Appendix to:
The Effect of Banks’ Financial Position on Credit Growth: Evidence from OECD Countries David Rappoport Yale University First version: August, 8th , 2010 This version: April, 6th , 2011
Abstract In this appendix to “The Effect of Banks’ Financial Position on Credit Growth: Evidence from OECD Countries” I present descriptive statistics of the variables used in the benchmark estimations, an analysis of the time series properties of the individual series used in the benchmark model, and results from additional regressions.
1
A
Descriptive Statistics of Main Variables
The model to be estimated takes the form: ∆`it = α∆`i,t−1 + β0 Xi,t + µt + µi + vit
(A.1)
Here I present descriptive statistics for the variables Sample according to availability of information in model A.1. Table A.1: Descriptive Statistics for Credit Growth by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 5.711 5.990 3.976 3.628 7.093 2.011 5.244 2.369 1.255 4.572 13.733 13.757 13.134 21.998 4.826 -1.056 12.331 -2.156 6.768 8.270 7.509 6.805 10.508 4.234 5.194 4.110 3.289 9.240 2.575 5.812
min -20.933 5.329 -5.812 -2.244 -2.092 -8.000 -11.747 -16.775 -9.579 -3.734 -2.059 7.276 0.091 3.607 -3.094 -10.214 -23.941 -15.492 -10.407 4.884 -8.376 0.690 -5.987 -27.145 -9.749 -23.421 -11.442 -3.652 -13.480 -27.145
Source: Own elaboration based on OECD Bank Statistics.
2
max 32.421 6.650 14.950 12.314 14.543 13.552 20.829 33.663 6.575 9.845 43.961 24.391 36.726 48.989 12.803 3.597 42.042 14.075 25.206 13.115 22.119 20.959 23.041 22.349 11.833 21.980 14.617 42.383 14.648 48.989
st. dev. 11.584 0.934 4.482 4.010 5.215 8.701 8.182 11.687 4.168 2.984 12.271 5.195 11.987 15.727 4.605 3.497 13.408 9.874 9.322 2.422 7.550 7.604 9.589 17.626 5.292 10.602 5.513 11.132 5.817 9.092
Table A.2: Descriptive Statistics for ROE1 by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 9.152 8.003 9.267 12.720 13.011 9.744 6.774 0.014 6.150 6.114 14.109 15.414 8.737 13.356 7.307 -1.992 -0.023 6.920 10.864 16.752 5.033 10.240 7.084 12.174 8.600 9.999 8.415 13.102 9.698 8.536
min -0.913 7.603 3.555 4.963 8.844 0.755 -21.384 -49.504 -1.291 3.696 7.045 10.529 -0.883 10.452 1.208 -22.388 -79.028 -5.008 -11.195 6.839 -113.774 4.742 5.770 -29.391 1.356 2.052 0.308 1.117 0.000 -113.774
Source: Own elaboration based on OECD Bank Statistics. 1
ROE defined as zero when equity is negative.
3
max 35.149 8.402 21.667 16.834 15.691 14.147 25.622 24.228 10.283 8.894 21.901 19.884 14.852 15.937 12.842 15.085 18.174 20.079 18.023 23.283 17.897 16.572 9.528 26.495 11.697 39.752 16.402 21.013 14.043 39.752
st. dev. 8.414 0.565 4.073 2.668 1.974 5.212 9.676 19.523 3.808 1.084 3.939 3.620 4.750 1.526 3.306 12.182 24.044 7.252 6.267 4.244 25.325 4.742 1.227 18.135 2.072 8.498 3.671 5.898 4.197 10.692
Table A.3: Descriptive Statistics for Capital (ratio of Equity to Assets) by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 10.096 4.621 3.071 5.279 8.517 8.483 7.628 6.820 4.260 3.793 5.732 9.326 7.321 5.911 6.435 3.951 5.775 7.349 3.878 5.700 5.457 9.492 9.863 7.325 7.862 5.762 5.904 4.560 6.730 6.087
min 7.063 4.504 2.384 4.185 7.276 6.013 5.512 5.044 3.124 3.271 2.443 8.999 6.410 4.985 3.887 2.837 3.583 5.298 2.668 3.676 2.904 8.348 8.227 3.733 6.564 4.268 4.531 3.256 -11.666 -11.666
Source: Own elaboration based on OECD Bank Statistics. Note: p25 = 25th percentile.
