Table 4
Logit Regression Results: Four Quarters before Downgrade |
| IndependentVariable |
Anticipated Sign |
A. CAMEL 3-Rated Group Specification |
B. CAMEL 4/5-Rated Group Specification |
| 1
| 2 |
3 |
4 |
5 |
1 |
2 |
3 |
4 |
5 |
| Intercept
| |
-0.86 |
-3.39 |
-2.13 |
-3.76 |
-4.46 |
0.90 |
-5.63 |
-1.09 |
-5.82 |
-7.58 |
| (123) |
(5.00)*** |
(2.07)** |
(2.71)*** |
2.95*** |
(0.83) |
(5.98)*** |
(0.69) |
(2.96)*** |
(3.12)*** |
| Control Variables |
| BK_SIZE |
- |
0.09 |
0.82 |
0.21 |
0.12 |
0.21 |
-0.46 |
1.38 |
-0.52 |
0.34 |
0.12 |
| (016) |
(1.83) |
(0.36) |
(0.21) |
(0.34) |
(0.69) |
(2.86)*** |
(0.66) |
(0.43) |
(0.13) |
| STATE |
- |
-0.03 |
-0.05 |
-0.03 |
-0.03 |
-0.03 |
-0.07 |
-0.09 |
-0.07 |
-0.11 |
-0.13 |
| (297)*** |
(5.06)*** |
(2.72)*** |
(3.05)*** |
(2.80)*** |
(4.50)*** |
(6.93)*** |
(4.17)*** |
(4.29)*** |
(3.91)*** |
| Regulatory Variable |
| MGT_RAT |
+ |
|
|
|
1.33 |
1.23 |
|
|
|
3.26 |
3.41 |
| (246)** |
(2.18)** |
(4.34)*** |
(3.96)*** |
| Financial Variables |
| EQ_ASSET |
- |
-0.02 |
|
-0.04 |
-0.01 |
-0.02 |
-0.42 |
|
-0.51 |
-0.48 |
-0.61 |
| (104) |
(1.54) |
(0.25) |
(0.68) |
(3.30)*** |
(3.26)*** |
(3.08)*** |
(-3.04)*** |
| NC_ASSET |
+ |
0.88 |
|
0.83 |
0.82 |
0.77 |
1.22 |
|
1.17 |
1.13 |
1.11 |
| (399)*** |
(3.63)*** |
(3.70)*** |
(3.34)*** |
(4.44)*** |
(4.17)*** |
(3.87)*** |
(3.52)*** |
| RES_ASSET |
- |
-1.19 |
|
-1.24 |
-0.91 |
-0.94 |
-0.71 |
|
-0.95 |
-1.08 |
-1.31 |
| (181)* |
(1.80)* |
(1.36) |
(1.35) |
(1.23) |
(1.56) |
(2.01)** |
(2.18)** |
| LPROV_ASSET |
+ |
2.78 |
|
2.89 |
(2.67) |
2.78 |
4.29 |
|
4.63 |
5.87 |
6.61 |
| (237)** |
(2.34)** |
(2.28)** |
(2.29)** |
(3.48)*** |
(3.43)*** |
(3.79)*** |
(3.63)*** |
| ROA |
- |
-0.83 |
|
-0.65 |
-0.75 |
-0.61 |
-1.29 |
|
-0.86 |
-1.09 |
-0.68 |
| (240)** |
(1.96)** |
(2.20)** |
(1.84)* |
(2.59)*** |
(1.43) |
(1.76)* |
(0.92) |
| SEC_ASSET |
- |
-0.04 |
|
-0.05 |
-0.04 |
-0.05 |
-0.05 |
|
-0.05 |
-0.09 |
-0.09 |
| (282)*** |
(2.89)*** |
(2.83)*** |
(2.92)*** |
(2.14)** |
(2.07)** |
(3.08)*** |
(2.82)*** |
| VOL_ASSET |
+ |
0.07 |
|
0.07 |
0.07 |
0.07 |
0.08 |
|
0.08 |
0.09 |
0.09 |
| (408)*** |
(4.05)*** |
(4.00)*** |
(4.01)*** |
(3.38)*** |
(3.08)*** |
(2.84)*** |
(2.66)*** |
| Market variables |
| EXPRC |
- |
|
-0.94 |
-0.52 |
|
-0.41 |
|
-1.34 |
-0.95 |
|
-0.78 |
| (338)*** |
(1.56) |
(1.23) |
(3.88)*** |
(2.38)** |
(1.66)* |
| EXRET |
- |
|
0.25 |
-0.07 |
|
-0.10 |
|
-1.17 |
0.60 |
|
0.06 |
| (028) |
(0.06) |
(0.09) |
(1.31) |
(0.45) |
(0.04) |
| COEFVAR |
+ |
|
-0.07 |
-0.04 |
|
-0.05 |
|
-0.01 |
-0.05 |
|
-0.11 |
| (150) |
(0.59) |
(0.86) |
(0.22) |
(1.27) |
(1.89)* |
| BKEQ_MEQ |
+ |
|
0.12 |
0.25 |
|
0.26 |
|
0.03 |
0.39 |
|
0.45 |
| (072) |
(1.29) |
(1.28) |
(0.18) |
(0.98) |
(0.87) |
| TURNOVER |
+ |
|
0.00 |
0.01 |
|
-0.01 |
|
0.01 |
0.00 |
|
0.02 |
| (011) |
(0.43) |
(0.35) |
(0.54) |
(0.18) |
(0.73) |
| AIC |
194.50 |
261.36 |
197.50 |
189.50 |
194.07 |
128.11 |
224.75 |
126.32 |
95.03 |
97.86 |
| R2 |
0.43 |
0.23 |
0.45 |
0.45 |
0.46 |
0.61 |
0.43 |
0.63 |
0.66 |
0.67 |
| x2 (relative to specification 1) |
|
|
7.00 |
7.00*** |
|
|
|
11.79** |
35.08*** |
|
| x2 (relative to specification 4) |
|
|
|
|
5.43 |
|
|
|
|
7.16 |
| degrees of freedom |
|
|
5 |
1 |
5 |
|
|
5 |
1 |
5 |
| Note: This table preforms logit regression analysis on the sample of commercial banks and thrift institutions. All independent variables are defined in table 3. T-statistics are shown in parentheses below their corresponding regression coeffients. A single, double, or triple "*" indicates significance at the 10%, 5%, or 1% level, respectively. |
