Table 11 VECM model Variables (1) (2)...

Table 11

VECM model

Variables	(1)	(2)	(3)	(4)	(5)	(6)
Variables	D_LNZSCORE	D_ROE	D_LNPP	D_NEWFLENDER	D_NEWFBOR	D_PRO
L._ce1	−1.854***	0.188	−0.627***	0.723	35.35	0.318
L._ce1	(0.606)	(0.377)	(0.192)	(0.542)	(84.80)	(0.385)
L._ce2	−0.742***	0.249	0.133	−0.155	−21.27	0.344**
L._ce2	(0.262)	(0.163)	(0.0830)	(0.234)	(36.62)	(0.166)
L._ce3	−2.276	0.0239	−2.136***	3.080**	93.57	0.649
L._ce3	(1.472)	(0.914)	(0.466)	(1.316)	(205.8)	(0.935)
LD.LNZSCORE	0.791*	0.111	0.454***	−0.932**	−32.42	−0.141
LD.LNZSCORE	(0.434)	(0.270)	(0.138)	(0.388)	(60.69)	(0.276)
L2D.LNZSCORE	0.401	−0.0501	0.143	−0.785***	2.425	0.245
L2D.LNZSCORE	(0.328)	(0.204)	(0.104)	(0.293)	(45.81)	(0.208)
L3D.LNZSCORE	−0.0293	−0.134	0.320***	0.299	−90.70*	−0.129
L3D.LNZSCORE	(0.347)	(0.215)	(0.110)	(0.310)	(48.47)	(0.220)
LD.ROE	1.652**	−0.159	−0.272	−0.166	−24.57	−1.277***
LD.ROE	(0.679)	(0.422)	(0.215)	(0.607)	(94.94)	(0.432)
L2D.ROE	−0.653	−1.064	−1.107***	−0.415	157.0	−0.0989
L2D.ROE	(1.069)	(0.664)	(0.339)	(0.956)	(149.4)	(0.679)
L3D.ROE	−0.415	0.289	−0.965***	1.568*	196.2	0.243
L3D.ROE	(1.037)	(0.645)	(0.329)	(0.928)	(145.1)	(0.659)
LD.LNPP	−0.0856	−0.514	0.950***	−2.306***	108.8	−1.058*
LD.LNPP	(0.967)	(0.601)	(0.306)	(0.865)	(135.2)	(0.615)
L2D.LNPP	−0.425	0.0644	0.316	−1.165*	59.46	−0.538
L2D.LNPP	(0.720)	(0.447)	(0.228)	(0.644)	(100.6)	(0.457)
L3D.LNPP	−0.509	0.00385	0.371**	−0.763	68.60	−0.158
L3D.LNPP	(0.588)	(0.366)	(0.186)	(0.526)	(82.27)	(0.374)
LD.NEWFLENDER	−0.336	−0.0887	−0.241**	0.0469	23.61	0.255
LD.NEWFLENDER	(0.359)	(0.223)	(0.114)	(0.321)	(50.21)	(0.228)
L2D.NEWFLENDER	0.229	−0.153	−0.177*	0.498*	−40.99	0.0449
L2D.NEWFLENDER	(0.294)	(0.182)	(0.0930)	(0.263)	(41.06)	(0.187)
L3D.NEWFLENDER	−0.149	−0.210	−0.0435	0.139	10.18	−0.133
L3D.NEWFLENDER	(0.291)	(0.181)	(0.0921)	(0.260)	(40.64)	(0.185)
LD.NEWFBOR	−0.0221***	0.00303	−0.000643	−0.000122	0.503	0.00393
LD.NEWFBOR	(0.00620)	(0.00385)	(0.00196)	(0.00554)	(0.866)	(0.00394)
L2D.NEWFBOR	−0.0172***	0.00473	−0.00268	0.00520	−0.537	0.00461
L2D.NEWFBOR	(0.00537)	(0.00334)	(0.00170)	(0.00481)	(0.751)	(0.00342)
L3D.NEWFBOR	−0.0118*	−8.60e−05	−0.000452	0.00180	0.0117	0.00450
L3D.NEWFBOR	(0.00626)	(0.00389)	(0.00198)	(0.00560)	(0.875)	(0.00398)
LD.PRO	−0.977*	−0.0246	0.327*	−0.824*	38.94	−0.235
LD.PRO	(0.535)	(0.333)	(0.170)	(0.479)	(74.86)	(0.340)
L2D.PRO	−0.679*	0.133	0.0308	0.286	24.13	0.382
L2D.PRO	(0.386)	(0.240)	(0.122)	(0.345)	(53.95)	(0.245)
L3D.PRO	0.125	0.250	0.164	0.447	−38.29	0.0913
L3D.PRO	(0.438)	(0.272)	(0.139)	(0.392)	(61.29)	(0.279)
Constant	0.00455	0.0305	0.0285**	0.0140	0.000288	0.000814
Constant	(0.0396)	(0.0246)	(0.0125)	(0.0354)	(5.531)	(0.0251)
Observations	32	32	32	32	32	32

