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Table 4 MATURITYDE: maturity-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

 

0.73***

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)

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