Bank-specific factors and credit risk: the role of market structure
| All banks | Cooperative banks | Commercial banks | Popular banks | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Regressors | NO MON | NO DUOP | NO OLIG | NO COMP | NO MON | NO DUOP | NO OLIG | NO COMP | NO MON | NO DUOP | NO OLIG | NO COMP | NO MON | NO DUOP | NO OLIG | NO COMP |
| CRt−1 | 0.7992*** (0.0375) | 0.7706*** (0.0359) | 0.7905*** (0.0297) | 0.7494*** (0.0297) | 0.8016*** (0.0348) | 0.7735*** (0.0335) | 0.7788*** (0.0305) | 0.7765*** (0.0334) | 0.7889*** (0.0291) | 0.7947*** (0.0292) | 0.7919*** (0.0291) | 0.7778*** (0.0252) | 0.7900*** (0.0290) | 0.7845*** (0.0289) | 0.8005*** (0.0266) | 0.7884*** (0.0286) |
| Δln(GRLO)t−1 | −0.0023*** (0.0008) | −0.0025*** (0.0008) | −0.0027*** (0.0008) | −0.0026** (0.0012) | −0.0022*** (0.0008) | −0.0025*** (0.0008) | −0.0024*** (0.0008) | −0.0023*** (0.0008) | −0.0026*** (0.0008) | −0.0025*** (0.0008) | −0.0029*** (0.0008) | −0.0029** (0.0012) | −0.0024*** (0.0007) | −0.0024*** (0.0007) | −0.0024*** (0.0007) | −0.0025*** (0.0008) |
| ROAt−1 | 0.0011 (0.0024) | 0.0020 (0.0027) | 0.0014 (0.0023) | 0.0463*** (0.0142) | 0.0016 (0.0025) | 0.0022 (0.0028) | 0.0026 (0.0028) | 0.0069 (0.0080) | 0.0028 (0.0029) | 0.0027 (0.0028) | 0.0019 (0.0026) | 0.0067 (0.0056) | 0.0028 (0.0029) | 0.0031 (0.0030) | 0.0030 (0.0029) | 0.0028 (0.0029) |
| ln(ETA)t−1 | −0.0038*** (0.0009) | −0.0042*** (0.0009) | −0.0043*** (0.0008) | −0.0014 (0.0011) | −0.0038*** (0.0008) | −0.0037*** (0.0008) | −0.0039*** (0.0008) | −0.0031*** (0.0008) | −0.0037*** (0.0008) | −0.0038*** (0.0008) | −0.0040*** (0.0008) | −0.0031*** (0.0010) | −0.0036*** (0.0008) | −0.0039*** (0.0008) | −0.0035*** (0.0008) | −0.0035*** (0.0008) |
| ln(LTA)t−1 | −0.0032*** (0.0011) | −0.0031*** (0.0011) | −0.0029*** (0.0011) | −0.0071*** (0.0019) | −0.0031*** (0.0011) | −0.0031*** (0.0010) | −0.0030*** (0.0010) | −0.0027** (0.0011) | −0.0035*** (0.0010) | −0.0033*** (0.0010) | −0.0033*** (0.0010) | −0.0073*** (0.0016) | −0.0034*** (0.0010) | −0.0034*** (0.0010) | −0.0033*** (0.0010) | −0.0034*** (0.0011) |
| ln(DL)t−1 | −0.0015 (0.0011) | −0.0012 (0.0010) | −0.0012 (0.0010) | −0.0043*** (0.0013) | −0.0015 (0.0010) | −0.0012 (0.0010) | −0.0014 (0.0010) | −0.0009 (0.0010) | −0.0017* (0.0010) | −0.0016 (0.0010) | −0.0014 (0.0010) | −0.0051*** (0.0011) | −0.0017* (0.0010) | −0.0017* (0.0010) | −0.0017* (0.0010) | −0.0017 (0.0010) |
| ln(CTA)t−1 | 0.0034*** (0.0011) | 0.0032*** (0.0011) | 0.0031*** (0.0011) | 0.0042*** (0.0013) | 0.0033*** (0.0011) | 0.0030*** (0.0010) | 0.0032*** (0.0010) | 0.0031*** (0.0011) | 0.0034*** (0.0010) | 0.0035*** (0.0010) | 0.0033*** (0.0010) | 0.0043*** (0.0010) | 0.0033*** (0.0010) | 0.0033*** (0.0010) | 0.0032*** (0.0010) | 0.0033*** (0.0010) |
| ln(TA)t−1 | 0.0002 (0.0005) | −0.0000 (0.0005) | 0.0003 (0.0005) | 0.0012 (0.0008) | 0.0002 (0.0005) | −0.0000 (0.0005) | 0.0002 (0.0005) | 0.0003 (0.0005) | 0.0003 (0.0005) | 0.0004 (0.0005) | 0.0004 (0.0005) | 0.0010 (0.0006) | 0.0004 (0.0004) | 0.0004 (0.0004) | 0.0005 (0.0004) | 0.0004 (0.0005) |
| Constant | 0.0166** (0.0069) | 0.0164** (0.0070) | 0.0061 (0.0067) | 0.0047 (0.0102) | 0.0077 (0.0068) | 0.0127* (0.0067) | 0.0092 (0.0066) | −0.0037 (0.0057) | 0.0109* (0.0062) | 0.0078 (0.0064) | 0.0075 (0.0067) | 0.0024 (0.0086) | 0.0120* (0.0064) | 0.0110* (0.0063) | 0.0058 (0.0059) | 0.0120* (0.0065) |
