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Abstract:
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The objective of this investigation was to create a model to analyze the systematic risks factors affecting of The Capital Adequacy Ratio of Thai commercial banks in order to enable bank’s executives or policy makers to assess the impacts of the risks on the security of commercial banks.
The secondary data were used and collected from the National Statistical Office Thailand and the Bank of Thailand (BOT). The data consisted of interest rates, policies of BOT, exchange rates for Thai baht and US dollar, indices of the Stock Exchange of Thailand, and inflation rates. The sample group was composed of Thai commercial banks listed on the Stock Exchange of Thailand. Five large commercial banks were selected, based on the criteria of domestic systematically important banks (D-SIBs). The data were based on quarters from 2007 to 2017, yielding 220 observation values. The Panel Regression Analysis was used to analyze the data.
The analysis results reveal that the interest rates policies are an significance factor that most affects The Capital Adequacy Ratio of Thai commercial banks, whereas the exchange rates, indices of the Stock Exchange of Thailand and inflation rates have no significant impacts.
Keywords: Systematic risks/ Capital Adequacy Ratio/ Commercial Banks
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