Table 8 GMM results – impact of large...

Table 8

GMM results – impact of large deposits on net interest margin and Z-Score of banks in India, 2013–2022

	(1)	(2)
Variables	NIM	Z-Score
T20DEP	0.039*	−0.049*
GMM C statistic χ²(1) - p value (Note 1)	0.6991	0.9112
First stage adjusted R-square (Note 2)	0.7198 ***	0.5561***
Hansen's J χ² - p value (Note 3)	0.0294	0.6354
Observations	426	419
R-squared	0.674	0.564
Instrumental variables	T20ADV, bank categories	T20ADV, bank categories
Overall R²	0.674	0.564

	(1)	(2)
Variables	NIM	Z-Score
T20DEP	0.039*	−0.049*
GMM C statistic χ²(1) - p value (Note 1)	0.6991	0.9112
First stage adjusted R-square (Note 2)	0.7198 ***	0.5561***
Hansen's J χ² - p value (Note 3)	0.0294	0.6354
Observations	426	419
R-squared	0.674	0.564
Instrumental variables	T20ADV, bank categories	T20ADV, bank categories
Overall R²	0.674	0.564

Note(s):

(1). Null hypothesis: The variable is exogenous

(2). Higher values of first stage adjusted R-square indicates stronger instruments, and instrumental-variables estimators exhibit less bias when the instruments are strongly correlated with the endogenous variable

Robust standard errors in parentheses

***p < 0.01, **p < 0.05, *p < 0.1

Figures in brackets are standard errors. ***, ** and * indicates statistical significance at 1%, 5% and 10%, respectively

Source(s): Authors' estimates

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