S1 Dataset -

This study aims to investigate the simultaneous relationship between bank risk and capital, specifically examining how competition and ownership jointly influence this relationship. We employed the two-step system generalized method of moments to address concerns regarding endogeneity and unobserved heteroscedasticity. Based on data from 44 commercial banks in Bangladesh from 2010 to 2021, our findings reveal several key insights: (I) There is a significant non-linear bidirectional relationship between bank risk and capital: capital exhibits a U-shaped effect on risk, while risk has a non-linear negative impact on capital; (II) in highly contested markets, banks hold higher levels of capital, and heightened competition reduces the risk appetite of commercial banks; while less competition has the opposite effect; (III) private and Islamic commercial banks are more risk-averse than state-owned and conventional ones, and (IV) Private and Islamic banks with strong capital positions in a competitive market can better manage risks than state-owned and conventional banks. However, maintaining higher capital ratios in competitive environments is more challenging for state-owned and Islamic banks than private-owned and conventional commercial banks. These results align with the moral hazard hypothesis, competition fragility hypothesis, and the political view of state ownership. Significant insights from the study will fuel the regulators in shaping policies and regulations surrounding emerging countries like Bangladesh, particularly regarding risk, capital, competition, and ownership policies.

本研究旨在探究银行风险与资本之间的同步关联，重点考察竞争与股权结构如何共同作用于这一关联。本研究采用两步系统广义矩估计法（two-step system generalized method of moments），以解决内生性（endogeneity）与不可观测异方差性（unobserved heteroscedasticity）带来的估计偏误问题。基于2010年至2021年孟加拉国44家商业银行的面板数据，本研究得出多项核心结论：(I) 银行风险与资本间存在显著的非线性双向关联：资本对风险呈现U型影响，而风险对资本则具有非线性负向影响；(II) 在高度竞争的市场中，商业银行会持有更高水平的资本；竞争加剧会降低商业银行的风险偏好，而竞争程度较低则会产生相反效果；(III) 私营与伊斯兰商业银行（Islamic commercial banks）相较于国有及传统商业银行，风险厌恶程度更高；(IV) 在竞争市场中资本实力雄厚的私营与伊斯兰商业银行，相较于国有及传统商业银行，能够更有效地管理风险。不过，在竞争环境中维持较高资本充足率，对于国有与伊斯兰商业银行而言，要比私营及传统商业银行更具挑战性。本研究结果契合道德风险假说（moral hazard hypothesis）、竞争脆弱性假说（competition fragility hypothesis）以及国有股权的政治观（political view of state ownership）。本研究的重要结论可为监管机构制定类似孟加拉国这类新兴经济体的相关政策法规提供参考，尤其是在风险、资本、竞争及股权结构政策领域。