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Table 6: Empirical Results across Different Interest Margins 1/ 2/
Variable Name Lags 3/ (1) (2) (3) (4) (5) (6) (7)
UninsDep L1D 0.382***
(0.064)
0.394***
(0.064)
0.368***
(0.067)
0.374***
(0.065)
0.348***
(0.067)
0.352***
(0.066)
0.353***
(0.066)
L2D 0.025
(0.036)
0.024
(0.037)
0.021
(0.036)
0.029
(0.036)
0.024
(0.036)
0.026
(0.036)
0.027
(0.036)
L3D -0.002
(0.030)
-0.005
(0.030)
0.004
(0.031)
0.008
(0.030)
0.005
(0.030)
0.006
(0.030)
0.006
(0.030)
UninsIntMarg D 0.880*
(0.497)
... ... 2.200**
(0.904)
0.197
(0.233)
... -0.496
(0.558)
JumboIntMarg   ... 0.061
(0.312)
... -1.953**
(0.942)
... 0.285
(0.268)
0.818
(0.709)
DepIntMarg   ... ... -2.298**
(1.056)
... -2.315**
(0.989)
-2.505***
(0.975)
-3.073**
(1.355)
Size D 9.721***
(2.340)
9.914***
(2.321)
9.574***
(2.126)
9.697***
(2.245)
9.829***
(2.211)
9.871***
(2.223)
9.881***
(2.226)
Equity L1D 0.445***
(0.133)
0.460***
(0.128)
0.373***
(0.129)
0.394***
(0.127)
0.379***
(0.127)
0.384***
(0.127)
0.387***
(0.129)
NonCLoans L1D -0.046
(0.040)
-0.012
(0.041)
-0.070*
(0.042)
-0.073*
(0.040)
-0.086**
(0.041)
-0.085**
(0.041)
-0.087**
(0.043)
ResidLoans L1D 0.061**
(0.031)
0.056*
(0.031)
0.061**
(0.031)
0.067**
(0.031)
0.061**
(0.031)
0.059*
(0.031)
0.059*
(0.031)
LoansLeases L1D 0.038*
(0.021)
0.033*
(0.018)
0.040**
(0.018)
0.034**
(0.018)
0.036**
(0.018)
0.039**
(0.018)
0.040**
(0.018)
GDP D 0.245***
(0.047)
0.212***
(0.043)
0.196***
(0.042)
0.279***
(0.052)
0.226***
(0.042)
0.210***
(0.042)
0.185***
(0.043)
L1D 0.090*
(0.049)
0.062
(0.050)
0.086*
(0.050)
0.135***
(0.052)
0.114**
(0.050)
0.106**
(0.050)
0.095**
(0.046)
Infl D 0.599***
(0.187)
0.563***
(0.170)
0.456***
(0.171)
0.461**
(0.189)
0.520***
(0.175)
0.489***
(0.167)
0.438**
(0.173)
Treas_1 D -0.474***
(0.146)
-0.277***
(0.094)
-0.294***
(0.090)
-0.725***
(0.215)
-0.391***
(0.098)
-0.336***
(0.090)
-0.214**
(0.100)
Cons -0.048
(0.124)
-0.021
(0.124)
0.005
(0.123)
-0.111
(0.124)
-0.019
(0.125)
-0.008
(0.123)
0.018
(0.125)
Obs. 12,826 12,826 12,826 12,826 12,826 12,826 12,826
Banks 1,863 1,863 1,863 1,863 1,863 1,863 1,863
AB test of no AR(1)
Pr > z =
0.000 0.000 0.000 0.000 0.000 0.000 0.000
AB test of no AR(2)
Pr > z =
0.597 0.730 0.941 0.742 0.782 0.758 0.755
Sargan test of over-identification 4/
Pr > chi2 =
0.1463 0.0397 0.0006 0.0001 0.0002 0.0000 0.0000

1/ Model with endogenous price mechanism.
2/ Coefficients from first-step robust estimations, unless specified otherwise.
3/ LiD = in first difference with i lag(s); and D = in first difference.
4/ Sargan test is based on two-step regression results.

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