Reference no: EM132242186

Assignment -

The attached file (data.xlsx) includes data from 4300 banks worldwide.

A) Identify which economic and bank specific factors affect:

1) The capital ratios of the banks (BIS Total % and Capital Assets Ratio %),

2) Non Performing Loans (NPL %),

3) Risk of the Banks ($m Total Risk-Weighted Assets) for the

a) Eurozone,

b) USA and

c) China+India

Statistical tables with the results of the regressions should be presented.

B) Identify how Capital ratios (i.e capital requirements) affect

4) Economic Growth (GDP movements) and

5) Household Consuption for

a) Eurozone,

b) USA and

c) China+India

Statistical tables with the results of the regressions should be presented.

C) Finally see how A) and B) look like using Regime Switching models that economic capture recessions.

Statistical tables with the results of the regressions should be presented.

The solution will be a 15-20 pages paper (not including the tables) where you will explain

a) The methodology/models you followed and how you treated multicollinearity, autocorellation, heteroskedasticity

b) The results with all the statistical tables (and whether they are significant or not)

c) Explain the economic meaning of the results

d) All the results and variables used in Eviews files so that I can run them on my PC and replicate your tables

Notes: In case of missing observation you can use linear interpolation. You need to address multicolinearity, heteroskedasticity and autocorellation issues and document how you did it.

For:

1) The research should be done in the period 2000-2017 to have a good sample of available data.

2) The research should be done in the period 2001-2017 to have a good sample of available data.

3) The research should be done in the period 2009-2017 to have a good sample of available data.

4) and 5) The research should be done in the period 2000-2017 to have a good sample of available data.

The factors to be investigated can be found in all attached spreadsheets by country.

Independent Variables to be examined are the following and you can do any necessary transformations to make them % or interpolate missing values:

Net Interest Margin %

$m Gross Total Loans

$m Net Interest Income

$m Total Assets

Return on Assets %

Cost/Income Ratio %

NPL %

$m Net Operating Income

Economic growth

Inflation

Savings, percent of GDP

Household consumption, percent of GDP

Current account, in dollars

Household debt to GDP

External debt

Regulatory quality

Short-term external debt

Stock price volatility

Stock market return

Real interest rate

Economic growth forecast

Political risk, short-term

Current account, in dollars

Want to see all the files in Eviews so can replicate what you did.

Note - Total 15-20 Pages in which explain everything (Model used, methodology, Results and explanation of the results) plus appendix with the tables from Eviews. You need to explain everything in the paper.

Attachment:- Assignment Files.rar