Table 2a
Composite CAMELS Rating for Next 12 Months Prediction
Logistic Regressions
FDIC Survey Data 1996-1998
| |
Specification 1 |
Specification 2 |
Specification 3 |
Specification 4 |
| Explanatory Variable |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
| Intercept 3 |
-3.4875 *** |
(0.6322) |
-1.8018 *** |
(0.6887) |
0.3411 |
(0.8672) |
-0.1626 |
(0.8314) |
| Intercept 2 |
0.7643 |
(0.6200) |
2.8482 *** |
(0.6826) |
6.0667 *** |
(0.8842) |
5.4731 *** |
(0.8449) |
| Equity |
-0.0845 *** |
(0.0137) |
-0.0932 *** |
(0.0146) |
-0.0132 |
(0.0167) |
-0.0082 |
(0.0164) |
| Allowance for loan losses |
0.2870 ** |
(0.1144) |
0.2822 ** |
(0.1203) |
-0.1051 |
(0.1424) |
-0.1059 |
(0.1400) |
| Loans past due 30-89 days |
0.4019 *** |
(0.0556) |
0.2672 *** |
(0.0581) |
0.3131 *** |
(0.0715) |
0.3581 *** |
(0.0695) |
| Loans past due 90 days or more |
0.3989 *** |
(0.1182) |
0.2531 ** |
(0.1188) |
0.2872 ** |
(0.1391) |
0.3377 ** |
(0.1423) |
| Nonaccrual loans and leases |
0.8790 *** |
(0.0849) |
0.6806 *** |
(0.0890) |
0.4132 *** |
(0.1005) |
0.4380 *** |
(0.0980) |
| Other real estate owned |
1.1677 *** |
(0.1597) |
1.0409 *** |
(0.1633) |
0.4772 *** |
(0.1609) |
0.4619 *** |
(0.1514) |
| Volatile liabilities |
0.0127 *** |
(0.0046) |
0.0160 *** |
(0.0048) |
0.0048 |
(0.0060) |
0.0027 |
(0.0059) |
| Liquid assets |
-0.0024 |
(0.0054) |
-0.0084 |
(0.0057) |
-0.0035 |
(0.0072) |
-0.0014 |
(0.0072) |
| Loans and securities with maturities of 5 years or more |
0.0090 |
(0.0058) |
0.0029 |
(0.0061) |
-0.0017 |
(0.0077) |
0.0005 |
(0.0077) |
| Gross charge-offs on loans & leases |
0.1665 |
(0.1851) |
0.0030 |
(0.1837) |
-0.2528 |
(0.1939) |
-0.2225 |
(0.1919) |
| Provisions for loan & lease losses |
0.2955 * |
(0.1698) |
0.3304 * |
(0.1803) |
0.3814 ** |
(0.1744) |
0.3229 * |
(0.1734) |
| Income before taxes and extraordinary items |
-1.4850 *** |
(0.0803) |
-1.4271 *** |
(0.0841) |
-0.6367 *** |
(0.0893) |
-0.6314 *** |
(0.0879) |
| State personal-income growth, lag 1 |
0.0074 |
(0.0346) |
0.0103 |
(0.0363) |
0.0041 |
(0.0457) |
0.0058 |
(0.0453) |
| State personal-income growth, lag 2 |
-0.0050 |
(0.0367) |
-0.0129 |
(0.0384) |
-0.0342 |
(0.0485) |
-0.0296 |
(0.0483) |
| State personal-income growth, lag 3 |
0.0527 |
(0.0389) |
0.0238 |
(0.0409) |
0.0625 |
(0.0520) |
0.0694 |
(0.0513) |
| State personal-income growth, lag 4 |
-0.0194 |
(0.0291) |
-0.0259 |
(0.0305) |
-0.0525 |
(0.0382) |
-0.0508 |
(0.0380) |
| State personal-income growth, lag 5 |
-0.0569 ** |
(0.0281) |
-0.0547 * |
(0.0295) |
-0.0788 ** |
(0.0373) |
-0.0737 ** |
(0.0371) |
| Composite CAMELS dummy 1 |
|
|
|
|
-6.6069 *** |
(0.3037) |
-6.8582 *** |
(0.2850) |
| Composite CAMELS dummy 2 |
|
|
|
|
-3.0459 *** |
(0.2618) |
-3.1515 *** |
(0.2480) |
| Concentrations of credit dummy 1 |
|
|
-0.1187 |
(0.1371) |
0.0256 |
(0.1729) |
|
|
| Concentrations of credit dummy 3 |
|
|
-0.0140 |
(0.2128) |
-0.0880 |
(0.2640) |
|
|
| Fail-to-adjust pricing dummy 1 |
|
|
-0.3832 *** |
(0.1131) |
-0.3032 ** |
(0.1438) |
|
|
| Fail-to-adjust pricing dummy 3 |
|
|
-0.0915 |
(0.2239) |
-0.2768 |
(0.2745) |
|
|
| Principal reduction dummy 1 |
|
|
-0.2410 ** |
(0.1053) |
-0.1171 |
(0.1345) |
|
|
| Principal reduction dummy 3 |
|
|
0.3994 * |
(0.2314) |
0.2375 |
(0.2741) |
|
|
| Written policies versus practices dummy 1 |
|
|
-0.4237 *** |
(0.1205) |
0.0059 |
(0.1543) |
|
|
| Written policies versus practices dummy 3 |
|
|
0.4564 * |
(0.2682) |
0.1354 |
(0.3182) |
|
|
| Current underwriting practices dummy 1 |
|
|
-0.1206 |
(0.1517) |
0.0712 |
(0.1997) |
|
|
| Current underwriting practices dummy 3 |
|
|
0.4282 ** |
(0.2174) |
0.6263 ** |
(0.2555) |
|
|
| Portfolio credit risk dummy 1 |
|
|
-0.3879 *** |
(0.1388) |
-0.2721 |
(0.1824) |
|
|
| Portfolio credit risk dummy 3 |
|
|
0.1406 |
(0.1960) |
-0.2552 |
(0.2327) |
|
|
| Loan administration dummy 1 |
|
|
-0.4847 *** |
(0.1294) |
-0.1457 |
(0.1703) |
|
|
| Loan administration dummy 3 |
|
|
0.2528 |
(0.1849) |
-0.1127 |
(0.2274) |
|
|
| Akaike Information Criteria |
3490.31 |
|
3246.88 |
|
2264.28 |
|
2,261.74 |
|
| Somers' D Statistic |
65.9% |
|
71.2% |
|
83.2% |
|
82.6% |
|
| -2 x log likelihood, L(specification) |
3,452.31 |
|
3,180.88 |
|
2,194.28 |
|
2,219.74 |
|
| Likelihhood-ratio test statistic for significance of survey variables: |
L(1) - L(2) |
|
|
|
|
|
L(4) - L(3) |
|
| Chi-square, degress of freedom, 5 percent critical value |
271.43, 7, 14.07 |
|
|
|
|
|
25.46, 7, 14.07 |
|
* indicates significance at 10% level, ** indicates signifcance at 5% level
and *** indicates significance at 1% level