4
p25 9.918 4.504 2.545 5.099 8.316 8.202 6.542 6.126 3.996 3.557 4.552 9.088 6.734 5.690 6.116 3.338 4.098 6.389 3.605 4.805 4.544 9.151 9.012 4.808 7.222 5.342 5.622 4.051 5.543 4.481
max 12.344 4.737 3.957 5.877 9.199 10.643 9.930 10.823 5.064 4.242 9.886 9.785 7.980 6.681 8.035 5.260 8.867 9.713 4.601 7.686 7.295 10.204 11.584 13.049 9.472 7.163 6.807 5.995 10.345 13.049
st. dev. 1.196 0.164 0.514 0.411 0.459 1.695 1.352 1.622 0.539 0.310 2.343 0.262 0.600 0.582 0.965 0.665 1.874 1.256 0.524 1.218 1.245 0.694 1.029 2.970 0.704 0.796 0.661 0.715 4.058 2.234
Table A.4: Descriptive Statistics for Balance Sheet Liquidity (BSL, ratio of securities to assets) by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 7.096 16.025 29.528 17.304 16.060 23.766 24.411 16.673 16.710 17.598 33.412 16.430 13.562 23.902 14.829 19.669 17.291 26.933 21.291 11.114 15.747 22.104 21.373 25.821 18.756 21.514 14.995 14.950 19.119 18.924
min 3.457 15.956 23.251 10.224 10.811 20.422 18.335 8.471 7.789 12.352 28.895 14.107 9.330 19.189 9.132 14.343 12.491 15.634 11.601 5.436 8.100 20.396 15.000 14.275 12.621 11.579 9.636 6.944 13.943 3.457
Source: Own elaboration based on OECD Bank Statistics.
5
max 10.048 16.094 34.169 26.325 18.998 26.887 29.137 23.459 22.866 23.981 36.661 18.731 19.061 29.521 22.755 27.225 24.983 33.526 30.992 20.354 34.108 23.218 27.348 36.199 24.787 29.731 23.524 20.924 23.386 36.661
st. dev. 1.823 0.098 2.485 5.343 2.686 2.389 3.627 4.572 4.940 3.638 2.411 1.692 2.940 3.961 4.208 4.925 3.265 6.694 5.450 4.288 7.802 1.033 3.973 6.663 3.224 5.432 4.822 5.029 3.373 6.833
Table A.5: Descriptive Statistics for Deposit Cost (ratio of interest expenses to deposits) by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 8.758 8.607 20.617 6.998 11.880 4.129 10.115 9.517 21.712 9.316 10.019 8.298 11.769 9.511 11.190 2.907 6.984 20.288 9.225 6.863 9.879 7.280 11.265 5.707 9.180 12.141 7.339 6.881 6.870 9.991
min 5.860 8.531 9.881 2.823 5.509 2.597 5.795 3.611 11.786 7.219 4.212 6.783 6.526 7.908 5.527 0.339 3.954 9.442 5.599 4.175 4.655 4.034 8.505 2.947 3.973 4.219 3.709 4.053 2.003 0.339
Source: Own elaboration based on OECD Bank Statistics.
