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 | 0.73*** | 0.62*** | 0.94*** | 0.84*** | 0.81*** | 0.61*** | −1.63 | −1.18 | −0.87 | |
Z-SCORE | + | 0.00003 | −0.001 | −0.0006 | ||||||
CAPITALR | + | −0.05 | −0.03* | −0.09*** | −0.05 | |||||
RESERVE | + | 0.1*** | 0.09*** | 0.81 | 0.04 | |||||
ROA | + | 0.003 | −0.01** | −0.04 | ||||||
MANAGEMENT1 | − | −0.007 | −0.009 | −0.04 | 0.08** | |||||
LIQUIDITY1 | + | 0.02 | 0.04*** | 0.03* | 0.04*** | −0.09 | −0.004 | |||
DOUBTFUL | − | −0.03*** | 0.08 | |||||||
ROE | + | 0.002** | 0.001* | 0.003 | ||||||
MANAGEMENT2 | − | 0.15*** | 0.12*** | |||||||
LIQUIDITY2 | + | −0.01 | 0.02* | 0.1 | ||||||
SIZE | −0.05 | −0.02 | −0.08** | −0.04* | −0.04** | −0.01 | ||||
LOAN | 0.26*** | 0.22*** | 0.07 | 0.09*** | 0.29*** | 0.2*** | −0.4 | 2.51 | 0.89 | |
EXPOSURE | −0.01*** | −0.01*** | 0.001 | −0.001 | −0.01*** | −0.005*** | ||||
CETES | 0.004 | 0.01* | 0.01*** | 0.01** | 0.0004 | 0.004 | −0.005 | 0.02 | 0.01 | |
Commercial banks | 0.53 | 0.44* | 0.15 | 0.06 | ||||||
Retail banks | 0.24 | 0.07 | 1.08 | −0.05 | −0.19 | |||||
Investment banks | 0.48 | 0.09 | −3.12 | −0.73 | 0.12 | −028* | ||||
Year 2010 | −0.001 | −0.02 | 0.04* | 0.02 | −0.002 | −0.01 | ||||
Year 2011 | 0.05** | 0.04* | 0.08** | 0.06*** | 0.07*** | 0.03 | ||||
Year 2012 | 0.08*** | 0.08*** | 0.09* | 0.09*** | 0.1*** | 0.06** | −0.15 | −0.04 | −0.02 | |
Period | December 2008–September 2012 | |||||||||
Observations | 387 | 439 | 359 | 399 | 387 | 439 | 105 | 105 | 105 | |
N × T | 28 × 15 | 31 × 15 | 26 × 15 | 29 × 15 | 28 × 15 | 31 × 15 | 7 × 15 | 7 × 15 | 7 × 15 | |
Sargan test (p value) | 8.72 (1.00) | 11.18 (1.00) | 11.26 (1.00) | 13.78 (0.99) | 13.1 (0.99) | 15.8 (0.99) | 6.31e24 (1.00) | 6.89e26 (1.00) | 7.87e28 (1.00) | |
First order serial correlation test (p value) | −2.02 (0.04) | −2.25 (0.02) | −3.92 (0.0001) | −3.02 (0.003) | −2.18 (0.03) | −2.25 (0.02) | 0.69 (0.49) | 0.39 (0.69) | 0.77 (0.44) | |
Second order serial correlation test (p value) | −0.58 (0.55) | −0.84 (0.4) | 0.47 (0.63) | −0.23 (0.82) | −0.95 (0.34) | −0.87 (0.38) | −0.13 (0.89) | −0.42 (0.67) | −0.22 (0.82) |
Predesign | Commercial | Retail | Investment | |||||||
---|---|---|---|---|---|---|---|---|---|---|
(10) | (11) | (12) | (13) | (14) | (15) | (16) | (17) | (18) | ||
Lagged dependent | 0.03 | 5.02 | 0.15 | 0.79 | −0.73 | −2.22 | −10.35 | −0.67 | 6.07 | |
Z-SCORE | + | −0.001 | 0.03 | 0.03 | ||||||
CAPITALR | + | 0.002 | 0.77 | 0.66 | 0.45 | 9.22 | ||||
RESERVE | + | 0.1** | 0.07 | 0.9 | ||||||
ROA | + | −0.37** | −0.01 | |||||||
MANAGEMENT1 | − | −3.76** | 0.24 | |||||||
LIQUIDITY1 | + | 0.07 | −0.04 | −0.003 | −0.06 | −1.03 | 0.21* | |||
DOUBTFUL | − | −0.12 | ||||||||
ROE | + | 0.01 | −0.0004 | 0.004 | ||||||
MANAGEMENT2 | − | 0.85 | ||||||||
LIQUIDITY2 | + | −0.16 | 0.05 | 0.08 | ||||||
SIZE | −0.47 | 0.94 | 0.04 | |||||||
LOAN | 0.35 | 3.85 | 0.42** | 1.08 | −0.26 | −0.44 | 3.1 | 0.006 | −0.35 | |
EXPOSURE | −0.02*** | −0.01** | ||||||||
CETES | 0.03* | −0.02 | 0.02 | −0.03 | −0.04 | −0.11 | ||||
Year 2010 | −0.52 | −0.5 | −0.06 | |||||||
Year 2011 | −0.42 | 0.7 | −0.07 | |||||||
Year 2012 | −0.36 | −0.62 | −0.08 | |||||||
Period | December 2008–September 2012 | |||||||||
Observations | 181 | 156 | 181 | 90 | 89 | 90 | 49 | 41 | 49 | |
N × T | 14 × 15 | 12 × 15 | 14 × 15 | 6 × 15 | 6 × 15 | 6 × 15 | 4 × 15 | 4 × 15 | 4 × 15 | |
Sargan test (p value) | 0.01 (1.00) | 4.89e22 (1.00) | 1.98 (1.00) | 1.78e27 (1.00) | 4.94e28 (1.00) | 1.09e26 (1.00) | 8.25e25 (1.00) | 7.92e31 (1.00) | 7.84e28 (1.00) | |
First order serial correlation test (p value) | – | −0.6 (0.55) | −0.32 (0.75) | −0.26 (0.79) | 1.7 (0.09) | 0.51 (0.61) | −2.96 (0.003) | −0.06 (0.95) | −0783 (0.43) | |
Second order serial correlation test (p value) | 1.61 (0.11) | −0.68 (0.5) | −0.82 (0.41) | −0.29 (0.77) | 1.99 (0.05) | 0.4 (0.69) | −0.43 (0.67) | −1.33 (0.18) | – |