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Table 3. Empirical Results
  Without Price Mechanism Exogenous Price Mechanism Endogenous Price Mechanism
Variable Name Lags 1/ One-step Robust
(1)
Two-step
(2)
One-step Robust
(3)
Two-step
(4)
One-step Robust
(5)
Two-step
(6)
UninsDep L1D 0.419*** 0.387*** 0.392*** 0.342*** 0.381*** 0.339***
L2D 0.022 0.026*** 0.025 0.029*** 0.026 0.022**
L3D -0.002 0.003 -0.004 -0.008 -0.001 -0.007
UninsIntMarg D ... ... 0.098 -0.036 0.890* 0.502***
Equity L1D 0.468*** 0.425*** 0.468*** 0.429*** 0.459*** 0.445***
Size D 9.705*** 11.433*** 10.058*** 12.839*** 9.889*** 12.882***
NonCLoans L1D -0.013 0.006 -0.023 0.014 -0.052 0.006
ResidLoans L1D 0.053* 0.037** 0.054* 0.048*** 0.058* 0.049***
GDP D 0.190*** 0.151*** 0.207*** 0.150*** 0.236*** 0.181***
L1D 0.040 0.072*** 0.056 0.087*** 0.080* 0.095***
Infl D 0.496*** 0.147 0.556*** 0.106 0.599*** 0.132
Treas_1 D -0.203** -0.173*** -0.280*** -0.184*** -0.456*** -0.288***
Cons -0.005 -0.066 -0.024 -0.100* -0.047 -0.122**
Obs. 13,085 13,085 12,826 12,826 12,826 12,826
Banks 1,863 1,863 1,863 1,863 1,863 1,863
AB test of no AR(1) Pr > z = 0.00 0.00 0.00 0.00 0.00 0.00
AB test of no AR(2) Pr > z = 0.93 0.95 0.73 0.96 0.60 0.88
Sargan test of over-identification Pr > chi2 = ... 0.02 ... 0.08 ... 0.12

1/ LiD = in first difference with i lag(s); and D = in first difference.

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