6
max 16.371 8.683 30.662 11.909 20.631 6.514 14.292 16.466 31.949 12.288 14.074 10.822 22.087 11.460 17.236 8.207 11.871 47.965 12.257 11.662 18.819 12.997 14.163 12.361 12.763 21.127 11.212 11.084 12.947 47.965
st. dev. 3.434 0.107 5.659 2.705 5.383 1.567 2.913 4.041 6.392 1.347 3.142 1.305 5.259 1.239 3.199 2.615 2.139 11.394 1.865 2.255 3.845 4.041 1.675 3.216 2.462 4.475 2.169 1.883 2.954 5.684
Table A.6: Descriptive Statistics for Real Lending Rates1 by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 7.060 5.284 6.924 4.889 7.133 4.066 7.663 5.106 5.796 8.101 9.644 4.165 10.466 0.997 6.517 2.450 4.358 5.880 2.511 7.904 6.335 7.118 8.424 3.463 4.886 6.546 2.759 4.345 5.194 5.725
min 4.282 5.069 3.922 1.929 3.369 2.449 4.627 2.565 4.465 6.757 -2.515 1.127 9.014 -0.806 3.157 0.531 2.234 1.514 0.671 6.161 0.543 4.178 2.854 -0.095 0.560 2.861 -0.930 1.012 1.663 -2.515
max 10.869 5.499 10.572 9.283 15.059 5.840 11.458 9.217 7.589 9.192 16.568 6.081 11.664 5.153 11.253 4.437 8.583 24.433 5.490 9.578 11.922 12.952 14.529 7.123 11.114 12.826 4.710 8.679 8.730 24.433
st. dev. 1.931 0.304 1.727 2.070 3.492 1.341 1.901 1.986 1.055 0.658 5.625 1.515 0.847 2.142 2.614 1.088 1.970 6.183 1.660 1.122 2.821 3.652 3.160 2.199 3.161 2.390 1.239 1.896 1.864 3.101
Source: Own elaboration based on OECD Bank Statistics. 1
Real effective lending rates calculated as nominal rates minus effective inflation in the year.
7
Table A.7: Descriptive Statistics for ratio of Total Provisions to Loans by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 0.704 0.733 0.638 0.549 1.111 -1.628 1.959 0.172 0.870 0.618 1.186 0.411 1.490 0.196 1.197 0.564 1.524 1.962 0.305 0.198 0.924 1.881 2.476 -0.395 1.406 0.076 1.001 0.912 0.761 0.864
min 0.141 0.722 -0.079 0.158 0.519 -2.923 0.623 -0.105 0.367 0.200 0.651 -0.084 0.947 0.076 0.260 0.046 0.585 0.946 0.093 -0.141 -0.161 0.585 1.070 -4.010 0.452 -6.792 0.372 0.307 0.305 -6.792
Source: Own elaboration based on OECD Bank Statistics.
8
max 2.052 0.744 1.307 1.331 2.045 0.574 3.611 0.813 1.780 0.946 1.866 0.662 3.166 0.298 1.823 1.602 3.018 3.645 0.810 1.042 4.791 3.088 4.867 7.255 3.151 2.027 1.797 2.655 1.545 7.255
st. dev. 0.680 0.016 0.368 0.288 0.438 1.408 1.017 0.278 0.466 0.195 0.441 0.227 0.731 0.062 0.429 0.500 0.795 0.977 0.166 0.317 1.135 0.971 1.355 3.278 0.585 1.912 0.399 0.739 0.371 1.047
Table A.8: Descriptive Statistics for Real Long Term Rates1 by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 4.835 3.950 4.449 4.466 4.571 2.465 5.749 5.466 4.361 4.326 3.662 1.432 5.591 1.567 4.371 2.098 4.711 4.845 2.704 4.535 4.179 4.382 3.970 -0.349 4.523 4.684 1.853 4.206 3.872 4.010
min 1.253 3.791 0.566 1.233 2.550 1.568 2.412 2.440 1.964 2.131 -7.233 -1.215 2.763 -0.079 1.332 0.088 0.862 -1.568 0.796 2.122 -1.344 3.034 2.033 -3.696 1.263 1.248 -1.057 0.977 0.897 -7.233
max 8.211 4.110 7.331 8.405 7.330 4.006 10.264 9.053 6.701 6.288 9.825 3.186 8.000 4.839 7.997 3.673 8.871 16.744 4.976 7.387 7.436 5.451 7.289 3.808 7.956 7.788 4.106 6.707 8.138 16.744
st. dev. 2.230 0.226 1.838 1.967 1.720 1.045 2.109 2.118 1.448 1.113 4.351 1.720 1.550 1.632 2.166 1.066 2.694 4.321 1.071 1.468 2.115 1.022 1.647 2.685 2.143 1.942 1.185 1.433 1.906 2.303
Source: Own elaboration based on OECD, IFS and National Sources. 1
Real effective long term rates calculated as nominal rates minus effective inflation in the year. Nominal long term rates corresponds to 10 year government bonds or similar. For Chile indexed bonds yields are used. Year averages.
