Market discipline: a review of the Mexican deposit market

Tovar-García, Edgar Demetrio

doi:10.1007/s40503-014-0006-2

Latin American Economic Review

Table 3 GROWTHDE: quantity-based mechanism of market discipline

From: Market discipline: a review of the Mexican deposit market

	Predesign	Complete sample						G7
	Predesign	(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
	Predesign	(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)

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

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