Asset Concentration and Z Score in Indian Banks
DOI:
https://doi.org/10.46977/amt.2025.v06i02.003Keywords:
Asset Concentration, Asymmetry, Banking Crisis, Cumulative Dynamic Multiplier, Negative Response, Positive Response, z scoreAbstract
The paper endeavors to verify the linear and non-linear relationship between z score and asset concentration in Indian banks during 2000-2021 through Auto Regressive Distributed Lag (ARDL) and Non-Linear Auto Regressive Distributed Lag (NARDL) approaches, with special emphasis on the asymmetric impact of asset concentration. It also indicated their trends towards 2050 through Auto Regressive Integrated Moving Average (ARIMA) models. The paper found that both the trends are nonlinear and convergent towards 2050. In NARDL model, positive changes of asset concentration are negatively related with z score while negative changes are positively associated, but all are insignificant, while in ARDL, z score is both related positively and negatively in different lags, but it is positively related with asset concentration at lag four significantly. The asymmetry line and positive response of the cumulative dynamic multiplier of asset concentration on z score are moving upward above the equilibrium line towards positive long-run limit, while the negative response of cumulative dynamic multiplier of asset concentration on z score converged to the negative long run limit successfully. There is no signal of bankruptcy.
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