9
Table A.9: Descriptive Statistics for Real Stock Returns by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 3.236 0.214 7.258 3.965 2.663 14.235 8.933 8.229 2.791 4.919 4.746 4.473 12.757 7.517 1.165 -3.807 1.083 9.665 1.642 1.412 8.587 11.236 3.381 14.402 6.883 10.666 5.185 3.317 6.194 5.427
min -6.930 -10.571 -21.659 -24.217 -32.983 -33.835 -21.735 -57.899 -26.417 -29.558 -43.945 -33.609 -38.385 -24.900 -39.873 -35.093 -54.076 -42.743 -36.478 -33.298 -25.134 -33.104 -27.630 -12.408 -22.058 -37.691 -28.461 -21.184 -15.271 -57.899
max 13.666 10.999 35.240 28.142 27.590 40.992 49.235 61.773 29.879 31.118 67.555 43.942 46.953 31.969 69.081 24.585 66.551 34.965 38.252 20.973 42.439 36.536 43.256 69.236 62.705 57.308 33.663 20.634 26.400 69.236
st. dev. 6.803 15.252 15.062 12.499 16.487 30.287 18.504 36.661 18.528 18.865 30.773 26.845 23.057 18.579 26.233 18.928 28.792 22.416 23.711 12.657 21.201 25.433 24.531 26.099 22.421 23.887 16.974 12.746 11.281 20.635
Source: Own elaboration based on OECD and IFS. Note: Computed as the log changes of real stock market indices for domestic markets in each country. All indices deflated by domestic CPIs.
10
Table A.10: Descriptive Statistics for Real Aggregate Demand1 by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 3.832 2.282 2.014 3.038 4.576 3.234 1.893 1.692 1.865 1.722 2.999 3.404 4.088 6.659 1.452 0.923 4.118 2.929 2.213 3.609 2.689 2.945 3.855 4.507 3.146 1.712 1.602 2.844 3.214 2.695
min 0.268 2.024 -0.880 -1.303 -4.657 1.792 -3.230 -6.278 -0.560 -1.752 -1.141 -0.915 -2.549 3.537 -4.536 -2.229 -15.019 -13.258 -3.490 -1.107 -1.609 -0.387 -0.548 -0.598 -2.748 -4.057 -1.708 -1.676 -0.542 -15.019
max 6.111 2.539 4.503 5.315 10.219 4.536 7.291 6.297 3.818 4.469 5.869 9.159 12.425 9.185 4.557 2.975 10.001 8.283 5.316 7.261 6.415 6.857 6.553 8.413 7.471 4.488 3.429 6.905 6.202 12.425
st. dev. 1.947 0.364 1.353 1.680 4.180 1.130 2.492 4.275 1.236 1.699 2.129 3.437 4.364 2.401 2.096 1.215 5.758 5.671 2.184 2.296 2.207 2.584 2.117 3.213 2.728 2.074 1.289 1.827 1.606 2.774
Source: Own elaboration based on OECD. Note: Computed as the log changes of the sum of real private consumption (household and non-profits), real government final consumption and real gross fixed capital formation.