| Observations Period | 10,771 1994–2015 | 11,079 1994–2015 | 11,607 1994–2015 | 7,286 1994–2015 | 11,311 1994–2015 | 11,893 1994–2015 | 12,2 1994–2015 | 10,197 1994–2015 | 13,249 1994–2015 | 13,044 1994–2015 | 13,09 1994–2015 | 11,071 1994–2015 | 13,373 1994–2015 | 13,306 1994–2015 | 13,485 1994–2015 | 13,181 1994–2015 |
| R2 | 0.6865 | 0.6811 | 0.6965 | 0.7277 | 0.6977 | 0.6928 | 0.6897 | 0.6923 | 0.6979 | 0.6990 | 0.7035 | 0.7361 | 0.6980 | 0.6969 | 0.7078 | 0.6971 |
| Region fixed effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| All banks | Cooperative banks | Commercial banks | Popular banks | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Regressors | NO MON | NO DUOP | NO OLIG | NO COMP | NO MON | NO DUOP | NO OLIG | NO COMP | NO MON | NO DUOP | NO OLIG | NO COMP | NO MON | NO DUOP | NO OLIG | NO COMP |
| CR | 0.7992 | 0.7706 | 0.7905 | 0.7494 | 0.8016 | 0.7735 | 0.7788 | 0.7765 | 0.7889 | 0.7947 | 0.7919 | 0.7778 | 0.7900 | 0.7845 | 0.8005 | 0.7884 |
| Δln(GRLO) | −0.0023 | −0.0025 | −0.0027 | −0.0026 | −0.0022 | −0.0025 | −0.0024 | −0.0023 | −0.0026 | −0.0025 | −0.0029 | −0.0029 | −0.0024 | −0.0024 | −0.0024 | −0.0025 |
| ROA | 0.0011 (0.0024) | 0.0020 (0.0027) | 0.0014 (0.0023) | 0.0463 | 0.0016 (0.0025) | 0.0022 (0.0028) | 0.0026 (0.0028) | 0.0069 (0.0080) | 0.0028 (0.0029) | 0.0027 (0.0028) | 0.0019 (0.0026) | 0.0067 (0.0056) | 0.0028 (0.0029) | 0.0031 (0.0030) | 0.0030 (0.0029) | 0.0028 (0.0029) |
| ln(ETA) | −0.0038 | −0.0042 | −0.0043 | −0.0014 (0.0011) | −0.0038 | −0.0037 | −0.0039 | −0.0031 | −0.0037 | −0.0038 | −0.0040 | −0.0031 | −0.0036 | −0.0039 | −0.0035 | −0.0035 |
| ln(LTA) | −0.0032 | −0.0031 | −0.0029 | −0.0071 | −0.0031 | −0.0031 | −0.0030 | −0.0027 | −0.0035 | −0.0033 | −0.0033 | −0.0073 | −0.0034 | −0.0034 | −0.0033 | −0.0034 |
| ln(DL) | −0.0015 (0.0011) | −0.0012 (0.0010) | −0.0012 (0.0010) | −0.0043 | −0.0015 (0.0010) | −0.0012 (0.0010) | −0.0014 (0.0010) | −0.0009 (0.0010) | −0.0017 | −0.0016 (0.0010) | −0.0014 (0.0010) | −0.0051 | −0.0017 | −0.0017 | −0.0017 | −0.0017 (0.0010) |
| ln(CTA) | 0.0034 | 0.0032 | 0.0031 | 0.0042 | 0.0033 | 0.0030 | 0.0032 | 0.0031 | 0.0034 | 0.0035 | 0.0033 | 0.0043 | 0.0033 | 0.0033 | 0.0032 | 0.0033 |
| ln(TA) | 0.0002 (0.0005) | −0.0000 (0.0005) | 0.0003 (0.0005) | 0.0012 (0.0008) | 0.0002 (0.0005) | −0.0000 (0.0005) | 0.0002 (0.0005) | 0.0003 (0.0005) | 0.0003 (0.0005) | 0.0004 (0.0005) | 0.0004 (0.0005) | 0.0010 (0.0006) | 0.0004 (0.0004) | 0.0004 (0.0004) | 0.0005 (0.0004) | 0.0004 (0.0005) |
| Constant | 0.0166 | 0.0164 | 0.0061 (0.0067) | 0.0047 (0.0102) | 0.0077 (0.0068) | 0.0127 | 0.0092 (0.0066) | −0.0037 (0.0057) | 0.0109 | 0.0078 (0.0064) | 0.0075 (0.0067) | 0.0024 (0.0086) | 0.0120 | 0.0110 | 0.0058 (0.0059) | 0.0120 |
| Observations | 10,771 | 11,079 | 11,607 | 7,286 | 11,311 | 11,893 | 12,2 | 10,197 | 13,249 | 13,044 | 13,09 | 11,071 | 13,373 | 13,306 | 13,485 | 13,181 |
| 0.6865 | 0.6811 | 0.6965 | 0.7277 | 0.6977 | 0.6928 | 0.6897 | 0.6923 | 0.6979 | 0.6990 | 0.7035 | 0.7361 | 0.6980 | 0.6969 | 0.7078 | 0.6971 | |
| Region fixed effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | 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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