Table 4a.
Management 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 |
-2.3644 *** |
(0.5764) |
-0.6106 |
(0.6265) |
0.6608 |
(0.7412) |
0.3989 |
(0.7084) |
| Intercept 2 |
0.9232 |
(0.5718) |
3.0220 *** |
(0.6273) |
5.2142 *** |
(0.7530) |
4.9206 *** |
(0.7194) |
| Equity |
-0.0105 |
(0.0113) |
-0.0128 |
(0.0117) |
0.0055 |
(0.0121) |
0.0068 |
(0.0119) |
| Allowance for loan losses |
0.0395 |
(0.1041) |
0.0421 |
(0.1087) |
-0.0948 |
(0.1232) |
-0.1117 |
(0.1210) |
| Loans past due 30-89 days |
0.4284 *** |
(0.0521) |
0.3022 *** |
(0.0539) |
0.3125 *** |
(0.0613) |
0.3325 *** |
(0.0606) |
| Loans past due 90 days or more |
0.4731 *** |
(0.1125) |
0.3223 *** |
(0.1103) |
0.3077 ** |
(0.1263) |
0.3457 *** |
(0.1274) |
| Nonaccrual loans and leases |
0.6573 *** |
(0.0765) |
0.4546 *** |
(0.0790) |
0.2609 *** |
(0.0859) |
0.2806 *** |
(0.0839) |
| Other real estate owned |
0.7736 *** |
(0.1393) |
0.6424 *** |
(0.1404) |
0.3602 *** |
(0.1344) |
0.3609 *** |
(0.1304) |
| Volatile liabilities |
0.0092 ** |
(0.0042) |
0.0127 *** |
(0.0044) |
0.0011 |
(0.0050) |
-0.0007 |
(0.0050) |
| Liquid assets |
-0.0022 |
(0.0050) |
-0.0089 * |
(0.0053) |
-0.0863 |
(0.0062) |
-0.0064 |
(0.0061) |
| Loans and securities with maturities of 5 years or more |
-0.0055 |
(0.0054) |
-0.0128 ** |
(0.0056) |
-0.0101 |
(0.0066) |
-0.0080 |
(0.0066) |
| Gross charge-offs on loans & leases |
0.1855 |
(0.1719) |
0.0592 |
(0.1680) |
-0.1549 |
(0.1752) |
-0.1435 |
(0.1748) |
| Provisions for loan & lease losses |
0.2536 |
(0.1597) |
0.2728 * |
(0.1522) |
0.2922 * |
(0.1607) |
0.2776 * |
(0.1606) |
| Income before taxes and extraordinary items |
-0.9734 *** |
(0.0681) |
-0.0893 *** |
(0.0685) |
-0.5014 *** |
(0.0718) |
-0.5044 *** |
(0.0706) |
| State personal-income growth, lag 1 |
0.0197 |
(0.0322) |
0.0222 |
(0.0334) |
-0.0166 |
(0.0398) |
-0.0161 |
(0.0395) |
| State personal-income growth, lag 2 |
-0.0038 |
(0.0343) |
-0.0092 |
(0.0356) |
-0.0075 |
(0.0422) |
-0.0070 |
(0.0421) |
| State personal-income growth, lag 3 |
0.0608 * |
(0.0363) |
0.0392 |
(0.0380) |
0.0659 |
(0.0450) |
0.0682 |
(0.0446) |
| State personal-income growth, lag 4 |
-0.0109 |
(0.0272) |
-0.0174 |
(0.0282) |
-0.0262 |
(0.0330) |
-0.0249 |
(0.0329) |
| State personal-income growth, lag 5 |
-0.0628 ** |
(0.0262) |
-0.0640 ** |
(0.0272) |
-0.0474 |
(0.0320) |
-0.0431 |
(0.0318) |
| Composite CAMELS dummy 1 |
|
|
|
|
-5.4436 *** |
(0.2262) |
-5.6733 *** |
(0.2047) |
| Composite CAMELS dummy 2 |
|
|
|
|
-2.3823 *** |
(0.1867) |
-2.5035 *** |
(0.1704) |
| Concentrations of credit dummy 1 |
|
|
-0.1293 |
(0.1270) |
0.0947 |
(0.1469) |
|
|
| Concentrations of credit dummy 3 |
|
|
-0.0981 |
(0.1953) |
0.0416 |
(0.2255) |
|
|
| Fail-to-adjust pricing dummy 1 |
|
|
-0.2739 *** |
(0.1048) |
-0.1789 |
(0.1233) |
|
|
| Fail-to-adjust pricing dummy 3 |
|
|
0.0252 |
(0.2050) |
-0.0048 |
(0.2329) |
|
|
| Principal reduction dummy 1 |
|
|
-0.2824 *** |
(0.0977) |
-0.0723 |
(0.1158) |
|
|
| Principal reduction dummy 3 |
|
|
0.3843 * |
(0.2109) |
0.2479 |
(0.2326) |
|
|
| Written policies versus practices dummy 1 |
|
|
-0.5265 *** |
(0.1126) |
-0.0191 |
(0.1320) |
|
|
| Written policies versus practices dummy 3 |
|
|
0.1761 |
(0.2417) |
-0.1514 |
(0.2608) |
|
|
| Current underwriting practices dummy 1 |
|
|
-0.1733 |
(0.1404) |
-0.0167 |
(0.1726) |
|
|
| Current underwriting practices dummy 3 |
|
|
0.0054 |
(0.1971) |
-0.1639 |
(0.2192) |
|
|
| Portfolio credit risk dummy 1 |
|
|
-0.2932 ** |
(0.1291) |
-0.1369 |
(0.1568) |
|
|
| Portfolio credit risk dummy 3 |
|
|
0.0485 |
(0.1796) |
-0.1006 |
(0.2008) |
|
|
| Loan administration dummy 1 |
|
|
-0.4674 *** |
(0.1194) |
-0.1074 |
(0.1476) |
|
|
| Loan administration dummy 3 |
|
|
0.6598 *** |
(0.1723) |
0.3053 |
(0.1930) |
|
|
| Akaike Information Criteria |
4,172.93 |
|
3,890.73 |
|
2,956.62 |
|
2,943.49 |
|
| Somers' D Statistic |
54.0% |
|
61.4% |
|
78.6% |
|
78.7% |
|
| -2 x log likelihood, L(specification) |
4,134.93 |
|
3,824.73 |
|
2,886.62 |
|
2,901.49 |
|
| 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 |
310.20, 7, 14.07 |
|
|
|
|
|
14.87, 7, 14.07 |
|
* indicates significance at 10% level, ** indicates signifcance at 5% level
and *** indicates significance at 1% level