11
Table A.11: Descriptive Statistics for Assets to GDP by Country (in percents) Country Australia Austria Belgium Canada Chile Czech Republic Denmark Finland France Germany Greece Hungary Iceland Ireland Italy Japan Korea Mexico Netherlands New Zealand Norway Poland Portugal Slovak Republic Spain Sweden Switzerland United Kingdom United States All
mean 105.178 247.809 291.774 140.348 100.584 109.361 114.330 122.673 236.109 168.793 69.855 73.632 88.277 337.898 155.749 166.883 94.198 46.236 384.141 137.906 80.465 57.889 148.646 85.934 139.707 97.837 409.050 149.411 93.180 160.274
min 95.213 241.259 219.571 110.685 82.520 97.288 77.119 97.217 224.426 116.938 50.866 59.700 54.556 147.228 117.336 141.734 56.608 33.261 213.657 103.211 52.668 56.830 103.170 77.060 105.691 69.222 258.519 73.870 79.512 33.261
max 118.581 254.359 365.779 180.169 136.346 124.122 148.415 146.150 254.429 268.464 104.403 94.819 147.149 500.307 222.295 225.223 131.700 61.285 597.025 186.810 159.743 59.240 197.532 93.154 176.582 144.522 660.909 392.820 113.440 660.909
Source: Own elaboration based on OECD Bank Statistics and OECD.
12
st. dev. 7.749 9.263 35.033 21.132 15.642 11.223 20.222 15.154 8.765 49.278 20.704 13.226 35.562 116.351 30.046 24.361 27.326 8.326 129.745 26.750 24.827 1.058 36.319 6.226 21.246 22.638 119.501 84.457 12.628 108.564
B
Dynamic Panel Estimation Techniques
Here I present an analysis of the time series properties of the individual series used in the benchmark model. To facilitate comparison dependent variables are the explanatory variables used in the benchmark regressions with the same timing convention and restricting the sample to the sample of model (2).
13
14
0.273*** (0.0811) 0.230*** (0.0766) Yes No
(1) OLS
0.315 464 29
0.247 464 29
0.285 0.219
0.154* (0.0832) 0.132** (0.0534) Yes Yes
(2) FE
0.345 0.262
0.201 0.212
448 29
448 29
32
0.173 1.000
0.429 1.000
30
0.577
0.678
448 29
34
0.435 0.285
0.0699 1.000
0.544
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.350*** 0.300*** 0.285*** (0.1000) (0.0970) (0.0976) 0.327*** 0.277*** 0.259*** (0.0816) (0.0659) (0.0666) Yes Yes Yes Yes Yes Yes
(3)
464 29
32
0.235 0.229
0.292 1.000
0.693
464 29
34
0.409 0.276
0.188 1.000
0.601
464 29
36
0.465 0.287
0.110 1.000
0.578
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.369*** 0.324*** 0.312*** (0.105) (0.0987) (0.100) 0.324*** 0.277*** 0.266*** (0.0866) (0.0727) (0.0735) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
∆`i,t−1 + ∆`i,t−2 0.504 σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
∆`i,t−2
∆`i,t−1
Dependent Variable: ∆`it
Table B.1: Estimation of Time Series Process for Credit Growth (∆`it )
15
0.273 479 29 463 29
463 29
32
0.894 0.681
0.873 0.687 30
0.858 1.000
0.849 1.000
463 29
34
0.906 0.675
0.923 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.493*** 0.519*** 0.533*** (0.105) (0.0831) (0.0825) Yes Yes Yes Yes Yes Yes
(3)
479 29
32
0.855 0.688
0.943 1.000
479 29
34
0.872 0.683
0.956 1.000
479 29
36
0.880 0.678
