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 | −0.28*** | −0.21*** | −0.12*** | −0.11*** | −0.37*** | −0.20*** | −0.98 | 3.94 | 0.21 | |
Z-SCORE | + | −0.0001 | −0.00007 | 0.0007 | ||||||
CAPITALR | + | 0.21*** | 0.17*** | 0.08** | 0.12*** | |||||
RESERVE | + | 0.01** | 0.02*** | −0.06 | −0.05 | |||||
ROA | + | −0.003 | −0.005 | 0.03 | ||||||
MANAGEMENT1 | − | 0.12*** | 0.15*** | 0.2*** | 0.2*** | |||||
LIQUIDITY1 | + | 0.01 | −0.1*** | 0.04*** | −0.08*** | −0.02 | −0.02 | |||
DOUBTFUL | − | 0.03*** | 0.42 | |||||||
ROE | + | 0.003** | 0.002 | −0.03 | ||||||
MANAGEMENT2 | − | 0.11** | 0.07* | |||||||
LIQUIDITY2 | + | −0.02 | −0.02*** | 0.1 | ||||||
SIZE | −0.04* | 0.002 | −0.04* | −0.03* | −0.003 | 0.003 | ||||
LOAN | 0.03* | 0.05*** | 0.14*** | 0.12*** | −0.003 | 0.04*** | 0.45** | 1.94* | 0.38 | |
EXPOSURE | −0.001*** | −0.01*** | −0.01*** | −0.01*** | −0.01*** | −0.01*** | ||||
CETES | 0.01* | 0.02** | 0.002 | 0.01 | 0.02** | 0.02*** | 0.02 | −0.08 | 0.007 | |
Commercial banks | −0.20 | −0.23 | 0.02 | −0.14 | −0.28* | 0.06 | −0.02 | |||
Retail banks | −0.98*** | −0.73*** | −0.54* | −0.4* | −0.98*** | −0.34* | ||||
Investment banks | −0.39* | −0.27 | 0.08 | 0.06 | −0.51*** | 0.006 | ||||
Year 2010 | −0.06*** | −0.03** | −0.04*** | −0.06*** | −0.03** | −0.03*** | ||||
Year 2011 | −0.05*** | −0.03* | −0.08*** | −0.09*** | −0.03** | −0.03*** | ||||
Year 2012 | −0.11*** | −0.05* | −0.12*** | −0.1*** | −0.07*** | −0.04* | −0.03 | −0.07 | −0.04 | |
Period | December 2008–September 2012 | |||||||||
Observations | 422 | 502 | 383 | 436 | 421 | 501 | 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) | 20.95 (0.98) | 22.15 (0.97) | 9.67 (1.00) | 16.71 (0.99) | 17.76 (0.99) | 16.65 (0.99) | 1.24e28 (1.00) | 2.19e25 (1.00) | 5.65e28 (1.00) | |
First order serial correlation test (p value) | −1.52 (0.13) | −2.23 (0.03) | −1.9 (0.05) | −2.32 (0.02) | −1.56 (0.12) | −2.26 (0.02) | −0.52 (0.60) | −0.36 (0.72) | −0.59 (0.55) | |
Second order serial correlation test (p value) | −1.28 (0.20) | −2.46 (0.01) | −0.98 (0.32) | −1.8 (0.07) | −1.31 (0.19) | −2.32 (0.02) | −0.58 (0.56) | −0.31 (0.75) | −0.02 (0.98) |
Predesign | Commercial | Retail | Investment | |||||||
---|---|---|---|---|---|---|---|---|---|---|
(10) | (11) | (12) | (13) | (14) | (15) | (16) | (17) | (18) | ||
Lagged dependent | −1.11* | −0.89 | −1.48 | 1.95 | 2.09 | −1.31 | 0.004 | 0.14 | −2.81 | |
Z-SCORE | + | 0.001 | −0.04* | −0.002 | ||||||
CAPITALR | + | 01* | 0.03 | 0.89* | 0.05 | 0.25 | 0.13 | |||
RESERVE | + | −0.03 | −0.03 | −3.54 | 7.29 | |||||
ROA | + | −0.02 | −0.44 | −0.29 | ||||||
MANAGEMENT1 | − | 0.23** | −3.5 | |||||||
LIQUIDITY1 | + | 0.03 | 0.03 | 0.25 | 0.09 | −0.18 | 0.49 | |||
DOUBTFUL | − | 0.04 | −0.13 | |||||||
ROE | + | 0.004 | −0.003 | −0.002 | ||||||
MANAGEMENT2 | − | 0.3 | ||||||||
LIQUIDITY2 | + | 0.04 | −0.32* | |||||||
SIZE | 0.02 | −0.06 | −0.02 | 2.26 | −3.02* | 1.58 | ||||
LOAN | 0.25 | 0.17 | 0.51 | 34.6 | −0.46 | 0.73 | 0.05 | 0.21 | 0.73 | |
EXPOSURE | −0.001 | −0.01* | −0.002 | −0.01** | ||||||
CETES | −0.001 | −0.01 | 0.001 | −0.67 | 0.24*** | 0.02 | −0.04 | 0.04 | ||
Year 2010 | 0.02 | 0.004 | 0.03 | |||||||
Year 2011 | 0.04 | −0.01 | 0.04 | |||||||
Year 2012 | 0.04 | −0.02 | 0.02 | 0.23 | −0.17 | −0.41 | 0.12 | 0.39* | 11.69 | |
Period | December 2008–September 2012 | |||||||||
Observations | 178 | 158 | 178 | 115 | 100 | 110 | 90 | 88 | 90 | |
N × T | 14 × 15 | 12 × 15 | 14 × 15 | 9 × 15 | 8 × 15 | 9 × 15 | 7 × 15 | 7 × 15 | 7 × 15 | |
Sargan test (p value) | 1.82 (1.00) | 2.03e25 (1.00) | 0.92 (1.00) | 8.41e19 (1.00) | 4.34e26 (1.00) | 2.93e21 (1.00) | 5.17e26 (1.00) | 1.68e−27 (1.00) | 1.36e25 (1.00) | |
First order serial correlation test (p value) | 0.79 (0.43) | 0.005 (0.99) | 0.7 (0.48) | −0.2 (0.84) | −0.92 (0.36) | 0.92 (0.36) | −1.39 (0.16) | −1.21 (0.23) | −0.46 (0.64) | |
Second order serial correlation test (p value) | −1.77 (0.08) | −1.74 (0.08) | −1.16 (0.24) | – | 0.71 (0.48) | −0.47 (0.64) | −0.22 (0.83) | −0.16 (0.87) | −0.75 (0.45) |