Bank-specific factors and credit risk: the role of bank size
| Regressors | Excluding minor banks | Excluding small banks | Excluding medium banks | Excluding large banks | Excluding major banks | Minor banks | Small banks |
|---|---|---|---|---|---|---|---|
| CRt−1 | 0.7700*** (0.1050) | 0.7958*** (0.0295) | 0.7880*** (0.0279) | 0.7788*** (0.0253) | 0.7913*** (0.0284) | 0.7820*** (0.0256) | 0.6535*** (0.0834) |
| Δln(GRLO)t−1 | −0.0034 (0.0025) | −0.0021*** (0.0007) | −0.0023*** (0.0006) | −0.0024*** (0.0007) | −0.0025*** (0.0008) | −0.0021*** (0.0007) | −0.0026 (0.0021) |
| ROAt−1 | 0.0033 (0.0174) | 0.0031 (0.0031) | 0.0046 (0.0034) | 0.0019 (0.0031) | 0.0026 (0.0032) | 0.0057* (0.0034) | 0.0103 (0.0162) |
| ln(ETA)t−1 | −0.0041*** (0.0014) | −0.0036*** (0.0008) | −0.0040*** (0.0008) | −0.0036*** (0.0008) | −0.0035*** (0.0008) | −0.0041*** (0.0010) | −0.0053** (0.0022) |
| ln(LTA)t−1 | −0.0026 (0.0017) | −0.0026* (0.0015) | −0.0036*** (0.0011) | −0.0043*** (0.0008) | −0.0034*** (0.0010) | −0.0069*** (0.0011) | −0.0034** (0.0014) |
| ln(DL)t−1 | 0.0003 (0.0015) | −0.0014 (0.0015) | −0.0018 (0.0011) | −0.0027*** (0.0006) | −0.0017* (0.0010) | −0.0053*** (0.0009) | −0.0008 (0.0007) |
| ln(CTA)t−1 | 0.0035** (0.0017) | 0.0023* (0.0014) | 0.0039*** (0.0008) | 0.0034*** (0.0010) | 0.0034*** (0.0011) | 0.0051*** (0.0010) | 0.0038** (0.0018) |
| ln(TA)t−1 | −0.0005 (0.0010) | 0.0009* (0.0005) | 0.0004 (0.0004) | 0.0004 (0.0005) | 0.0005 (0.0005) | 0.0011* (0.0006) | −0.0012 (0.0013) |
| Constant | 0.0162 (0.0166) | 0.0027 (0.0080) | 0.0093 (0.0061) | 0.0122* (0.0069) | 0.0072 (0.0064) | 0.0045 (0.0090) | 0.0134 (0.0164) |
| Observations Period | 3,437 1994–2015 | 11,379 1994–2015 | 12,892 1994–2015 | 13,256 1994–2015 | 13,360 1994–2015 | 10,144 1994–2015 | 2,202 1994–2015 |
| R2 | 0.6649 | 0.6937 | 0.6983 | 0.7239 | 0.7004 | 0.7210 | 0.7230 |
| Region fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Regressors | Excluding minor banks | Excluding small banks | Excluding medium banks | Excluding large banks | Excluding major banks | Minor banks | Small banks |
|---|---|---|---|---|---|---|---|
| CR | 0.7700 | 0.7958 | 0.7880 | 0.7788 | 0.7913 | 0.7820 | 0.6535 |
| Δln(GRLO) | −0.0034 (0.0025) | −0.0021 | −0.0023 | −0.0024 | −0.0025 | −0.0021 | −0.0026 (0.0021) |
| ROA | 0.0033 (0.0174) | 0.0031 (0.0031) | 0.0046 (0.0034) | 0.0019 (0.0031) | 0.0026 (0.0032) | 0.0057 | 0.0103 (0.0162) |
| ln(ETA) | −0.0041 | −0.0036 | −0.0040 | −0.0036 | −0.0035 | −0.0041 | −0.0053 |
| ln(LTA) | −0.0026 (0.0017) | −0.0026 | −0.0036 | −0.0043 | −0.0034 | −0.0069 | −0.0034 |
| ln(DL) | 0.0003 (0.0015) | −0.0014 (0.0015) | −0.0018 (0.0011) | −0.0027 | −0.0017 | −0.0053 | −0.0008 (0.0007) |
| ln(CTA) | 0.0035 | 0.0023 | 0.0039 | 0.0034 | 0.0034 | 0.0051 | 0.0038 |
| ln(TA) | −0.0005 (0.0010) | 0.0009 | 0.0004 (0.0004) | 0.0004 (0.0005) | 0.0005 (0.0005) | 0.0011 | −0.0012 (0.0013) |
| Constant | 0.0162 (0.0166) | 0.0027 (0.0080) | 0.0093 (0.0061) | 0.0122 | 0.0072 (0.0064) | 0.0045 (0.0090) | 0.0134 (0.0164) |
| Observations | 3,437 | 11,379 | 12,892 | 13,256 | 13,360 | 10,144 | 2,202 |
| 0.6649 | 0.6937 | 0.6983 | 0.7239 | 0.7004 | 0.7210 | 0.7230 | |
| Region fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Time fixed effects | 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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