Logit regression on the impact of bank asset quality on the decision to issue CoCos – Testing H2
| Dependent variable: AT1 CoCos | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| Independent variables | ||||||
| Impaired Loant−1 | −4.464** (1.804) | −1. 199 (1.382) | −0.128** (0.056) | −0.226** (0.095) | ||
| Loan Loss Rest−1 | −6.822** (3.176) | −8.855** (3.871) | −0.244** (0.116) | −0.443** (0.200) | ||
| Control variables | ||||||
| Net Loanst−1 | 0.316 (0.604) | −0.697 (0.636) | 0.793 (0.537) | 0.454 (0.575) | 0.009 (0.017) | 0.016 (0.304) |
| Total Assetst−1 | 0.522*** (0.084) | 0.6*** (0.099) | 0.518*** (0.086) | 0.525*** (0.084) | 0.015*** (0.002) | 0.026*** (0.005) |
| Equity/Assetst−1 | −2.254 (3.413) | −6.736 (4.154) | 2.812 (2.439) | −2.82 (3.385) | −0.064 (0.098) | −0.114 (0.173) |
| NIMt−1 | 29.523*** (8.028) | 29.113*** (8.109) | 29.195*** (7.999) | 0.848*** (0.233) | 1.497*** (0.420) | |
| _cons | −10.629*** (1.512) | −11.149*** (1.533) | −10.76*** (1.498) | −10.711*** (1.493) | ||
| Observations | 2362 | 2273 | 2429 | 2425 | ||
| Pseudo R2 | 0.168 | 0.213 | 0.159 | 0.171 | ||
| H-L | 0.901 | 0.768 | 0.628 | 0.455 | ||
| ROC | 0.808 | 0.841 | 0.812 | 0.801 | ||
| Log pseudolikelihood | −444.25941 | −416.15319 | −450.37204 | −457.41197 | ||
| p-value (chi2) | 0.000 | 0.000 | 0.000 | 0.000 | ||
| Time Fixed Effect | Yes | Yes | Yes | Yes | ||
| Country Fixed Effect | No | Yes | No | No |
| Dependent variable: AT1 CoCos | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| Independent variables | ||||||
| Impaired Loant−1 | −4.464 | −1. 199 (1.382) | −0.128 | −0.226 | ||
| Loan Loss Rest−1 | −6.822 | −8.855 | −0.244 | −0.443 | ||
| Control variables | ||||||
| Net Loanst−1 | 0.316 (0.604) | −0.697 (0.636) | 0.793 (0.537) | 0.454 (0.575) | 0.009 (0.017) | 0.016 (0.304) |
| Total Assetst−1 | 0.522 | 0.6 | 0.518 | 0.525 | 0.015 | 0.026 |
| Equity/Assetst−1 | −2.254 (3.413) | −6.736 (4.154) | 2.812 (2.439) | −2.82 (3.385) | −0.064 (0.098) | −0.114 (0.173) |
| NIMt−1 | 29.523 | 29.113 | 29.195 | 0.848 | 1.497 | |
| _cons | −10.629 | −11.149 | −10.76 | −10.711 | ||
| Observations | 2362 | 2273 | 2429 | 2425 | ||
| Pseudo | 0.168 | 0.213 | 0.159 | 0.171 | ||
| H-L | 0.901 | 0.768 | 0.628 | 0.455 | ||
| ROC | 0.808 | 0.841 | 0.812 | 0.801 | ||
| Log pseudolikelihood | −444.25941 | −416.15319 | −450.37204 | −457.41197 | ||
| 0.000 | 0.000 | 0.000 | 0.000 | |||
| Time Fixed Effect | Yes | Yes | Yes | Yes | ||
| Country Fixed Effect | No | Yes | No | No |
Notes:
Cluster-robust standard errors are in parentheses. ***p < 0.01, **p < 0.05, *p < 0.1.
This table reports the coefficients and marginal effects of the logit regressions explaining the issuance of AT1CoCos and banks assets quality in Europe between 2011 and 2018. The dependent variable is a dummy which is equal to 1 when a bank issue a CoCo in a given year and 0 otherwise. The variables of interest are Loan loss reserves to gross loans and Impaired loans to gross loans. Control variables are the proportion of bank net loans to total assets, the natural logarithm of bank total assets, total equity over total assets and the net interest margin (NIM). All explanatory variables are winsorized at the 1st and 99th percentile and are lagged one year. Standard errors are clustered at the bank level. Columns 1–4 report the coefficients for the logit regressions, Column 5 reports the results of marginal effects at means and Column 6 reports the marginal effects
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.