identify exogenous and endogenous factors that affect the capital sensitivity of banks operating in the Federation of Bosnia and Herzegovina. The research is focused on the period from 2014-2020, every quarter, and the research will explain descriptive statistics, correlation analysis and regression analysis. The research estimated two regression models, assumptions were checked and the obtained results were interpreted. The results of the first model showed that there is a statistically significant positive correlation between the leverage rate and the capital adequacy ratio, and a statistically significant negative correlation between the GDP growth rate and the capital adequacy ratio. The second model confirmed that there is a negative statistically significant correlation between the variables return on average assets (ROAA), total income / average assets (UPPA), net interest income / average assets (NIM) with the capital adequacy ratio.
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