0.985 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.476*** 0.496*** 0.505*** (0.109) (0.0908) (0.0916) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries 0.350 479 29
0.0697
Year effects Country effects1
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
(2) FE 0.427*** (0.0738) Yes Yes
(1) OLS 0.518*** (0.145) Yes No
ROEi,t−2
Dependent Variable: ROEi,t−1
Table B.2: Estimation of Time Series Process for ROE
16
0.828*** (0.0922) Yes No
(1) OLS
0.696 480 29
0.342 480 29
0.551
0.535*** (0.120) Yes Yes
(2) FE
464 29
464 29
32
0.001 0.005
0.001 0.005 30
0.086 1.000
0.042 1.000
464 29
34
0.001 0.005
0.208 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.341 0.347 0.348 (0.240) (0.242) (0.243) Yes Yes Yes Yes Yes Yes
(3)
480 29
32
0.005 0.006
0.147 1.000
480 29
34
0.005 0.005
0.175 1.000
480 29
36
0.005 0.006
0.318 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.359* 0.373* 0.371* (0.193) (0.197) (0.195) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
CAPi,t−2
Dependent Variable: CAPi,t−1
Table B.3: Estimation of Time Series Process for CAPITAL
17
0.943*** (0.0159) Yes No
(1) OLS
0.896 480 29
0.778 480 29
0.269
0.836*** (0.0342) Yes Yes
(2) FE
464 29
464 29
32
0.383 0.604
0.434 0.646 30
0.002 1.000
0.004 1.000
464 29
34
0.381 0.604
0.00322 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 1.182*** 1.054*** 1.051*** (0.165) (0.133) (0.134) Yes Yes Yes Yes Yes Yes
(3)
480 29
32
0.442 0.628
0.0216 1.000
480 29
34
0.409 0.594
0.00312 1.000
480 29
36
0.410 0.595
0.00721 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 1.144*** 1.052*** 1.057*** (0.0743) (0.0574) (0.0606) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
BSLi,t−2
Dependent Variable: BSLi,t−1
Table B.4: Estimation of Time Series Process for BSL
18
0.881*** (0.0457) Yes No
DEPOSIT COSTSi,t−2
0.855 477 29
0.698 477 29
0.470
0.657*** (0.101) Yes Yes
(2) FE
459 29
459 29
32
0.392 0.742
0.395 0.731 30
0.360 1.000
0.223 1.000
459 29
34
0.386 0.762
0.004 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 1.139*** 1.086*** 0.992*** (0.201) (0.155) (0.136) Yes Yes Yes Yes Yes Yes
(3)
477 29
32
0.255 0.792
0.082 1.000
477 29
34
0.259 0.800
0.220 1.000
477 29
36
0.273 0.806
0.003 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.766*** 0.760*** 0.753*** (0.169) (0.148) (0.122) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
(1) OLS
Dependent Variable: DEPOSIT COSTSi,t−1
Table B.5: Estimation of Time Series Process for DEPOSIT COSTS
19
0.745*** (0.0903) Yes No
LENDING RATEi,t−2
0.669 476 29
0.509 476 29
0.315
0.517*** (0.115) Yes Yes
(2) FE
473 28
473 28
32
0.719 0.236
0.721 0.254 30
0.915 1.000
0.567 1.000
473 28
34
0.722 0.232
0.571 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.559*** 0.557*** 0.535*** (0.0878) (0.0957) (0.0994) Yes Yes Yes Yes Yes Yes
(3)
476 29
32
0.743 0.255
0.105 1.000
476 29
34
0.744 0.247
0.338 1.000
476 29
36
0.745 0.247
0.364 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.587*** 0.593*** 0.585*** (0.125) (0.124) (0.125) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
