Table 3
Variables Used to Predict One-Year-Forward Asset-Quality Changes
Bank Balance Sheet Variables
(current and previous four quarters)
Ratio of equity to assets
Ratio of total loans to assets
Ratio of nonperforming loans to assets
Ratio of other real estate owned to assets
Ratio of 30-90 days past-due loans to assets
Bank Income and Growth Variables
(previous four quarters)
Annual asset-growth rate
Return on average assets
Net charge-offs
State-Level Economic Variables
(current and previous four quarters)
State-level percentage of 1-4 family mortgages 90 days past due
State unemployment rate
Log of state personal income per worker
State-level personal-income growth
Log of state failed-business liabilities per worker
Macroeconomic Variables
(rate of change during previous four quarters)
U.S. personal-income growth
Change in the GDP deflator
