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Table 2 IIRDE: price-based mechanism of market discipline

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)

  1. Regressions are estimated using the dynamic SYS GMM estimator (Blundell and Bond 1998)
  2. *, **, *** Statistical significance at the 10, 5 and 1 % levels