(1) OLS
Dependent Variable: LENDING RATEi,t−1
Table B.6: Estimation of Time Series Process for LENDING RATE
20
0.666*** (0.0948) Yes No
(1) OLS
0.509 479 29
0.349 479 29
0.405
0.474*** (0.0655) Yes Yes
(2) FE
463 29
463 29
32
0.608 0.213
0.591 0.211 30
0.072 1.000
0.923 0.999
463 29
34
0.607 0.212
0.194 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.589*** 0.639*** 0.633*** (0.0702) (0.0564) (0.0574) Yes Yes Yes Yes Yes Yes
(3)
479 29
32
0.606 0.200
0.981 1.000
479 29
34
0.624 0.202
0.123 1.000
479 29
36
0.624 0.201
0.282 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.607*** 0.670*** 0.666*** (0.0664) (0.0571) (0.0578) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
PROVISIONSi,t−2
Dependent Variable: PROVISIONSi,t−1
Table B.7: Estimation of Time Series Process for PROVISIONS
21
0.609*** (0.104) Yes No
LONG TERM RATEi,t−2
0.642 470 29
0.568 470 29
0.197
0.453*** (0.142) Yes Yes
(2) FE
461 29
461 29
32
0.891 0.291
0.888 0.261 30
0.052 1.000
0.019 1.000
461 29
34
0.933 0.345
0.028 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.591 0.479 0.366 (0.573) (0.375) (0.301) Yes Yes Yes Yes Yes Yes
(3)
470 29
32
0.862 0.254
0.080 1.000
470 29
34
0.849 0.260
0.135 1.000
470 29
36
0.844 0.270
0.088 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.735*** 0.685*** 0.648*** (0.216) (0.182) (0.184) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
(1) OLS
Dependent Variable: LONG TERM RATEi,t−1
Table B.8: Estimation of Time Series Process for LONG TERM RATES
22
0.502 477 29 475 29
475 29
32
0.953 0.590
0.859 0.575 30
0.709 1.000
0.805 1.000
475 29
34
0.949 0.591
0.910 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.402* 0.350 0.351 (0.209) (0.218) (0.217) Yes Yes Yes Yes Yes Yes
(3)
477 29
32
0.762 0.552
0.928 1.000
477 29
34
0.820 0.554
0.936 1.000
477 29
36
0.832 0.554
0.982 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.477** 0.442** 0.435* (0.212) (0.222) (0.224) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries 0.495 477 29
0.0966
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
0.186*** (0.0439) Yes Yes
0.224*** (0.0742) Yes No
STOCK RETURNSi,t−2
(2) FE
(1) OLS
Dependent Variable: STOCK RETURNSi,t−1
Table B.9: Estimation of Time Series Process for STOCK RETURNS
23
0.402*** (0.0949) Yes No
∆AGG. DEMANDi,t−2
0.323 479 29
0.273 479 29
0.128
0.304*** (0.0703) Yes Yes
(2) FE
478 29
478 29
32
0.903 0.604
0.987 0.655 30
0.453 1.000
0.284 1.000
478 29
34
0.891 0.604
0.726 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.423** 0.379** 0.375** (0.212) (0.175) (0.167) Yes Yes Yes Yes Yes Yes
(3)
479 29
32
0.822 0.584
0.335 1.000
479 29
34
0.726 0.530
0.324 1.000
479 29
36
0.730 0.528
0.541 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 0.344* 0.304 0.305 (0.204) (0.187) (0.190) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
(1) OLS
Dependent Variable: ∆AGG. DEMANDi,t−1
Table B.10: Estimation of Time Series Process for ∆AGG. DEMAND
24
1.038*** (0.0115) Yes No
ASSETS/GDPi,t−2
