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FDIC Working Papers Series

Table 8
Logit Regression Results: 4 Quarters before Downgrade
This table preforms Logit regression analysis on the sample of commercial banks and thrift institutions. All independent variables are defined in Table 7. T-statistics are shown in parentheses below their corresponding regression coefficients. A single, double, or triple "*" indiciates significance at the 10%, 5%, and 1% levels, respectively.
Specification
  CAMEL 3-Rated Group
(Panel A)
4 Quarters Before Downgrade 		Camel 4/5-Rated Group
(Panel B)
4 Quarters After Downgrade
Independent Variable Anticipated
Sign 		1 2 3 4 1 2 3 4

Intercept

 + 1.34
(21.5)**		 3.01
(2.84)***		 4.22
(2.99)***		 2.00
(1.77)*		 2.85
(3.67)***		 3.05
(2.75)***		 2.87
(1.98)**		 0.52
(0.57)
Charter

INSBIF

 + 0.50
(1.17)		 0.59
(1.34)		 0.72
(1.60)		 0.29
(0.81)		 1.11
(2.52)**		 1.37
(2.82)***		 1.45
(2.92)***		 0.32
(0.94)
Call Report Variables

EQ_AS

 - -0.12
(2.84)***		 -0.12
(2.83)***		 -0.13
(3.01)***		 no data -0.22
(3.03)***		 -0.24
(3.11)***		 -0.25
(3.08)***		 no data 

NC_RES

 + 0.26
(2.51)**		 0.22
(2.01)**		 0.23
(2.13)**		 no data 0.02
(0.45)		 0.01
(0.09)		 0.01
(0.16)		 no data

ROA

 - -0.98
(2.97)***		 -0.80
(2.30)**		 -0.76
(2.19)**		 no data -1.86
(5.09)		 -1.79
(4.09)***		 -1.77
(3.88)***		 no data

SC_AS

 - -0.06
(4.32)***		 -0.06
(4.16)***		 -0.06
(4.06)***		 no data -0.11
(5.70)***		 -0.11
(5.52)***		 -0.12
(5.54)***		 no data

VL_AS

 + 0.06
(4.14)***		 0.07
(4.07)***		 0.06
(3.87)***		   0.08
(4.09)***		 0.07
(3.85)***		 0.07
(3.80)***		 no data
Core Market variables

LN_PR

 - no data -0.67
(1.88)*		 -1.08
(2.50)**		 -0.89
(2.64)***		 no data -0.03
(0.07)		 -0.02
(0.06)		 -0.51
(1.85)*

EXRET

 - no data -1.48
(1.25)		 -1.88
(1.42)		 -1.58
(1.45)		 no data -3.96
(2.70)***		 -4.06
(2.77)***		 -3.77
(3.31)***

DIV

 - no data -0.50
(1.34)		 -0.40
(1.06)		 -0.38
(1.14)		 no data -0.77
(1.87)*		 -0.88
(2.06)**		 -0.67
(2.04)**
Risk Variables

BE_ME

 + no data
 no data
 0.28
(1.33)		 no data
 no data no data no data
 0.12
(0.67)

SDRET

 + no data no data -20.09
(1.72)**		 -16.39
(1.58)		 no data no data -1.67
(0.12)		 17.06
(1.56)

TURN

 + no data
 no data
 0.02
(1.43)		 0.01
(1.22)		 no data no data 0.03
(1.82)*		 0.02
(1.41)
AIC no data 215.20 211.32 209.88 253.85 197.70 191.89 192.26 285.03
R2 no data 0.27 0.31 0.33 0.11 0.44 0.47 0.47 0.18
X2 (relative to specification 1) NA 9.88** 15.31*** NA NA 11.81*** 15.44*** NA
degrees of freedom no data no data 3 5 no data no data 3 5 no data

Last Updated 03/01/2002 insurance-research@fdic.gov

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