Table A2 Results of cross-section...

Table A2

Results of cross-section dependence (CD) tests

Variables	CD-test	p value	corr	abs(corr)
FVI	12.8	0	0.555	0.621
BankZscore	7.45	0	0.334	0.459
YOYOFI	8.99	0	0.291	0.345
YOYOFI/TFA	3.95	0	0.162	0.337
YOYEF2	1.45	0.146	0.059	0.317
YOYEF2/TEF	2.44	0.015	0.113	0.327
Bank3Conc	−0.35	0.728	−0.013	0.444
Bank5Conc	−0.3	0.762	−0.01	0.415
BankROA	4.66	0	0.161	0.396
BankNIM	3.33	0.001	0.114	0.39
BankO_Hcost/TA	5.64	0	0.191	0.42
BankC_I	1.86	0.063	0.065	0.286
StockTr	2.87	0.004	0.087	0.334
BankNPL/GrossLoans	4.96	0	0.2	0.464
Liquidity	−0.56	0.578	−0.016	0.433
GDP	13.46	0	0.509	0.547
Inflation	6.4	0	0.239	0.365
OSpublicDebt	6.25	0	0.254	0.562
BankCRAR	3.17	0.002	0.133	0.368
Policyrate	5.29	0	0.207	0.438
Crisis	25.11	0	1	1

Variables	CD-test	p value	corr	abs(corr)
FVI	12.8	0	0.555	0.621
BankZscore	7.45	0	0.334	0.459
YOYOFI	8.99	0	0.291	0.345
YOYOFI/TFA	3.95	0	0.162	0.337
YOYEF2	1.45	0.146	0.059	0.317
YOYEF2/TEF	2.44	0.015	0.113	0.327
Bank3Conc	−0.35	0.728	−0.013	0.444
Bank5Conc	−0.3	0.762	−0.01	0.415
BankROA	4.66	0	0.161	0.396
BankNIM	3.33	0.001	0.114	0.39
BankO_Hcost/TA	5.64	0	0.191	0.42
BankC_I	1.86	0.063	0.065	0.286
StockTr	2.87	0.004	0.087	0.334
BankNPL/GrossLoans	4.96	0	0.2	0.464
Liquidity	−0.56	0.578	−0.016	0.433
GDP	13.46	0	0.509	0.547
Inflation	6.4	0	0.239	0.365
OSpublicDebt	6.25	0	0.254	0.562
BankCRAR	3.17	0.002	0.133	0.368
Policyrate	5.29	0	0.207	0.438
Crisis	25.11	0	1	1

Source(s): Authors' own creation

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