Table 3b.
Asset Quality Rating for Next 12 Months Prediction
Logistic Regressions
FDIC Survey Data 1998-2001
| |
Specification 1 |
Specification 2 |
Specification 3 |
Specification 4 |
| Explanatory Variable |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
| Intercept 3 |
-3.8036 *** |
(0.4828) |
-1.8211 *** |
(0.5321) |
-0.1754 |
(0.5850) |
-0.4275 |
(0.5579) |
| Intercept 2 |
-1.0818 ** |
(0.4774) |
1.3132 ** |
(0.5309) |
3.5402 *** |
(0.5902) |
3.2439 *** |
(0.5621) |
| Equity |
-0.0691 *** |
(0.0097) |
-0.0553 *** |
(0.0099) |
-0.0336 *** |
(0.0105) |
-0.0349 *** |
(0.0105) |
| Allowance for loan losses |
0.5808 *** |
(0.0949) |
0.3902 *** |
(0.0914) |
0.2182 ** |
(0.0950) |
0.2363 ** |
(0.0944) |
| Loans past due 30-89 days |
0.4357 *** |
(0.0392) |
0.3729 *** |
(0.0409) |
0.3411 *** |
(0.0433) |
0.3489 *** |
(0.0428) |
| Loans past due 90 days or more |
0.6863 *** |
(0.0929) |
0.5744 *** |
(0.0943) |
0.4142 *** |
(0.0967) |
0.416 *** |
(0.0961) |
| Nonaccrual loans and leases |
1.1558 *** |
(0.0703) |
0.9341 *** |
(0.0719) |
0.5490 *** |
(0.0743) |
0.5576 *** |
(0.0735) |
| Other real estate owned |
1.0509 *** |
(0.1256) |
0.7823 *** |
(0.1299) |
0.3725 *** |
(0.1306) |
0.3902 *** |
(0.1293) |
| Volatile liabilities |
-0.0022 |
(0.0032) |
-0.0005 |
(0.0034) |
0.0056 |
(0.0036) |
0.0056 |
(0.0036) |
| Liquid assets |
-0.0076 ** |
(0.0041) |
-0.0117 *** |
(0.0043) |
-0.0105 ** |
(0.0047) |
-0.0090 * |
(0.0046) |
| Loans and securities with maturities of 5 years or more |
-0.0003 |
(0.0045) |
-0.0036 |
(0.0048) |
-0.0038 |
(0.0052) |
-0.0026 |
(0.0052) |
| Gross charge-offs on loans & leases |
0.0231 |
(0.1467) |
-0.1038 |
(0.1303) |
-0.3803 *** |
(0.1284) |
-0.4239 *** |
(0.1274) |
| Provisions for loan & lease losses |
0.4020 *** |
(0.1437) |
0.1321 |
(0.1317) |
0.3084 ** |
(0.1374) |
0.3878 *** |
(0.1406) |
| Income before taxes and extraordinary items |
-0.4705 *** |
(0.0427) |
-0.4099 *** |
(0.0425) |
-0.2574 *** |
(0.0437) |
-0.2532 *** |
0.0437 |
| State personal-income growth, lag 1 |
0.0239 |
(0.0219) |
0.0236 |
(0.0230) |
-0.0061 |
(0.0253) |
-0.0132 |
(0.0252) |
| State personal-income growth, lag 2 |
0.0509 ** |
(0.0214) |
0.0509 ** |
(0.0226) |
0.0265 |
(0.0247) |
0.0243 |
(0.0245) |
| State personal-income growth, lag 3 |
0.0263 |
(0.0272) |
0.0207 |
(0.0286) |
0.00659 |
(0.0313) |
0.0099 |
(0.0311) |
| State personal-income growth, lag 4 |
0.0377 |
(0.0250) |
0.0379 |
(0.0263) |
0.0414 |
(0.0287) |
0.0433 |
(0.0285) |
| State personal-income growth, lag 5 |
0.0425 ** |
(0.0253) |
0.0402 |
(0.0266) |
0.0217 |
(0.0290) |
0.0211 |
(0.0287) |
| Composite CAMELS dummy 1 |
|
|
|
|
-4.2971 *** |
(0.1851) |
-4.9213 *** |
(0.1603) |
| Composite CAMELS dummy 2 |
|
|
|
|
-1.8219 *** |
(0.1569) |
-2.2215 *** |
(0.1399) |
| Concentrations of credit dummy 1 |
|
|
-0.3837 *** |
(0.0948) |
-0.2294 ** |
(0.1035) |
|
|
| Concentrations of credit dummy 3 |
|
|
-0.2432 |
(0.1498) |
-0.2084 |
(0.1626) |
|
|
| Fail-to-adjust pricing dummy 1 |
|
|
-0.1620 |
(0.1158) |
-0.1309 |
(0.1249) |
|
|
| Fail-to-adjust pricing dummy 3 |
|
|
0.4016 |
(0.2509) |
0.3297 |
(0.2617) |
|
|
| Principal reduction dummy 1 |
|
|
-0.3284 *** |
(0.0925) |
-0.1446 |
(0.1017) |
|
|
| Principal reduction dummy 3 |
|
|
0.2088 |
(0.2235) |
0.1252 |
(0.2331) |
|
|
| Written policies versus practices dummy 1 |
|
|
-0.2130 ** |
(0.0941) |
0.0306 |
(0.1039) |
|
|
| Written policies versus practices dummy 3 |
|
|
0.1708 |
(0.2131) |
-0.0085 |
(0.2232) |
|
|
| Current underwriting practices dummy 1 |
|
|
-0.2284 ** |
(0.1075) |
-0.1423 |
(0.1198) |
|
|
| Current underwriting practices dummy 3 |
|
|
0.3570 |
(0.2480) |
0.1441 |
(0.2543) |
|
|
| Portfolio credit risk dummy 1 |
|
|
-0.7685 *** |
(0.0982) |
-0.1618 |
(0.1115) |
|
|
| Portfolio credit risk dummy 3 |
|
|
0.9107 *** |
(0.2298) |
0.3766 |
(0.2394) |
|
|
| Loan administration dummy 1 |
|
|
-0.5139 *** |
(0.0954) |
-0.1487 |
(0.1071) |
|
|
| Loan administration dummy 3 |
|
|
0.2865 |
(0.2059) |
0.1072 |
(0.2155) |
|
|
| Akaike Information Criteria |
6,554.66 |
|
5,906.48 |
|
5,011.04 |
|
5,035.56 |
|
| Somers' D Statistic |
61.1% |
|
69.3% |
|
78.3% |
|
77.3% |
|
| -2 x log likelihood, L(specification) |
6,516.66 |
|
5,840.48 |
|
4,941.04 |
|
4,993.56 |
|
| Likelihhood-ratio test statistic for significance of survey variables: |
L(1) - L(2) |
|
|
|
|
|
L(4) - L(3) |
|
| Chi-square, degress of freedom, 5 percent critical value |
676.18, 7, 14.07 |
|
|
|
|
|
52.52, 7, 14.07 |
|
* indicates significance at 10% level, ** indicates signifcance at 5% level
and *** indicates significance at 1% level
