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FDIC Banking Review

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
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