Abstract
Abstract
The successive financial crises particularly the global financial crisis in 2008
directed significant towards international economic and financial institutions,
specifically the International Monetary Fund (IMF), the Bank for International
Settlements (BIS), and the Group of Twenty (G-20). This is due to the fact that these
crises have had a negative impact on globalization and because the mentioned countries
adopted and encouraged the acceleration of financial and economic globalization.
Therefore, they studied the reasons for the banking crises, especially the largest ones,
and then developed appropriate solutions on the Basel III agreement. This agreement
focuses on capital adequacy and new instruments to enhance the banking sector?s ability
to face any default or any future financial crisis consistent with Pillar 3, Basel II and
Basel III. Even though these accords have several approaches to calculate a bank?s
capital, it gives more flexibility for every jurisdiction to determine appropriate
approaches according to their own economic conditions.
This research investigates the ability of the Palestinian Bank Sector (PBS) to
incorporate Basel III. One of the main purposes of this research is to integrate a novel
framework to apply Basel III on the PBS. Moreover, this research measures the value of
the Basel concepts and approaches on the Palestinian economy. Thus, this research
studies the real PBS state by investigating consolidated balance sheets of banks
operating in Palestine from the years of 1996 to 2014.
In addition, this research investigates the effect of bank capital, charter value,
information systems, “internal/external” control systems and market discipline on bank
risk. Therefore, this research tries to understand to what extent Basel III increases the
stability of the banking sector. Moreover, this research investigates the countercyclical
buffer effect on the Palestinian economy. The size of the buffer after the stepwise
growths during the application stage finally reaches 2.5%. Therefore, the research tries
to answer the questions: will an increase in capital reserves affect the Palestinian
economy? And, is the countercyclical buffer an appropriate indicator for Palestine?
This research uses stepwise analysis. First, this research uses financial analysis
based on the CAMELS Rating system to determine the PBS state, which is a
supervisory rating system originally developed in the U.S. to classify a bank's overall
condition. It is applied to every bank and credit union in the U.S. (approximately 8,000
institutions) and is also implemented outside the U.S. by various banking supervisory
regulators. Then, this research uses an analytical description methodology to describe
the new Basel accord for effective banking supervision and to determine the appropriate
approach for the PBS. Next this research uses econometrics to predict probability at
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Dissertation for the Doctoral Degree in Business Administration, HIT
default (PD) by using the random effects logit model to estimate the probability of
banking instability using the maximum likelihood method. The logit is a large-sample
technique which has been commonly used in a number of similar studies. This research
has taken 84 firms derived from a portfolio of a large Palestinian bank from 2011-2014.
After developing the Basel III formula through prediction by PD for the PBS this
research uses the Autoregressive Distributed Lag Model (ADL) to investigates the effect
of the countercyclical buffer on the Palestinian economy. Finally, this research uses
Partial Least Square (PLS) to investigate the effect of banking capital, charter value,
information systems, “internal/external” control systems and market discipline on
banking risks by using the sample which includes 324 questionnaires from listed banks.
The financial results show that the PBS has ability to apply the Basel III
agreement. And the statistical analysis shows that the Advanced Internal Rating Based
Approach (A-IRB) is appropriate for Palestine?s banks. In addition, the logit analysis
shows that the PD is 0.025%-16% and the cumulative weighted average is 10.706% for
the PBS. Moreover, the ADL shows that the countercyclical buffer does not affect the
Palestinian economy and it is good indicator, which is further support for Basel III.
However, the PLS results show that there is no relationship among bank capital and
bank risk. The results also show that there is a positive relationship with charter value,
the developed information systems, “internal/external” control systems but a negative
relationship with market discipline.
Our findings show that the PBS has the ability to apply Basel III after predicted PD
and a determined A-IRB approach. In addition, the countercyclical buffer is a good
indicator for the Palestinian case and the increase in capital reserves cannot affect the
economy. Following our findings, the charter value and market discipline are playing a
very significant role regarding bank risk. Therefore, the results answer the research
questions through support of Basel III and suggest more attention on charter value and
market discipline. Thus, this study is important not just for Palestine but also for those
who have concern about bank risk and are trying to find a solution to future default.
Keywords: Basel III, Bank risk, Bank capital, Charter value, Market discipline,
Countercyclical buffer.
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摘要
摘要
在世界范围内相继发生的金融危机，尤其是在 2008年的全球金融危机，
受到了国际经济和金融机构的特别关注，尤其是国际货币基金组织 (IMF)，国
际清算银行 (BIS)，和二十国集团 (G-20)。这些危机对全球化有负面影响，而
上述组织是一贯奉行并鼓励加速金融和经济全球化的。因此，他们研究了银行
业危机发生的原因，尤其是那些重大危机，然后在《巴塞尔协议 III》确立了
相应的解决方案。本协议专注于资本充足率和新工具以提高银行业应对巴塞尔
协议III中所涉及的违约或未来的金融危机的能力。这些协议有多种方法来计
算银行的资本，同时也让制度制定者能够更加灵活的根据自身经济状况确定适
合的方法。
本研究调查了巴勒斯坦银行部门（ Palestinian Bank Sector，简称 PBS）
应用《巴塞尔协议 III》的能力。本研究的主要目的之一是建立一个新框架以
在PBS中应用《巴塞尔协议 III》。此外，本研究研究了巴塞尔协议对于巴勒斯
坦经济概念和方法的价值。该研究通过从 1996年到2014年在巴勒斯坦运营的
银行的调查，反应合并资产负债表 PBS的真实状态。
此外，本研究调查银行资本、特许权价值、信息系统、内部 /外部控制系
统和市场约束对银行风险的影响。本研究试图理解《巴塞尔协议 III》能在多
大程度上增加了银行业的稳定。此外，本研究调查了反周期缓冲对巴勒斯坦经
济的作用。在应用阶段，缓冲区的大小逐步增长并最终达到 2.5%。因此，本
研究试图回答如下问题：资本储备的增加是否会影响巴勒斯坦经济？以及反周
期缓冲是否是一个适合巴勒斯坦的经济指标 ?
本研究采用逐步回归方法进行分析。首先，本研究基于 CAMELS评级体
系的财务分析来确定 PBS的状态，该体系是一个由美国开发的对银行的总体状
况进行分类的监管评级系统。该体系被应用于每一个在美国的银行和信用合作
社(大约8000个机构 )以及美国以外的众多银行监管机构。然后，本研究使用了
一种分析描述方法来描述新巴塞尔协议，以有效的监管银行和确定适合 PBS的
方法。其次，该研究通过随机效应 logit模型利用计量经济学预测了违约概率
(PD)，进而使用最大似然法估计银行的不稳定概率。 Logit模型是一种大样本
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。。。以下略