Using GM(1,N) to Assess the Effects of Economic Variables on Bank Failure

摘要

In this study the z”-scores of 10 independent banks in Taiwan are calculated as the indicator of their bankruptcy probability and grey model is used to analyze the influences of 5 macroeconomic variables and 7 banking variables on z”-scores. Since the development of a grey system is the target of this paper, the GM(1,N) model is used rather than the GM(0,N) model. The b values of most macroeconomic variables are consistent with the proposed hypothesis. The b values of banking sector variables shed light on the banking sector in Taiwan.