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An Application of Unit Root Tests with a Structural Break to Risk‐Based Capital and Bank Portfolio Composition

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  • Kevin T. Jacques

Abstract

During the 1990s, the composition of commercial bank portfolios in general and bank holdings of business loans and government securities in particular exhibited unusual behavior. One possible explanation for these unusual changes was the implementation by U.S. bank regulators of the risk‐based capital standards. This paper examines the issue of nonstationarity in bank holdings of commercial loans and government securities by considering whether a trend specification with structural break model is consistent with the implementation of the risk‐based capital standards.

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  • Kevin T. Jacques, 2003. "An Application of Unit Root Tests with a Structural Break to Risk‐Based Capital and Bank Portfolio Composition," Southern Economic Journal, John Wiley & Sons, vol. 69(4), pages 978-989, April.
    • Handle: RePEc:wly:soecon:v:69:y:2003:i:4:p:978-989
    DOI: 10.1002/j.2325-8012.2003.tb00544.x
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