Bank-specific factors and credit risk: the effects of the financial crisis
| Regressors | All banks | Cooperative banks | Commercial banks | Popular banks |
|---|---|---|---|---|
| CRt−1 | 0.5727*** (0.0442) | 0.5903*** (0.0253) | 0.6098*** (0.1455) | 0.2100 (0.1365) |
| Δln(GRLO)t−1 | −0.0029*** (0.0009) | −0.0059*** (0.0013) | −0.0017* (0.0010) | −0.0094** (0.0047) |
| ROAt−1 | 0.0082 (0.0061) | 0.0107 (0.0083) | 0.0127 (0.0079) | 0.0140 (0.0324) |
| ln(ETA)t−1 | −0.0005 (0.0007) | −0.0010 (0.0012) | −0.0001 (0.0009) | −0.0041 (0.0031) |
| ln(LTA)t−1 | −0.0019 (0.0015) | −0.0087*** (0.0021) | −0.0003 (0.0020) | −0.0039 (0.0035) |
| ln(DL)t−1 | 0.0003 (0.0014) | −0.0029** (0.0013) | 0.0010 (0.0020) | 0.0024 (0.0015) |
| ln(CTA)t−1 | 0.0024* (0.0013) | 0.0055*** (0.0014) | 0.0016 (0.0019) | 0.0068 (0.0041) |
| ln(TA)t−1 | 0.0006 (0.0005) | 0.0000 (0.0008) | 0.0001 (0.0006) | −0.0027 (0.0022) |
| Constant | 0.0047 (0.0069) | 0.0048 (0.0079) | 0.0019 (0.0086) | 0.0412 (0.0291) |
| Observations Period | 9,755 1994–2008 | 6,442 1994–2008 | 2,643 1994–2008 | 670 1994–2008 |
| R2 | 0.4759 | 0.5792 | 0.3565 | 0.4210 |
| Region fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Regressors | All banks | Cooperative banks | Commercial banks | Popular banks |
|---|---|---|---|---|
| CR | 0.5727 | 0.5903 | 0.6098 | 0.2100 (0.1365) |
| Δln(GRLO) | −0.0029 | −0.0059 | −0.0017 | −0.0094 |
| ROA | 0.0082 (0.0061) | 0.0107 (0.0083) | 0.0127 (0.0079) | 0.0140 (0.0324) |
| ln(ETA) | −0.0005 (0.0007) | −0.0010 (0.0012) | −0.0001 (0.0009) | −0.0041 (0.0031) |
| ln(LTA) | −0.0019 (0.0015) | −0.0087 | −0.0003 (0.0020) | −0.0039 (0.0035) |
| ln(DL) | 0.0003 (0.0014) | −0.0029 | 0.0010 (0.0020) | 0.0024 (0.0015) |
| ln(CTA) | 0.0024 | 0.0055 | 0.0016 (0.0019) | 0.0068 (0.0041) |
| ln(TA) | 0.0006 (0.0005) | 0.0000 (0.0008) | 0.0001 (0.0006) | −0.0027 (0.0022) |
| Constant | 0.0047 (0.0069) | 0.0048 (0.0079) | 0.0019 (0.0086) | 0.0412 (0.0291) |
| Observations | 9,755 | 6,442 | 2,643 | 670 |
| 0.4759 | 0.5792 | 0.3565 | 0.4210 | |
| 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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