Bank-Specific Factors and credit risk
| Regressors | All banks | Cooperative banks | Commercial banks | Popular banks |
|---|---|---|---|---|
| CRt−1 | 0.7906*** (0.0282) | 0.7841*** (0.0252) | 0.7902*** (0.0768) | 0.6554*** (0.1559) |
| Δln(GRLO)t−1 | −0.0025*** (0.0008) | −0.0049*** (0.0015) | −0.0018** (0.0008) | −0.0093* (0.0052) |
| ROAt−1 | 0.0028 (0.0032) | 0.0077 (0.0053) | −0.0040 (0.0063) | 0.0191 (0.0279) |
| ln(ETA)t−1 | −0.0036*** (0.0008) | −0.0040*** (0.0012) | −0.0036*** (0.0010) | −0.0046 (0.0031) |
| ln(LTA)t−1 | −0.0034*** (0.0010) | −0.0121*** (0.0019) | −0.0017 (0.0014) | −0.0073 (0.0051) |
| ln(DL)t−1 | −0.0016* (0.0010) | −0.0084*** (0.0011) | −0.0001 (0.0013) | −0.0007 (0.0012) |
| ln(CTA)t−1 | 0.0033*** (0.0010) | 0.0061*** (0.0013) | 0.0027** (0.0013) | 0.0076* (0.0038) |
| ln(TA)t−1 | 0.0004 (0.0004) | 0.0010 (0.0007) | −0.0006 (0.0006) | −0.0041 (0.0032) |
| Constant | 0.0080 (0.0062) | −0.0077 (0.0074) | 0.0191* (0.0097) | 0.0933* (0.0535) |
| Observations | 13,581 | 8,732 | 3,870 | 979 |
| Period | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 |
| R2 | 0.7022 | 0.7369 | 0.6426 | 0.7822 |
| Region fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Regressors | All banks | Cooperative banks | Commercial banks | Popular banks |
|---|---|---|---|---|
| CR | 0.7906 | 0.7841 | 0.7902 | 0.6554 |
| Δln(GRLO) | −0.0025 | −0.0049 | −0.0018 | −0.0093 |
| ROA | 0.0028 (0.0032) | 0.0077 (0.0053) | −0.0040 (0.0063) | 0.0191 (0.0279) |
| ln(ETA) | −0.0036 | −0.0040 | −0.0036 | −0.0046 (0.0031) |
| ln(LTA) | −0.0034 | −0.0121 | −0.0017 (0.0014) | −0.0073 (0.0051) |
| ln(DL) | −0.0016 | −0.0084 | −0.0001 (0.0013) | −0.0007 (0.0012) |
| ln(CTA) | 0.0033 | 0.0061 | 0.0027 | 0.0076 |
| ln(TA) | 0.0004 (0.0004) | 0.0010 (0.0007) | −0.0006 (0.0006) | −0.0041 (0.0032) |
| Constant | 0.0080 (0.0062) | −0.0077 (0.0074) | 0.0191 | 0.0933 |
| Observations | 13,581 | 8,732 | 3,870 | 979 |
| Period | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 |
| 0.7022 | 0.7369 | 0.6426 | 0.7822 | |
| Region fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
Notes:
CR is the measure of bank credit risk calculated through non-performing loans to total loans; BANK-SPECIFIC is a vector of bank-specific factors, such as: GRLO: growth of loans, reflecting credit policy; ROA: return on assets, reflecting the profitability of bank; ETA: equity to total assets, capturing the solvency bank and reflecting capital strength of bank; LTA: loans to total assets, capturing the volume of credit market; DL: deposits to loans, reflecting the intermediation cost; CTA: cost of total assets, reflecting a common indicator of bank’s efficiency or volume of intermediation cost; TA: total assets, controlling for size of banks. See Table 1 for more details about the description of the variables; own calculations upon BilBank 2000 database from ABI (Associazione Bancaria Italiana); standard errors in brackets; *p < 0.10, **p < 0.05, ***p < 0.01
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