Table 5: Definitions of Variables

Dependent Variable 1=BOPEC rating downgrade

2=BOPEC no rating change

3=BOPEC rating upgrade

Size of Institution
Natural logarithm of total assets LN_ASSET
Past Supervisory Variables
Dummy Variable: BOPEC rating of 1 before most recent inspection BOPEC-1
Dummy Variable: BOPEC rating of 2 before most recent inspection BOPEC-2
Dummy Variable: BOPEC rating of 3 before most recent inspection BOPEC-3
Dummy Variable: BOPEC rating of 4 before most recent inspection BOPEC-4
Dummy Variable: CAMELS rating of lead bank before current inspection: 1 = prior rating of 3, 4, 5; 0 = 1 or 2 rating PROB_BK
Time from prior holding company inspection to current inspection (days) INSP_AGE
Financial Accounting Variables (percent)
Equity/Total Assets EQ_ASSET
Loans Past Due 90 days/Total Assets PD90_ASSET
Nonaccrual Loans/Total Assets NA_ASSET
Loan-Loss Reserves/Total Assets LLR_ASSET
Loan-Loss Provisons/Total Assets LPROV_ASSET
Charge-offs/Total Assets CHARG_ASSET
Annual Return on Assets ROA
Liquid Assets/Total Assets LIQ_ASSET
Time Deposits>$100,000/Total Assets TD100_ASSET
 
Financial Market Variables
Coefficient of Variation of Price (%) COVAR_PRICE
Abnormal or Excess Quarterly Returns (value weighted) (%) EX_RETURN
Std. Deviation of Quarterly Returns (%) STD_RETURN
Market Value of Firm/Book Value of Firm MKT_BK
Quarterly Turnover of Shares (%) TURNOVER

Table 6: Variable Means and Standard Deviations by Period, 19882000
(Quarterly Data)

 

Periods

19881992

19931995

19962000

Mean

Std. Deviation

Mean

Std. Deviation

Mean

Std. Deviation

Institution Size

LN_ASSET

14.81

1.63

14.79

1.86

14.67

1.94

Past Supervisory Variables

BOPEC-1

0.19

0.39

0.23

0.42

0.44

0.49

BOPEC-2

0.46

0.49

0.48

0.50

0.52

0.49

BOPEC-3

0.21

0.41

0.16

0.37

0.03

0.18

BOPEC-4

0.11

0.31

0.12

0.32

0.01

0.07

PROB_BK

0.39

0.48

0.28

0.45

0.05

0.21

INSP_AGE

453.11

289.12

471.96

309.79

506.82

299.24

Financial Accounting Variables

EQ_ASSET

6.65

2.12

8.12

1.77

8.66

2.21

PD90_ASSET

0.35

0.49

0.19

0.25

0.14

0.18

NA_ASSET

1.69

1.82

1.08

1.28

0.40

0.40

LLR_ASSET

1.42

0.89

1.39

0.74

0.95

0.36

LPROV_ASSET

0.51

0.74

0.27

0.49

0.17

0.25

CHARG_ASSET

0.51

0.63

0.37

0.51

0.18

0.27

ROA

0.36

1.41

0.89

0.98

1.13

0.51

LIQ_ASSET

7.23

3.78

19.87

14.76

28.58

10.61

TD100_ASSET

10.45

5.79

6.23

4.46

9.76

6.06

Financial Market Variables

COVAR_PRICE

7.12

6.40

5.19

4.12

6.18

6.17

EX_RETURN

0.01

0.22

0.02

0.17

0.01

0.18

STD_RETURN

0.03

0.03

0.03

0.02

0.02

0.01

MKT_BK

1.05

1.32

1.37

0.48

2.07

0.96

TURNOVER

12.21

13.12

12.95

12.67

11.35

13.18

Number of Observations

1,295

 

787

 

1,452

 

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