Table 4b
Management Rating for Next 12 Months Prediction
Logistic Regressions
FDIC Survey Data 1998-2001
| |
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 |
-3.2464 *** |
(0.4409) |
-1.4971 *** |
(0.4796) |
-0.1521 |
(0.5744) |
-0.3912 |
(0.5454) |
| Intercept 2 |
-0.0023 |
(0.4362) |
2.2018 *** |
(0.4799) |
4.5996 *** |
(0.5809) |
4.2996 *** |
(0.5507) |
| Equity |
-0.0470 *** |
(0.0085) |
-0.0421 *** |
(0.0087) |
-0.0303 *** |
(0.0102) |
-0.0303 *** |
(0.0100) |
| Allowance for loan losses |
0.1169 |
(0.0856) |
0.0022 |
(0.0872) |
-0.0820 |
(0.1026) |
-0.0464 |
(0.1005) |
| Loans past due 30-89 days |
0.4165 *** |
(0.0390) |
0.3274 *** |
(0.0411) |
0.2871 *** |
(0.0468) |
0.2963 *** |
(0.0461) |
| Loans past due 90 days or more |
0.6349 *** |
(0.0893) |
0.4871 *** |
(0.0924) |
0.5262 *** |
(0.1032) |
0.5695 *** |
(0.1022) |
| Nonaccrual loans and leases |
0.7168 *** |
(0.0607) |
0.5006 *** |
(0.0640) |
0.3452 *** |
(0.0723) |
0.3774 *** |
(0.0700) |
| Other real estate owned |
0.7367 *** |
(0.1160) |
0.5391 *** |
(0.1218) |
0.2836 ** |
(0.1292) |
0.3064 ** |
(0.1279) |
| Volatile liabilities |
0.0065 ** |
(0.0030) |
0.0094 *** |
(0.0031) |
0.0070 * |
(0.0036) |
0.0059 |
(0.0036) |
| Liquid assets |
0.0038 |
(0.0037) |
0.0020 |
(0.0039) |
-0.0001 |
(0.0046) |
-0.0001 |
(0.0045) |
| Loans and securities with maturities of 5 years or more |
0.0013 |
(0.0041) |
-0.0019 |
(0.0043) |
-0.0027 |
(0.0051) |
-0.0021 |
(0.0050) |
| Gross charge-offs on loans & leases |
-0.1387 |
(0.1387) |
-0.2191 * |
(0.1257) |
-0.3369 ** |
(0.1446) |
-0.3088 ** |
(0.1399) |
| Provisions for loan & lease losses |
0.4143 *** |
(0.1260) |
0.3260 ** |
(0.1296) |
0.3896 *** |
(0.1394) |
0.3672 *** |
(0.1382) |
| Income before taxes and extraordinary items |
-0.9127 *** |
(0.0424) |
-0.8680 *** |
(0.0441) |
-0.4569 *** |
(0.0478) |
-0.4427 *** |
(0.0473) |
| State personal-income growth, lag 1 |
0.0776 *** |
(0.0208) |
0.0884 *** |
(0.0216) |
0.0491 * |
(0.0258) |
0.0416 |
(0.0256) |
| State personal-income growth, lag 2 |
0.0923 *** |
(0.0204) |
0.1054 *** |
(0.0212) |
0.0917 *** |
(0.0254) |
0.0843 *** |
(0.0252) |
| State personal-income growth, lag 3 |
-0.0117 |
(0.0257) |
-0.0236 |
(0.0268) |
-0.0258 |
(0.0320) |
-0.0178 |
(0.0317) |
| State personal-income growth, lag 4 |
-0.0101 |
(0.0236) |
-0.0228 |
(0.0245) |
-0.0145 |
(0.0292) |
-0.0097 |
(0.0290) |
| State personal-income growth, lag 5 |
0.0290 |
(0.0238) |
0.0230 |
(0.0248) |
0.0460 |
(0.0296) |
0.0492 * |
(0.0293) |
| Composite CAMELS dummy 1 |
|
|
|
|
-5.8093 *** |
(0.1688) |
-6.1199 *** |
(0.1536) |
| Composite CAMELS dummy 2 |
|
|
|
|
-2.6227 *** |
(0.1343) |
-2.8071 *** |
(0.1225)/td>
|
| Concentrations of credit dummy 1 |
|
|
-0.3316 *** |
(0.0925) |
-0.1929 * |
(0.1100) |
|
|
| Concentrations of credit dummy 3 |
|
|
-0.0734 |
(0.1462) |
0.0121 |
(0.1709) |
|
|
| Fail-to-adjust pricing dummy 1 |
|
|
-0.0299 |
(0.1151) |
0.0613 |
(0.1322) |
|
|
| Fail-to-adjust pricing dummy 3 |
|
|
0.8753 *** |
(0.2539) |
0.8527 *** |
(0.2794) |
|
|
| Principal reduction dummy 1 |
|
|
-0.3406 *** |
(0.0924) |
-0.1581 |
(0.1071) |
|
|
| Principal reduction dummy 3 |
|
|
-0.1008 |
(0.2186) |
-0.1759 |
(0.2381) |
|
|
| Written policies versus practices dummy 1 |
|
|
-0.3648 *** |
(0.0944) |
0.1044 |
(0.1102) |
|
|
| Written policies versus practices dummy 3 |
|
|
0.2319 |
(0.2120) |
0.1525 |
(0.2305) |
|
|
| Current underwriting practices dummy 1 |
|
|
-0.1143 |
(0.1079) |
0.0718 |
(0.1267) |
|
|
| Current underwriting practices dummy 3 |
|
|
0.4949 ** |
(0.2475) |
-0.1799 |
(0.2636) |
|
|
| Portfolio credit risk dummy 1 |
|
|
-0.3131 *** |
(0.0990) |
-0.1405 |
(0.1167) |
|
|
| Portfolio credit risk dummy 3 |
|
|
0.0307 |
(0.2242) |
-0.1769 |
(0.2407) |
|
|
| Loan administration dummy 1 |
|
|
-0.8780 *** |
(0.0965) |
-0.3749 *** |
(0.1132) |
|
|
| Loan administration dummy 3 |
|
|
0.6612 *** |
(0.2091) |
0.4272 * |
(0.2305) |
|
|
| Akaike Information Criteria |
7,156.96 |
|
6,551.42 |
|
4,824.15 |
|
4,846.22 |
|
| Somers' D Statistic |
56.2% |
|
64.7% |
|
81.3% |
|
80.8% |
|
| -2 x log likelihood, L(specification) |
7,118.96 |
|
6,485.42 |
|
4,754.15 |
|
4,804.22 |
|
| 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 |
633.54, 7, 14.07 |
|
|
|
|
|
50.07, 7, 14.07 |
|
* indicates significance at 10% level, ** indicates signifcance at 5% level
and *** indicates significance at 1% level
