Bank-specific factors and credit risk: the potential differences inside LMAs
| Regressors | All banks- Excluding 1st decile | All banks- Excluding 10th decile | Cooperative banks- Excluding 1st decile | Cooperative banks- Excluding 10th decile | Commercial banks-Excluding 1st decile | Commercial banks-Excluding 10th decile | Popular banks-Excluding 1st decile | Popular banks-Excluding 10th decile |
|---|---|---|---|---|---|---|---|---|
| CRt−1 | 0.7711*** (0.0265) | 0.8110*** (0.0291) | 0.7771*** (0.0269) | 0.7802*** (0.0259) | 0.7338*** (0.0596) | 0.9029*** (0.0930) | 0.6535*** (0.1593) | 0.6338*** (0.1578) |
| Δln(GRLO)t−1 | −0.0025*** (0.0008) | −0.0019** (0.0007) | −0.0061*** (0.0017) | −0.0039*** (0.0012) | −0.0015* (0.0009) | −0.0007 (0.0009) | −0.0099* (0.0057) | −0.0080 (0.0052) |
| ROAt−1 | 0.0009 (0.0024) | 0.0054 (0.0044) | 0.0040 (0.0032) | 0.0047 (0.0034) | −0.0118 (0.0089) | 0.0175 (0.0149) | 0.0330 (0.0476) | 0.0229 (0.0474) |
| ln(ETA)t−1 | −0.0033*** (0.0008) | −0.0030*** (0.0007) | −0.0041*** (0.0013) | −0.0039*** (0.0011) | −0.0030*** (0.0011) | −0.0022** (0.0008) | −0.0049 (0.0033) | −0.0035 (0.0030) |
| ln(LTA)t−1 | −0.0037*** (0.0008) | −0.0031*** (0.0012) | −0.0131*** (0.0022) | −0.0117*** (0.0019) | −0.0019** (0.0009) | −0.0007 (0.0018) | −0.0075 (0.0057) | −0.0059 (0.0050) |
| ln(DL)t−1 | −0.0023*** (0.0006) | −0.0013 (0.0012) | −0.0087*** (0.0013) | −0.0082*** (0.0011) | −0.0009 (0.0006) | 0.0010 (0.0019) | −0.0007 (0.0013) | −0.0003 (0.0012) |
| ln(CTA)t−1 | 0.0028** (0.0011) | 0.0035*** (0.0009) | 0.0055*** (0.0014) | 0.0062*** (0.0013) | 0.0021 (0.0014) | 0.0025** (0.0013) | 0.0081** (0.0040) | 0.0070* (0.0040) |
| ln(TA)t−1 | 0.0002 (0.0005) | 0.0009* (0.0005) | 0.0004 (0.0009) | 0.0014* (0.0007) | −0.0005 (0.0007) | −0.0000 (0.0007) | −0.0049 (0.0036) | −0.0042 (0.0032) |
| Constant | 0.0162** (0.0072) | 0.0061 (0.0071) | 0.0151 (0.0104) | 0.0045 (0.0091) | 0.0212* (0.0110) | 0.0109 (0.0107) | 0.1187* (0.0623) | 0.1106* (0.0593) |
| Observations | 12,163 | 12,440 | 7,625 | 8,442 | 3,612 | 3,085 | 926 | 913 |
| Period | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 |
| R2 | 0.7339 | 0.7163 | 0.7454 | 0.7331 | 0.7231 | 0.7008 | 0.7796 | 0.7753 |
| 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-Excluding 1st decile | Commercial banks-Excluding 10th decile | Popular banks-Excluding 1st decile | Popular banks-Excluding 10th decile |
|---|---|---|---|---|---|---|---|---|
| CR | 0.7711 | 0.8110 | 0.7771 | 0.7802 | 0.7338 | 0.9029 | 0.6535 | 0.6338 |
| Δln(GRLO) | −0.0025 | −0.0019 | −0.0061 | −0.0039 | −0.0015 | −0.0007 (0.0009) | −0.0099 | −0.0080 (0.0052) |
| ROA | 0.0009 (0.0024) | 0.0054 (0.0044) | 0.0040 (0.0032) | 0.0047 (0.0034) | −0.0118 (0.0089) | 0.0175 (0.0149) | 0.0330 (0.0476) | 0.0229 (0.0474) |
| ln(ETA) | −0.0033 | −0.0030 | −0.0041 | −0.0039 | −0.0030 | −0.0022 | −0.0049 (0.0033) | −0.0035 (0.0030) |
| ln(LTA) | −0.0037 | −0.0031 | −0.0131 | −0.0117 | −0.0019 | −0.0007 (0.0018) | −0.0075 (0.0057) | −0.0059 (0.0050) |
| ln(DL) | −0.0023 | −0.0013 (0.0012) | −0.0087 | −0.0082 | −0.0009 (0.0006) | 0.0010 (0.0019) | −0.0007 (0.0013) | −0.0003 (0.0012) |
| ln(CTA) | 0.0028 | 0.0035 | 0.0055 | 0.0062 | 0.0021 (0.0014) | 0.0025 | 0.0081 | 0.0070 |
| ln(TA) | 0.0002 (0.0005) | 0.0009 | 0.0004 (0.0009) | 0.0014 | −0.0005 (0.0007) | −0.0000 (0.0007) | −0.0049 (0.0036) | −0.0042 (0.0032) |
| Constant | 0.0162 | 0.0061 (0.0071) | 0.0151 (0.0104) | 0.0045 (0.0091) | 0.0212 | 0.0109 (0.0107) | 0.1187 | 0.1106 |
| Observations | 12,163 | 12,440 | 7,625 | 8,442 | 3,612 | 3,085 | 926 | 913 |
| Period | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 | 1994–2015 |
| 0.7339 | 0.7163 | 0.7454 | 0.7331 | 0.7231 | 0.7008 | 0.7796 | 0.7753 | |
| 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
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.