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The benefits gained from the implementation of corporate social responsibility (CSR) are not consistent across related studies. Therefore, the purpose of this paper is to use the threshold model to explain this problem and further recognize the gains and losses of Taiwan’s commercial banks in participating in CSR.

This paper uses the data of listed banks during the period of 2008–2020 and applies the multi-threshold regression model for designing the model with debt ratio as a threshold variable. These thresholds are used to classify the data into three regimes; low, medium and high debt ratios for examining how banks’ participation in social responsibility affects their financial performance, costs and depositors' confidence.

The implementation of CSR can enable the low debt banks to reduce costs and generate positive effects on the growth of profitability and time deposits. Conversely, the commitment to CSR of the bank group with medium and high debt ratios negatively affects their profits, and their costs increase insignificantly. Besides, the depositors' confidence in bank groups with low and moderate debt ratios increase, but those of high debt ratio group decrease.

This paper contributes to the existent literature in several ways: first, the nonlinear model is applied to eliminate the asymmetric of the data. Second, this paper highlights the importance of debt ratio in assessing the effectiveness of CSR engagement. Third, quality of loans is the key factor determining the bank's profitability and expenses. Fourth, depositors' confidence in commercial banks is lower when their debt ratio is too high.