Bank-specific factors and credit risk: the effects of Basel agreements
| Regressors | All banks | All banks | Cooperative banks | Cooperative banks | Commercial banks | Commercial banks | Popular banks | Popular banks |
|---|---|---|---|---|---|---|---|---|
| Basel II | Basel III | Basel II | Basel III | Basel II | Basel III | Basel II | Basel III | |
| CRt−1 | 0.4693*** (0.0335) | 0.6357*** (0.0360) | 0.5151*** (0.0257) | 0.6731*** (0.0235) | 0.3791*** (0.0518) | 0.6080*** (0.1103) | 0.1469 (0.1221) | 0.2990** (0.1456) |
| Δln(GRLO)t−1 | −0.0028** (0.0011) | −0.0028*** (0.0008) | −0.0064*** (0.0017) | −0.0059*** (0.0013) | −0.0010 (0.0012) | −0.0018** (0.0009) | −0.0088* (0.0050) | −0.0101** (0.0047) |
| ROAt−1 | −0.0055 (0.0045) | 0.0063 (0.0052) | −0.0003 (0.0085) | 0.0137 (0.0084) | 0.0022 (0.0043) | 0.0062 (0.0063) | 0.0001 (0.0316) | 0.0273 (0.0351) |
| ln(ETA)t−1 | −0.0005 (0.0008) | −0.0014** (0.0007) | −0.0020 (0.0013) | −0.0013 (0.0011) | 0.0010 (0.0009) | −0.0018* (0.0010) | −0.0051 (0.0040) | −0.0018 (0.0027) |
| ln(LTA)t−1 | −0.0027** (0.0012) | −0.0027** (0.0012) | −0.0098*** (0.0028) | −0.0091*** (0.0019) | 0.0005 (0.0012) | −0.0013 (0.0017) | −0.0014 (0.0042) | −0.0097*** (0.0036) |
| ln(DL)t−1 | −0.0006 (0.0006) | −0.0005 (0.0011) | −0.0034** (0.0016) | −0.0044*** (0.0011) | 0.0007 (0.0007) | 0.0004 (0.0016) | 0.0034 (0.0029) | −0.0018** (0.0009) |
| ln(CTA)t−1 | 0.0014* (0.0008) | 0.0025** (0.0010) | 0.0033*** (0.0013) | 0.0052*** (0.0013) | 0.0001 (0.0009) | 0.0024* (0.0013) | 0.0055 (0.0044) | 0.0102*** (0.0038) |
| ln(TA)t−1 | 0.0003 (0.0006) | 0.0006 (0.0004) | −0.0018* (0.0010) | 0.0005 (0.0007) | 0.0005 (0.0007) | −0.0001 (0.0006) | −0.0031 (0.0024) | −0.0024 (0.0023) |
| Constant | 0.0045 (0.0070) | −0.0068 (0.0047) | 0.0180* (0.0100) | 0.0159* (0.0086) | −0.0048 (0.0089) | 0.0187** (0.0087) | 0.0600 (0.0372) | 0.0431 (0.0320) |
| Observations Period | 7,835 1994–2005 | 11,692 1995–2011 | 5,189 1994–2005 | 7,642 1995–2011 | 2,091 1994–2005 | 3,251 1995–2011 | 555 1994–2005 | 799 1995–2011 |
| R2 | 0.5416 | 0.5377 | 0.6070 | 0.6253 | 0.4678 | 0.4224 | 0.4082 | 0.5089 |
| Region fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Regressors | All banks | All banks | Cooperative banks | Cooperative banks | Commercial banks | Commercial banks | Popular banks | Popular banks |
|---|---|---|---|---|---|---|---|---|
| Basel II | Basel III | Basel II | Basel III | Basel II | Basel III | Basel II | Basel III | |
| CR | 0.4693 | 0.6357 | 0.5151 | 0.6731 | 0.3791 | 0.6080 | 0.1469 (0.1221) | 0.2990 |
| Δln(GRLO) | −0.0028 | −0.0028 | −0.0064 | −0.0059 | −0.0010 (0.0012) | −0.0018 | −0.0088 | −0.0101 |
| ROA | −0.0055 (0.0045) | 0.0063 (0.0052) | −0.0003 (0.0085) | 0.0137 (0.0084) | 0.0022 (0.0043) | 0.0062 (0.0063) | 0.0001 (0.0316) | 0.0273 (0.0351) |
| ln(ETA) | −0.0005 (0.0008) | −0.0014 | −0.0020 (0.0013) | −0.0013 (0.0011) | 0.0010 (0.0009) | −0.0018 | −0.0051 (0.0040) | −0.0018 (0.0027) |
| ln(LTA) | −0.0027 | −0.0027 | −0.0098 | −0.0091 | 0.0005 (0.0012) | −0.0013 (0.0017) | −0.0014 (0.0042) | −0.0097 |
| ln(DL) | −0.0006 (0.0006) | −0.0005 (0.0011) | −0.0034 | −0.0044 | 0.0007 (0.0007) | 0.0004 (0.0016) | 0.0034 (0.0029) | −0.0018 |
| ln(CTA) | 0.0014 | 0.0025 | 0.0033 | 0.0052 | 0.0001 (0.0009) | 0.0024 | 0.0055 (0.0044) | 0.0102 |
| ln(TA) | 0.0003 (0.0006) | 0.0006 (0.0004) | −0.0018 | 0.0005 (0.0007) | 0.0005 (0.0007) | −0.0001 (0.0006) | −0.0031 (0.0024) | −0.0024 (0.0023) |
| Constant | 0.0045 (0.0070) | −0.0068 (0.0047) | 0.0180 | 0.0159 | −0.0048 (0.0089) | 0.0187 | 0.0600 (0.0372) | 0.0431 (0.0320) |
| Observations | 7,835 | 11,692 | 5,189 | 7,642 | 2,091 | 3,251 | 555 | 799 |
| 0.5416 | 0.5377 | 0.6070 | 0.6253 | 0.4678 | 0.4224 | 0.4082 | 0.5089 | |
| Region fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Time fixed effects | 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 the 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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