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 |
|---|---|---|---|---|---|---|---|---|
| ln(Z.SCORE-ROA)t−1 | 0.1226*** (0.0114) | 0.1379*** (0.0118) | 0.3658*** (0.0732) | 0.3914*** (0.0707) | 0.4727*** (0.0727) | 0.5322*** (0.0819) | 0.5326*** (0.0716) | 0.5252*** (0.0669) |
| Δln(GRLO)t−1 | −0.0314 (0.0342) | −0.0497 (0.0379) | −0.1212*** (0.0350) | −0.1627*** (0.0262) | −0.0661** (0.0326) | −0.0485 (0.0395) | −0.2433*** (0.0678) | −0.2005*** (0.0599) |
| ROAt−1 | 0.3423 (0.3982) | 0.4055 (0.4748) | −0.4405* (0.2665) | −0.4764* (0.2696) | 0.0908 (0.9750) | 1.3351 (0.8898) | −1.1280 (1.2063) | −2.0820 (1.3222) |
| ln(ETA)t−1 | 0.6447*** (0.0359) | 0.6535*** (0.0354) | 0.3513*** (0.0793) | 0.3227*** (0.0751) | 0.1217 (0.0819) | 0.1250 (0.0883) | 0.1097* (0.0622) | 0.1356** (0.0626) |
| ln(LTA)t−1 | 0.1349*** (0.0440) | 0.0719 (0.0464) | 0.0930*** (0.0294) | 0.0514** (0.0256) | 0.0077 (0.0380) | 0.0342 (0.0468) | 0.1090 (0.0949) | 0.1540 (0.0946) |
| ln(DL)t−1 | 0.0440* (0.0247) | 0.0177 (0.0255) | 0.0922*** (0.0181) | 0.0755*** (0.0158) | 0.0060 (0.0247) | 0.0334 (0.0265) | −0.0035 (0.0255) | −0.0073 (0.0301) |
| ln(CTA)t−1 | −0.0788** (0.0378) | −0.0143 (0.0411) | −0.0160 (0.0297) | −0.0169 (0.0270) | 0.0056 (0.0344) | −0.0094 (0.0474) | −0.0743 (0.0773) | −0.1086 (0.0935) |
| ln(TA)t−1 | 0.0304 (0.0250) | 0.0386* (0.0231) | −0.0053 (0.0176) | −0.0162 (0.0148) | −0.0552** (0.0235) | −0.0427* (0.0231) | −0.0569 (0.0483) | −0.0694 (0.0443) |
| Constant | 3.3918*** (0.3395) | 3.4439*** (0.3338) | 3.4052*** (0.4325) | 3.2814*** (0.4090) | 1.8867*** (0.4801) | 1.4792*** (0.5427) | 1.9740** (0.9466) | 2.1520** (0.9183) |
| Observations Period | 12,121 1994–2015 | 12,415 1994–2015 | 7,619 1994–2015 | 8,436 1994–2015 | 3,577 1994–2015 | 3,067 1994–2015 | 925 1994–2015 | 912 1994–2015 |
| R2 | 0.6905 | 0.7394 | 0.9752 | 0.9755 | 0.7947 | 0.8307 | 0.9264 | 0.9259 |
| 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-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 |
|---|---|---|---|---|---|---|---|---|
| ln(Z.SCORE-ROA) | 0.1226 | 0.1379 | 0.3658 | 0.3914 | 0.4727 | 0.5322 | 0.5326 | 0.5252 |
| Δln(GRLO) | −0.0314 (0.0342) | −0.0497 (0.0379) | −0.1212 | −0.1627 | −0.0661 | −0.0485 (0.0395) | −0.2433 | −0.2005 |
| ROA | 0.3423 (0.3982) | 0.4055 (0.4748) | −0.4405 | −0.4764 | 0.0908 (0.9750) | 1.3351 (0.8898) | −1.1280 (1.2063) | −2.0820 (1.3222) |
| ln(ETA) | 0.6447 | 0.6535 | 0.3513 | 0.3227 | 0.1217 (0.0819) | 0.1250 (0.0883) | 0.1097 | 0.1356 |
| ln(LTA) | 0.1349 | 0.0719 (0.0464) | 0.0930 | 0.0514 | 0.0077 (0.0380) | 0.0342 (0.0468) | 0.1090 (0.0949) | 0.1540 (0.0946) |
| ln(DL) | 0.0440 | 0.0177 (0.0255) | 0.0922 | 0.0755 | 0.0060 (0.0247) | 0.0334 (0.0265) | −0.0035 (0.0255) | −0.0073 (0.0301) |
| ln(CTA) | −0.0788 | −0.0143 (0.0411) | −0.0160 (0.0297) | −0.0169 (0.0270) | 0.0056 (0.0344) | −0.0094 (0.0474) | −0.0743 (0.0773) | −0.1086 (0.0935) |
| ln(TA) | 0.0304 (0.0250) | 0.0386 | −0.0053 (0.0176) | −0.0162 (0.0148) | −0.0552 | −0.0427 | −0.0569 (0.0483) | −0.0694 (0.0443) |
| Constant | 3.3918 | 3.4439 | 3.4052 | 3.2814 | 1.8867 | 1.4792 | 1.9740 | 2.1520 |
| Observations | 12,121 | 12,415 | 7,619 | 8,436 | 3,577 | 3,067 | 925 | 912 |
| 0.6905 | 0.7394 | 0.9752 | 0.9755 | 0.7947 | 0.8307 | 0.9264 | 0.9259 | |
| Region fixed effects | YES | YES | YES | YES | YES | YES | YES | YES |
| Time fixed effects | YES | YES | YES | YES | 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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