Variables	(1)	(2)	(3)	(4)	(5)	(6)
Variables	D_LNZSCORE	D_ROE	D_LNPP	D_NEWFLENDER	D_NEWFBOR	D_PRO
L._ce1	−1.854***	0.188	−0.627***	0.723	35.35	0.318
L._ce1	(0.606)	(0.377)	(0.192)	(0.542)	(84.80)	(0.385)
L._ce2	−0.742***	0.249	0.133	−0.155	−21.27	0.344**
L._ce2	(0.262)	(0.163)	(0.0830)	(0.234)	(36.62)	(0.166)
L._ce3	−2.276	0.0239	−2.136***	3.080**	93.57	0.649
L._ce3	(1.472)	(0.914)	(0.466)	(1.316)	(205.8)	(0.935)
LD.LNZSCORE	0.791*	0.111	0.454***	−0.932**	−32.42	−0.141
LD.LNZSCORE	(0.434)	(0.270)	(0.138)	(0.388)	(60.69)	(0.276)
L2D.LNZSCORE	0.401	−0.0501	0.143	−0.785***	2.425	0.245
L2D.LNZSCORE	(0.328)	(0.204)	(0.104)	(0.293)	(45.81)	(0.208)
L3D.LNZSCORE	−0.0293	−0.134	0.320***	0.299	−90.70*	−0.129
L3D.LNZSCORE	(0.347)	(0.215)	(0.110)	(0.310)	(48.47)	(0.220)
LD.ROE	1.652**	−0.159	−0.272	−0.166	−24.57	−1.277***
LD.ROE	(0.679)	(0.422)	(0.215)	(0.607)	(94.94)	(0.432)
L2D.ROE	−0.653	−1.064	−1.107***	−0.415	157.0	−0.0989
L2D.ROE	(1.069)	(0.664)	(0.339)	(0.956)	(149.4)	(0.679)
L3D.ROE	−0.415	0.289	−0.965***	1.568*	196.2	0.243
L3D.ROE	(1.037)	(0.645)	(0.329)	(0.928)	(145.1)	(0.659)
LD.LNPP	−0.0856	−0.514	0.950***	−2.306***	108.8	−1.058*
LD.LNPP	(0.967)	(0.601)	(0.306)	(0.865)	(135.2)	(0.615)
L2D.LNPP	−0.425	0.0644	0.316	−1.165*	59.46	−0.538
L2D.LNPP	(0.720)	(0.447)	(0.228)	(0.644)	(100.6)	(0.457)
L3D.LNPP	−0.509	0.00385	0.371**	−0.763	68.60	−0.158
L3D.LNPP	(0.588)	(0.366)	(0.186)	(0.526)	(82.27)	(0.374)
LD.NEWFLENDER	−0.336	−0.0887	−0.241**	0.0469	23.61	0.255
LD.NEWFLENDER	(0.359)	(0.223)	(0.114)	(0.321)	(50.21)	(0.228)
L2D.NEWFLENDER	0.229	−0.153	−0.177*	0.498*	−40.99	0.0449
L2D.NEWFLENDER	(0.294)	(0.182)	(0.0930)	(0.263)	(41.06)	(0.187)
L3D.NEWFLENDER	−0.149	−0.210	−0.0435	0.139	10.18	−0.133
L3D.NEWFLENDER	(0.291)	(0.181)	(0.0921)	(0.260)	(40.64)	(0.185)
LD.NEWFBOR	−0.0221***	0.00303	−0.000643	−0.000122	0.503	0.00393
LD.NEWFBOR	(0.00620)	(0.00385)	(0.00196)	(0.00554)	(0.866)	(0.00394)
L2D.NEWFBOR	−0.0172***	0.00473	−0.00268	0.00520	−0.537	0.00461
L2D.NEWFBOR	(0.00537)	(0.00334)	(0.00170)	(0.00481)	(0.751)	(0.00342)
L3D.NEWFBOR	−0.0118*	−8.60e−05	−0.000452	0.00180	0.0117	0.00450
L3D.NEWFBOR	(0.00626)	(0.00389)	(0.00198)	(0.00560)	(0.875)	(0.00398)
LD.PRO	−0.977*	−0.0246	0.327*	−0.824*	38.94	−0.235
LD.PRO	(0.535)	(0.333)	(0.170)	(0.479)	(74.86)	(0.340)
L2D.PRO	−0.679*	0.133	0.0308	0.286	24.13	0.382
L2D.PRO	(0.386)	(0.240)	(0.122)	(0.345)	(53.95)	(0.245)
L3D.PRO	0.125	0.250	0.164	0.447	−38.29	0.0913
L3D.PRO	(0.438)	(0.272)	(0.139)	(0.392)	(61.29)	(0.279)
Constant	0.00455	0.0305	0.0285**	0.0140	0.000288	0.000814
Constant	(0.0396)	(0.0246)	(0.0125)	(0.0354)	(5.531)	(0.0251)
Observations	32	32	32	32	32	32

Note(s): Standard errors in parentheses ***p < 0.01, **p < 0.05 and *p < 0.1. The dependent variable is the natural logarithm of zscore (LNZSCORE), while the dependent variables are ROE, LNPP, NEWFLENDER, NEWFBOR and PRO. The VECM model above uses 4 lags and 3 ranks (Johansen Cointegration Test)

Source(s): Table by author

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