Bank-specific factors and credit risk: changing dependent variable (Z-SCORE)
| Regressors | All banks | Cooperative banks | Commercial banks | Popular banks |
|---|---|---|---|---|
| ln(Z.SCORE-ROA)t−1 | 0.1291*** (0.0107) | 0.3639*** (0.0887) | 0.5010*** (0.0686) | 0.5246*** (0.0723) |
| Δln(GRLO)t−1 | −0.0443 (0.0330) | −0.1321*** (0.0335) | −0.0728** (0.0321) | −0.2339*** (0.0644) |
| ROAt−1 | 0.6131 (0.4467) | −0.3136 (0.5202) | 0.0365 (0.7505) | −1.3444 (0.8905) |
| ln(ETA)t−1 | 0.6413*** (0.0331) | 0.3488*** (0.0929) | 0.1133 (0.0779) | 0.1153* (0.0632) |
| ln(LTA)t−1 | 0.0954** (0.0381) | 0.0694** (0.0282) | 0.0141 (0.0388) | 0.1361 (0.0876) |
| ln(DL)t−1 | 0.0230 (0.0232) | 0.0775*** (0.0161) | 0.0076 (0.0252) | −0.0140 (0.0325) |
| ln(CTA)t−1 | −0.0748** (0.0355) | −0.0189 (0.0278) | 0.0036 (0.0375) | −0.1128 (0.0895) |
| ln(TA)t−1 | 0.0239 (0.0228) | −0.0076 (0.0149) | −0.0524** (0.0223) | −0.0648 (0.0430) |
| Constant | 3.4162*** (0.3149) | 2.9679*** (0.5428) | 1.7716*** (0.4605) | 2.5444*** (0.9035) |
| Observations Period | 13,528 1994–2015 | 8,726 1994–2015 | 3,824 1994–2015 | 978 1994–2015 |
| R2 | 0.7022 | 0.9755 | 0.7864 | 0.9188 |
| Region fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Regressors | All banks | Cooperative banks | Commercial banks | Popular banks |
|---|---|---|---|---|
| ln(Z.SCORE-ROA) | 0.1291 | 0.3639 | 0.5010 | 0.5246 |
| Δln(GRLO) | −0.0443 (0.0330) | −0.1321 | −0.0728 | −0.2339 |
| ROA | 0.6131 (0.4467) | −0.3136 (0.5202) | 0.0365 (0.7505) | −1.3444 (0.8905) |
| ln(ETA) | 0.6413 | 0.3488 | 0.1133 (0.0779) | 0.1153 |
| ln(LTA) | 0.0954 | 0.0694 | 0.0141 (0.0388) | 0.1361 (0.0876) |
| ln(DL) | 0.0230 (0.0232) | 0.0775 | 0.0076 (0.0252) | −0.0140 (0.0325) |
| ln(CTA) | −0.0748 | −0.0189 (0.0278) | 0.0036 (0.0375) | −0.1128 (0.0895) |
| ln(TA) | 0.0239 (0.0228) | −0.0076 (0.0149) | −0.0524 | −0.0648 (0.0430) |
| Constant | 3.4162 | 2.9679 | 1.7716 | 2.5444 |
| Observations | 13,528 | 8,726 | 3,824 | 978 |
| 0.7022 | 0.9755 | 0.7864 | 0.9188 | |
| Region fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
Notes: Z-SCORE is the measure of bank stability (see equation in Section 4.2); 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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