Table 9 Determinants of the excess of...

Table 9

Determinants of the excess of NPLs–Italian banking system

Variable description	Determinants of the excess of NPLs
	Model (1)	Model (2)	Model (3)	Model (4)
Excess of NPLs_t−1	0.7095***	0.6836***
Excess of NPLs_t−1	(0.0550)	(0.0530)
NPLs best practice_t−1			0.8817***
NPLs best practice_t−1			(0.0320)
NPLs ratio_t−1				0.8488***
NPLs ratio_t−1				(0.0720)
Excess of NPLs_t−2	−0.0875
Excess of NPLs_t−2	(0.0540)
Tier 1 ratio_t−1	0.0192	0.0222	−0.0048	−0.0493
Tier 1 ratio_t−1	(0.0170)	(0.0210)	(0.0350)	(0.0420)
ROA_t−1	−0.7107***	−0.6692***	−0.3323***	−1.0403***
ROA_t−1	(0.1410)	(0.1500)	(0.1170)	(0.1930)
Loans growth_t−1	−0.0264***	−0.0245***	0.0042	−0.0347***
Loans growth_t−1	(0.0070)	(0.0070)	(0.0050)	(0.0100)
C_I_t−1	0.0062	0.0056	−0.0046	−0.0067
C_I_t−1	(0.0110)	(0.0120)	(0.0050)	(0.0120)
GDP growth_t−1	−0.0232	−0.0277	−0.0662***	−0.0937***
GDP growth_t−1	(0.0320)	(0.0300)	(0.0230)	(0.0330)
Size_t−1	−0.0005	−0.0002	0.0002	−0.0001
Size_t−1	(0.0000)	(0.0000)	(0.0010)	(0.0010)
Constant	0.0387**	0.0320**	0.0224*	0.0699***
Constant	(0.0150)	(0.0160)	(0.0110)	(0.0210)
N. Obs	3,380	3,380	3,380	3,380
Time dummy	Yes	Yes	Yes	Yes
AR(2) test	0.93	0.2	0.29	0.28
Hansen test	0.38	0.18	0.23	0.33

Variable description	Determinants of the excess of NPLs
	Model (1)	Model (2)	Model (3)	Model (4)
Excess of NPLs_t−1	0.7095***	0.6836***
Excess of NPLs_t−1	(0.0550)	(0.0530)
NPLs best practice_t−1			0.8817***
NPLs best practice_t−1			(0.0320)
NPLs ratio_t−1				0.8488***
NPLs ratio_t−1				(0.0720)
Excess of NPLs_t−2	−0.0875
Excess of NPLs_t−2	(0.0540)
Tier 1 ratio_t−1	0.0192	0.0222	−0.0048	−0.0493
Tier 1 ratio_t−1	(0.0170)	(0.0210)	(0.0350)	(0.0420)
ROA_t−1	−0.7107***	−0.6692***	−0.3323***	−1.0403***
ROA_t−1	(0.1410)	(0.1500)	(0.1170)	(0.1930)
Loans growth_t−1	−0.0264***	−0.0245***	0.0042	−0.0347***
Loans growth_t−1	(0.0070)	(0.0070)	(0.0050)	(0.0100)
C_I_t−1	0.0062	0.0056	−0.0046	−0.0067
C_I_t−1	(0.0110)	(0.0120)	(0.0050)	(0.0120)
GDP growth_t−1	−0.0232	−0.0277	−0.0662***	−0.0937***
GDP growth_t−1	(0.0320)	(0.0300)	(0.0230)	(0.0330)
Size_t−1	−0.0005	−0.0002	0.0002	−0.0001
Size_t−1	(0.0000)	(0.0000)	(0.0010)	(0.0010)
Constant	0.0387**	0.0320**	0.0224*	0.0699***
Constant	(0.0150)	(0.0160)	(0.0110)	(0.0210)
N. Obs	3,380	3,380	3,380	3,380
Time dummy	Yes	Yes	Yes	Yes
AR(2) test	0.93	0.2	0.29	0.28
Hansen test	0.38	0.18	0.23	0.33

Note(s): Results of the determinants of excess of NPLs. In columns (1) and (2), the dependent variable is the excess of NPLs resulting from their breakdown obtained by means of the stochastic frontier, column (3) the dependent variable is represented by the minimum level of NPLs on the stochastic frontier and column (4), which provides a comparison with the determinants of the overall NPLs. The independent variables are: TIER1_i,t−1 capital ratio; ROA_i,t−1 is the return on asset ratio between profit before taxes and total assets; GLGR_i,t−1, i.e. the gross loan growth rate; Cost-to-Income_i,t−1 is the cost-to-income ratio measured by operating expenses over the intermediation margin; GDP growth_t−1 captures the macroeconomic conditions or business cycle for Italy; Size_i,t−1 is the natural logarithm of total assets; Sample period: 2006–2017; *, **, ***denote the 10%, 5% and 1% significance level, respectively

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