Summary of variables and predictions
| Prediction | |||
|---|---|---|---|
| Variable | Z-score | Definition | Source |
| Dependent variables | |||
| Total Risk of default [Z-score] | Dependent variable | Ratio of the sum of equity capital to total assets and ROAA regarding the standard deviation of ROAA (sdROAA) | Bankscope, authors’ calculation |
| Explanatory variables | |||
| Islamic bank [Islbank] | +/− | Dummy takes the value 1 if the bank is Islamic | Bankscope, authors’ calculation |
| Corporate governance at firm level [CGFL] | − | Sum seven widely-used governance measures | Authors’ calculation from Annual Reports |
| Governance country level [WGI] | − | Quality of governance at the country level | World Bank |
| Property Rights Index [ProRigIndex] | − | Property rights protection | Heritage economic freedom index |
| Family ownership [BanImpFamSt] | + | Dummy takes the value 1 if the bank has an important family stake | Authors’ calculation from Annual Reports |
| Government ownership [BanImpGovSt] | − | Dummy takes the value 1 if the bank has an important government stake | Authors’ calculation from Annual Reports |
| Institutional ownership [BankImpInsInvSt] | − | Dummy takes the value 1 if the bank has an important institutional stake | Authors’ calculation from Annual Reports |
| Large blockholders [Largeblock] | − | Dummy takes the value 1 if the bank has at least two important owners | Authors’ calculation from Annual Reports |
| Deposit insurance [DIClim/GDPperCapita] | − | Statutory coverage limit expressed as a percentage | Authors’ calculation from IMF |
| Control variables | |||
| Equity ratio [EquAss] | + | Equity/total assets ratio | Bankscope |
| Growth of loans [GrowGroLoans] | − | Annual loan growth rate | Bankscope |
| Bank size [Logtotass] | − | Logarithm of total assets; controls for bank’s size | Bankscope |
| Extent of bank’s lending [NetLoanTotA] | − | Net loans/total assets; control for extent of bank’s involvement in lending activity | Bankscope |
| Eficiency ratio [CosToInc] | − | Cost/Income | Bankscope |
| GDP growth as macroeconomics variable [GDPgrowth] | − | Annual GDP growth rate | International Monetary Fund (IMF) database |
| Years [Year] | Year dummies | ||
| Prediction | |||
|---|---|---|---|
| Variable | Definition | Source | |
| Total Risk of default [ | Dependent variable | Ratio of the sum of equity capital to total assets and ROAA regarding the standard deviation of ROAA (sdROAA) | Bankscope, authors’ calculation |
| Islamic bank [Islbank] | +/− | Dummy takes the value 1 if the bank is Islamic | Bankscope, authors’ calculation |
| Corporate governance at firm level [CGFL] | − | Sum seven widely-used governance measures | Authors’ calculation from Annual Reports |
| Governance country level [WGI] | − | Quality of governance at the country level | World Bank |
| Property Rights Index [ProRigIndex] | − | Property rights protection | Heritage economic freedom index |
| Family ownership [BanImpFamSt] | + | Dummy takes the value 1 if the bank has an important family stake | Authors’ calculation from Annual Reports |
| Government ownership [BanImpGovSt] | − | Dummy takes the value 1 if the bank has an important government stake | Authors’ calculation from Annual Reports |
| Institutional ownership [BankImpInsInvSt] | − | Dummy takes the value 1 if the bank has an important institutional stake | Authors’ calculation from Annual Reports |
| Large blockholders [Largeblock] | − | Dummy takes the value 1 if the bank has at least two important owners | Authors’ calculation from Annual Reports |
| Deposit insurance [DIClim/GDPperCapita] | − | Statutory coverage limit expressed as a percentage | Authors’ calculation from IMF |
| Equity ratio [EquAss] | + | Equity/total assets ratio | Bankscope |
| Growth of loans [GrowGroLoans] | − | Annual loan growth rate | Bankscope |
| Bank size [Logtotass] | − | Logarithm of total assets; controls for bank’s size | Bankscope |
| Extent of bank’s lending [NetLoanTotA] | − | Net loans/total assets; control for extent of bank’s involvement in lending activity | Bankscope |
| Eficiency ratio [CosToInc] | − | Cost/Income | Bankscope |
| GDP growth as macroeconomics variable [GDPgrowth] | − | Annual GDP growth rate | International Monetary Fund (IMF) database |
| Years [Year] | Year dummies | ||
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