From: Market discipline: a review of the Mexican deposit market
Predesign | Complete sample | G7 | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
(1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | ||
Lagged dependent | 0.78*** | 0.77*** | 0.78*** | 0.77*** | 0.83*** | 0.78*** | 0.45 | 1.57*** | 1.07*** | |
Z-SCORE | − | −0.001*** | −0.001*** | 0.0006 | ||||||
CAPITALR | − | 0.01 | −0.05*** | 0.03 | −0.08*** | |||||
RESERVE | − | 0.01** | 0.01*** | 0.37 | 0.14* | |||||
ROA | − | −0.001** | −0.006* | −0.71*** | ||||||
MANAGEMENT1 | + | −0.13*** | −0.04** | −0.09*** | −0.07*** | |||||
LIQUIDITY1 | − | −0.04*** | 0.004 | −0.04*** | −0.01* | 0.23 | 0.01 | |||
DOUBTFUL | + | −0.03*** | −0.56** | |||||||
ROE | − | −0.003** | −0.001 | −0.003* | ||||||
MANAGEMENT2 | + | −0.03 | 0.05*** | |||||||
LIQUIDITY2 | − | −0.03*** | 0.001 | −0.11* | ||||||
SIZE | −0.02* | −0.03*** | 0.01 | −0.04*** | −0.02** | −0.03*** | ||||
LOAN | −0.003 | 0.05*** | −0.06*** | 0.02* | −0.001 | 0.05*** | −0.77 | 0.64* | −2.69** | |
EXPOSURE | 0.001*** | 0.0004*** | 0.002*** | 0.001*** | 0.001*** | 0.001*** | ||||
CETES | 0.07*** | 0.06*** | 0.05*** | 0.06*** | 0.07*** | 0.07*** | 0.05 | 0.009 | 0.015 | |
Commercial banks | 0.12 | 0.39 | −0.17 | 0.33* | 0.06 | 0.34*** | ||||
Retail banks | 0.69*** | 0.74*** | 0.29** | 0.68*** | 0.45*** | 0.67*** | ||||
Investment banks | 0.30*** | 0.42** | −0.11 | 0.31*** | 0.17*** | 0.39*** | ||||
Year 2010 | −0.002 | 0.004 | 0.006 | −0.001 | ||||||
Year 2011 | 0.003 | 0.03*** | 0.009** | 0.02*** | 0.01 | 0.02*** | ||||
Year 2012 | 0.01 | 0.04*** | 0.02*** | 0.03*** | 0.03** | 0.04*** | −0.15 | −0.14** | 0.005 | |
Period | December 2008–September 2012 | |||||||||
Observations | 435 | 509 | 392 | 438 | 435 | 509 | 105 | 105 | 105 | |
N × T | 32 × 15 | 37 × 15 | 29 × 15 | 33 × 15 | 32 × 15 | 37 × 15 | 7 × 15 | 7 × 15 | 7 × 15 | |
Sargan test (p value) | 27.61 (0.87) | 34.62 (0.58) | 22.53 (0.97) | 29.37 (0.81) | 25.66 (0.92) | 34.98 (0.56) | 8.30e23 (1.00) | 1.63e26 (1.00) | 3.91e26 (1.00) | |
First order serial correlation test (p value) | −1.56 (0.12) | −1.77 (0.08) | −1.45 (0.14) | −1.37 (0.17) | −1.54 (0.12) | −1.77 (0.08) | −2.87 (0.004) | −0.68 (0.49) | – | |
Second order serial correlation test (p value) | 0.07 (0.94) | −1.52 (0.13) | 0.37 (0.71) | −0.43 (0.67) | 0.08 (0.93) | −1.52 (0.13) | 0.24 (0.81) | 0.13 (0.89) | −1.68 (0.09) |
Predesign | Commercial | Retail | Investment | |||||||
---|---|---|---|---|---|---|---|---|---|---|
(10) | (11) | (12) | (13) | (14) | (15) | (16) | (17) | (18) | ||
Lagged dependent | 0.55*** | 0.35 | 0.83*** | 0.23 | 2.42 | 3.88** | 0.31 | 1.68** | 1.28*** | |
Z-SCORE | − | 0.006* | 0.06 | −0.02 | ||||||
CAPITALR | − | −3.65*** | 0.19 | −1.29 | −1.27 | 0.23 | 0.62 | |||
RESERVE | − | −0.18** | 0.06** | −0.89 | −2.72 | |||||
ROA | − | 0.15** | 0.06 | −0.46 | ||||||
MANAGEMENT1 | + | 0.85 | 1.45** | −6.64 | ||||||
LIQUIDITY1 | − | 0.03 | −0.04 | −0.26* | 0.49 | 0.26 | 0.1* | |||
DOUBTFUL | + | −0.2*** | −0.91 | |||||||
ROE | − | 0.03 | 0.01 | −0.005 | ||||||
MANAGEMENT2 | + | 1.35 | ||||||||
LIQUIDITY2 | − | 0.28 | −0.1 | −0.005 | ||||||
SIZE | −1.87*** | 0.07 | 0.35** | −1.61* | 0.34 | 1.64 | 0.06 | |||
LOAN | −0.37*** | 0.02 | 0.43* | −0.82 | −2.02 | 3.47** | 0.08 | 0.03 | 0.01 | |
EXPOSURE | 0.00002 | −0.02 | 0.001 | |||||||
CETES | 0.20*** | 0.02 | 0.04*** | 0.01 | 0.08 | 0.43 | −2.66 | −0.18 | ||
Year 2010 | 0.14** | 0.03 | ||||||||
Year 2011 | 0.96** | −0.86 | −0.95** | |||||||
Year 2012 | 0.95** | −1.71 | −1.69** | −3.57 | 1.85 | 0.07 | −0.12 | −0.03 | ||
Period | December 2008–September 2012 | |||||||||
Observations | 181 | 156 | 181 | 123 | 109 | 119 | 86 | 62 | 86 | |
N × T | 14 × 15 | 12 × 15 | 14 × 15 | 9 × 15 | 8 × 15 | 9 × 15 | 7 × 15 | 6 × 15 | 7 × 15 | |
Sargan test (p value) | 0.91 (1.00) | 1.25e17 (1.00) | 5.68 (1.00) | 2.26e22 (1.00) | 1.65e22 (1.00) | 4.33e21 (1.00) | 2.63e27 (1.00) | 3.24e21 (1.00) | 1.28e27 (1.00) | |
First order serial correlation test (p value) | −0.35 (0.72) | −0.94 (0.34) | 8.95 (0.00) | 0.17 (0.86) | 0.36 (0.72) | 0.56 (0.57) | 0.84 (0.4) | −0.24 (0.81) | −0.64 (0.52) | |
Second order serial correlation test (p value) | −1.21 (0.22) | −0.13 (0.89) | 0.85 (0.39) | – | 0.46 (0.64) | – | 0.84 (0.4) | 0.26 (0.79) | −1.36 (0.17) |