Table 3a
Asset Quality 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 |
-5.0433 *** |
(0.6415) |
-3.5824 *** |
(0.7029) |
-1.3509 * |
(0.7819) |
-1.6506 ** |
(0.7448) |
| Intercept 2 |
-1.9807 *** |
(0.6296) |
-0.2155 |
(0.6933) |
2.6114 *** |
(0.7863) |
2.2749 *** |
(0.7491) |
| Equity |
-0.0530 *** |
(0.0134) |
-0.0538 *** |
(0.0140) |
-0.0265 * |
(0.0141) |
-0.0240 * |
xxx |
| Allowance for loan losses |
0.4428 *** |
(0.1113) |
0.4001 *** |
(0.1151) |
0.1066 |
(0.1235) |
0.0783 |
(0.1213) |
| Loans past due 30-89 days |
0.4561 *** |
(0.0536) |
0.3414 *** |
(0.0561) |
0.3180 *** |
(0.0608) |
0.3430 *** |
(0.0598) |
| Loans past due 90 days or more |
0.5949 *** |
(0.1206) |
0.4589 *** |
(0.1182) |
0.4213 *** |
(0.1250) |
0.4567 *** |
(0.1262) |
| Nonaccrual loans and leases |
1.1681 *** |
(0.0880) |
0.9364 *** |
(0.0888) |
0.5105 *** |
(0.0940) |
0.5196 *** |
(0.0936) |
| Other real estate owned |
1.1672 *** |
(0.1613) |
0.9804 *** |
(0.1693) |
0.4466 *** |
(0.1634) |
0.4466 *** |
(0.1563) |
| Volatile liabilities |
0.0010 |
(0.0046) |
0.0042 |
(0.0048) |
0.0031 |
(0.0052) |
0.0025 |
(0.0051) |
| Liquid assets |
0.0017 |
(0.0055) |
-0.0037 |
(0.0059) |
-0.0055 |
(0.0064) |
-0.0048 |
(0.0063) |
| Loans and securities with maturities of 5 years or more |
0.0096 |
(0.0060) |
0.0043 |
(0.0064) |
0.0042 |
(0.0069) |
0.0059 |
(0.0068) |
| Gross charge-offs on loans & leases |
0.4576 ** |
(0.1843) |
0.3358 * |
(0.1719) |
0.0010 |
(0.1628) |
-0.0051 |
(0.0010) |
| Provisions for loan & lease losses |
-0.0209 |
(0.2007) |
-0.1239 |
(0.1641) |
0.0317 |
(0.1611) |
0.0317 |
(0.1638) |
| Income before taxes and extraordinary items |
-0.5027 *** |
(0.0719) |
-0.4193 *** |
(0.0712) |
-0.1533 ** |
(0.0743) |
-0.1541 ** |
(0.0739) |
| State personal-income growth, lag 1 |
0.0403 |
(0.0349) |
0.0452 |
(0.0364) |
0.0659 * |
(0.0396) |
0.0692 * |
(0.0394) |
| State personal-income growth, lag 2 |
-0.0052 |
(0.0373) |
-0.0191 |
(0.0389) |
-0.0011 |
(0.0426) |
0.0063 |
(0.0423) |
| State personal-income growth, lag 3 |
0.1004 ** |
(0.0400) |
0.0700 * |
(0.0418) |
0.1001 ** |
(0.0461) |
0.1098 ** |
(0.0458) |
| State personal-income growth, lag 4 |
0.0109 |
(0.0296) |
-0.0032 |
(0.0309) |
-0.0072 |
(0.0335) |
-0.0050 |
(0.0334) |
| State personal-income growth, lag 5 |
-0.0612 ** |
(0.0286) |
-0.0570 * |
(0.0300) |
-0.0738 ** |
(0.0328) |
-0.0761 ** |
(0.0326) |
| Composite CAMELS dummy 1 |
|
|
|
|
-4.4103 *** |
(0.2709) |
-4.8278 *** |
(0.2407) |
| Composite CAMELS dummy 2 |
|
|
|
|
-1.9780 *** |
(0.2336) |
-2.1607 *** |
(0.2129) |
| Concentrations of credit dummy 1 |
|
|
-0.1930 |
(0.1338) |
-0.1672 |
(0.1467) |
|
|
| Concentrations of credit dummy 3 |
|
|
0.9020 |
(0.2052) |
-0.0230 |
(0.2239) |
|
|
| Fail-to-adjust pricing dummy 1 |
|
|
-0.2734 ** |
(0.1122) |
-0.1256 |
(0.1245) |
|
|
| Fail-to-adjust pricing dummy 3 |
|
|
-0.2843 |
(0.2095) |
-0.2022 |
(0.2311) |
|
|
| Principal reduction dummy 1 |
|
|
-0.3490 *** |
(0.1044) |
-0.1127 |
(0.1169) |
|
|
| Principal reduction dummy 3 |
|
|
0.3506 |
(0.2137) |
0.1761 |
(0.2309) |
|
|
| Written policies versus practices dummy 1 |
|
|
-0.2147 * |
(0.1171) |
-0.0625 |
(0.1309) |
|
|
| Written policies versus practices dummy 3 |
|
|
0.0659 |
(0.2442) |
-0.2283 |
(0.2626) |
|
|
| Current underwriting practices dummy 1 |
|
|
-0.1734 |
(0.1689) |
-0.1433 |
(0.1861) |
|
|
| Current underwriting practices dummy 3 |
|
|
0.4647 ** |
(0.1970) |
0.2944 |
(0.2132) |
|
|
| Portfolio credit risk dummy 1 |
|
|
-0.7150 *** |
(0.1496) |
-0.2278 |
(0.1674) |
|
|
| Portfolio credit risk dummy 3 |
|
|
0.2805 |
(0.1799) |
-0.1278 |
(0.1980) |
|
|
| Loan administration dummy 1 |
|
|
-0.1503 |
(0.1389) |
-0.0053 |
(0.1538) |
|
|
| Loan administration dummy 3 |
|
|
0.5469 *** |
(0.1711) |
0.2209 |
(0.1893) |
|
|
| Akaike Information Criteria |
3,557.07 |
|
3,291.75 |
|
2,821.08 |
|
2,817.89 |
|
| Somers' D Statistic |
61.8% |
|
67.7% |
|
77.0% |
|
76.6% |
|
| -2 x log likelihood, L(specification) |
3,519.07 |
|
3,225.75 |
|
2,751.08 |
|
2,775.89 |
|
| 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 |
293.32, 7, 14.07 |
|
|
|
|
|
24.81, 7, 14.07 |
|
* indicates significance at 10% level, ** indicates signifcance at 5% level
and *** indicates significance at 1% level
