Table 5
PFMOLS estimates of equations (7.1) and (7.2)
|
Regressors |
(1) |
(2) |
Size |
Liquidity |
Capitalisation | |||
|
(3) |
(4) |
(5) |
(6) |
(7) |
(8) | |||
|
ln(D / P)u |
0.615 (24.83) |
0.721 (28.99) |
0.676 (14.61) |
0.490 (10.86) |
0.633 (18.38) |
0.717 (21.34) |
0.409 (14.97) |
0.713 (26.26) |
|
ln(D / P∖t. zit |
0.156 (8.16) |
0.049 |
-0.051 (-0.75) |
0.027 |
-3.947 (-16.23) |
-0.747 (-6.97) | ||
|
ln(K / P)u |
0.156 |
-0.525 (-10.11) |
0.130 (2.74) |
0.470 | ||||
|
ln( K / P )lt. z1t |
-0.101 (-3.03) |
0.022 (0.13) |
6.462 (12.14) | |||||
|
lt |
19.318 (15.00) |
16.734 (12.96) |
17.953 (16.14) |
22.262 (18.91) |
14.787 (12.10) |
12.839 (10.34) |
22.187 |
16.617 (12.40) |
|
ltzit |
0.523 (0.81) |
101.926 (8.40) |
111.513 (9.30) |
24.639 (1.79) | ||||
|
st |
-15.905 (-11.85) |
-14.442 (-10.77) |
-11.767 (-10.22) |
-16.110 (-13.24) |
-11.835 (-9.55) |
-10.801 (-8.59) |
-17.096 (-13.63) |
-13.595 (-10.08) |
|
stzit |
-1.410 (-2.26) |
-72.969 (-6.38) |
-79.466 (-7.10) |
13.953 | ||||
|
πt |
-2.504 (-2.24) |
-1.114 (-1.02) |
-7.538 (-7.66) |
-6.476 (-6.45) |
-0.470 (-0.45) |
0.635 (0.61) |
-5.114 (-4.70) |
-3.069 (-2.76) |
|
zit |
0.411 (5.04) |
0.214 |
-8.213 (-13.27) |
-9.005 (-14.26) |
-6.589 (-5.15) |
-0.444 (-1.32) | ||
|
Spread restriction |
(4.30) |
(2.98) |
— |
(8.79) |
— |
— |
— |
(3.81) |
Legend:
t-statistics in parenthesis.
ln(D/ P) = natural log of total deposits deflated by the consumer price index
ln(K/ P) = natural log of total capital deflated by the consumer price index
lt = interest rate on long term loans in decimals (five year loans)
st = short term interest rate on Portuguese money market in decimals (Lisbor)
πt = inflation rate in decimals (fourth differences of log CPI)
zit = measure of bank specific characteristic (size, liquidity or capitalisation)
29