0.985 479 29
0.941 479 29
0.574
0.986*** (0.0182) Yes Yes
(2) FE
462 29
462 29
32
0.229 0.166
0.229 0.167 30
0.119 1.000
0.086 1.000
462 29
34
0.227 0.169
0.308 1.000
(4) (5) difference GMM 2 collapsed 4 collapsed 6 collapsed 0.837*** 0.835*** 0.833*** (0.110) (0.111) (0.110) Yes Yes Yes Yes Yes Yes
(3)
479 29
32
0.252 0.146
0.034 1.000
479 29
34
0.252 0.146
0.0401 1.000
479 29
36
0.252 0.148
0.081 1.000
(7) (8) system GMM 2 collapsed 4 collapsed 6 collapsed 1.106*** 1.106*** 1.104*** (0.0219) (0.0230) (0.0229) Yes Yes Yes Yes Yes Yes
(6)
Fixed Effects (FE) and difference GMM regressions eliminate country effects by taking differences. R2 for FE correspond to the within R2 . Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
1
Number of instruments R2 Number observations Number countries
σ2µi /σ2vit H0 : joint validity of moment restrictions Sargan test Hansen test H0 : residuals are serially uncorrelated Arellano-Bond for AR(2) Arellano-Bond for AR(3)
Year effects Country effects1
(1) OLS
Dependent Variable: ASSETS/GDPi,t−1
Table B.11: Estimation of Time Series Process for ASSETS/GDP
C
Additional Regressions Table C.1: System GMM Estimates of the Effect of Bank Financial Position on Credit Growth residuals serially correlated (order 1) Dependent Variable: ∆`it 4 lags (1) 0.318*** (0.054) 0.050 (0.066) -0.074 (0.151) 0.008 (0.016) 0.076 (0.050) -0.243** (0.102) -0.068 (0.315) 0.424** (0.177) 0.491** (0.237) 0.044** (0.017) 1.250*** (0.217) 0.005 (0.004)
4 collapsed (2) 0.308** (0.126) 0.117 (0.101) -1.072 (2.228) 0.032 (0.127) -0.019 (0.177) -0.367* (0.217) 0.084 (1.263) 0.213 (0.731) 0.465 (0.737) 0.112 (0.082) 0.372 (0.452) 0.004 (0.015)
12 collapsed (3) 0.222*** (0.072) 0.117** (0.058) 1.722 (2.122) -0.143 (0.142) 0.006 (0.144) -0.311* (0.175) 0.450 (0.678) 0.324 (0.457) 0.794** (0.399) 0.074* (0.040) 0.780*** (0.248) 0.011 (0.010)
all collapsed (4) 0.214*** (0.071) 0.054 (0.061) 0.384 (0.718) -0.031 (0.056) -0.009 (0.081) -0.288** (0.132) -0.212 (0.450) 0.666*** (0.243) 0.396 (0.345) 0.052*** (0.017) 1.161*** (0.230) 0.014* (0.008)
[0.852] Yes
[0.777] Yes
[0.509] Yes
[0.854] Yes
Country effects1
Yes
Yes
Yes
Yes
Number observations Number countries Number of instruments H0 : joint validity of moment restrictions Sargan [p-value] Hansen [p-value] H0 : residuals are serially uncorrelated
480 29 480
480 29 73
480 29 169
480 29 383
[0.655] [1.000]
[0.363] [1.000]
[0.739] [1.000]
[0.137] [1.000]
[0.003] [0.028]
[0.017] [0.095]
[0.004] [0.037]
[0.004] [0.043]
∆`i,t−1 ROEi,t−1 CAPi,t−1 CAP2i,t−1 BSLi,t−1 DEPOSIT COSTSi,t−1 PROVISIONSi,t−1 LENDING RATEit LONG TERM RATEit STOCK RETURNSit ∆AGG. DEMANDit ASSETS/GDPi,t−1 H0 : CAPi,t−1 = 0 CAP2i,t−1 = 0 [p-value] Year effects
Arellano-Bond for AR(2) [p-value] Arellano-Bond for AR(3) [p-value] 1
Fixed Effects (FE) and Arellano-Bond regressions eliminate country effects by taking first differences. Heteroskedasticity robust standard errors in parentheses. ***, **, * denote significant at 1%, 5% and 10%, respectively.
25
