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. 2024 May 22;10(11):e31711. doi: 10.1016/j.heliyon.2024.e31711

Table 4.

Heterogeneity effects of bank characteristics.

Panel A: Small banks – Large banks
Variables Zscore is the dependent variable
(1)
 (2)
 (3)
 (4)
 (5)
 (6)
 (7)
 (8)
 (9)
 (10)
 (11)
 (12)
Small Large Small Large Small Large Small Large Small Large Small Large
Lag.SIZE 0.2619* 0.3107 0.3652** 0.4598* 0.4112** 0.3964* 0.3659** 0.7347*** 0.3604** 0.6161*** 0.2655* 0.3547*
(0.1370) (0.1998) (0.1702) (0.2392) (0.1659) (0.2346) (0.1476) (0.2199) (0.1447) (0.2281) (0.1371) (0.2022)
Lag.LTA 0.5658 1.0048*** 0.4593 1.2970*** 0.4366 1.2877*** 0.4295 1.2386*** 0.3944 1.2319*** 0.4949 1.0738***
(0.3739) (0.2891) (0.3620) (0.3182) (0.3605) (0.3228) (0.3671) (0.2975) (0.3646) (0.3113) (0.3712) (0.2919)
Lag.LLP −0.0282** −0.0954*** −0.0282** −0.0777*** −0.0260** −0.0762*** −0.0314** −0.0848*** −0.0273** −0.0724*** −0.0310** −0.0922***
(0.0131) (0.0196) (0.0126) (0.0202) (0.0121) (0.0203) (0.0132) (0.0202) (0.0127) (0.0208) (0.0133) (0.0199)
Lag.NPL −1.4083* −0.2693 −1.2744* −0.4269 −1.2295* −0.4419 −1.2695* −0.2620 −1.2427* −0.2583 −1.3677* −0.1970
(0.8054) (0.3227) (0.7454) (0.3650) (0.7249) (0.3720) (0.7269) (0.3386) (0.7286) (0.3666) (0.7897) (0.3286)
ZSCORE(Country) 0.2038 0.2370 0.2289 −0.0122 0.0680 −0.0367 0.3764 −0.1807 0.2131 −0.2929 0.2918 0.1997
(0.3246) (0.2172) (0.3246) (0.2204) (0.3259) (0.2244) (0.3360) (0.2180) (0.3237) (0.2193) (0.3193) (0.2253)
CONCEN(Country) −0.1977 −0.2080** −0.1942 −0.2397*** −0.1737 −0.2706*** −0.1453 −0.1929** −0.1679 −0.1826** −0.1931 −0.2068**
(0.1333) (0.0812) (0.1327) (0.0788) (0.1325) (0.0766) (0.1340) (0.0756) (0.1318) (0.0765) (0.1356) (0.0789)
LnGPR −0.0361 0.5962***
(0.2215) (0.1778)
LnEPU −0.1446 −0.1537**
(0.1105) (0.0670)
LnCPU −0.1894* −0.1141*
(0.1013) (0.0609)
WPU −0.0141*** −0.0228***
(0.0053) (0.0036)
GSCP −0.1012** −0.1591***
(0.0428) (0.0308)
LnMPU −0.0552 −0.1811***
(0.0636) (0.0416)
Constant −1.0006 −4.4861*** −0.9898 −2.2323 −1.0720 −1.9855 −1.7268** −4.9537*** −1.6722** −4.1220** −0.9203 −1.3796
(1.3010) (1.6838) (0.7514) (1.5761) (0.7631) (1.5678) (0.8429) (1.5688) (0.8300) (1.6305) (0.7936) (1.4365)
Obs. 651 862 651 862 651 862 651 862 651 862 651 862
R squared 0.0523 0.0880 0.0592 0.0756 0.0649 0.0718 0.0702 0.1372 0.0663 0.1104 0.0543 0.0957
Banks 81 104 81 104 81 104 81 104 81 104 81 104
BFE Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Panel B: Low loan ratios – High loan ratios
Variables Zscore is the dependent variable
(1)
 (2)
 (3)
 (4)
 (5)
 (6)
 (7)
 (8)
 (9)
 (10)
 (11)
 (12)
Low High Low High Low High Low High Low High Low High
Lag.SIZE 0.3857** 0.2739* 0.3916** 0.3908** 0.3745** 0.3996** 0.5399*** 0.5131*** 0.4702*** 0.4668*** 0.3987*** 0.3277**
(0.1476) (0.1570) (0.1810) (0.1758) (0.1736) (0.1689) (0.1575) (0.1703) (0.1591) (0.1620) (0.1503) (0.1549)
Lag.LTA 0.3173 −0.7770** 0.3642 −0.7440* 0.3586 −0.7380* 0.3788 −0.6785* 0.3565 −0.8034** 0.3425 −0.8050**
(0.3482) (0.3906) (0.3581) (0.3919) (0.3602) (0.3910) (0.3477) (0.3826) (0.3562) (0.3835) (0.3537) (0.3905)
Lag.LLP −0.0006 −0.1205*** 0.0023 −0.1092*** 0.0025 −0.1059*** −0.0036 −0.1141*** 0.0005 −0.1046*** 0.0001 −0.1231***
(0.0198) (0.0305) (0.0201) (0.0295) (0.0198) (0.0292) (0.0200) (0.0288) (0.0197) (0.0295) (0.0203) (0.0298)
Lag.NPL −1.3148 −0.9627* −1.3432 −0.9523* −1.3276 −0.9521* −1.0913 −0.8543 −1.3131 −0.8117 −1.3378 −0.8463*
(1.3316) (0.5177) (1.3444) (0.5213) (1.3361) (0.5280) (1.2735) (0.5199) (1.3656) (0.5129) (1.3485) (0.4974)
ZSCORE(Country) 0.4596 −0.1834 0.2876 −0.3506 0.2997 −0.4132* 0.3827 −0.4296* 0.2692 −0.5580** 0.3376 −0.1674
(0.3379) (0.2240) (0.3410) (0.2313) (0.3448) (0.2354) (0.3336) (0.2277) (0.3412) (0.2452) (0.3319) (0.2312)
CONCEN(Country) −0.0378 −0.1809** −0.0581 −0.1808** −0.0608 −0.1917** −0.0185 −0.1403* −0.0303 −0.1458* −0.0470 −0.1581*
(0.1428) (0.0807) (0.1383) (0.0798) (0.1378) (0.0786) (0.1373) (0.0783) (0.1387) (0.0774) (0.1408) (0.0801)
LnGPR 0.3030 0.3007*
(0.2362) (0.1725)
LnEPU 0.0081 −0.1144*
(0.1009) (0.0689)
LnCPU 0.0261 −0.1225*
(0.0926) (0.0648)
WPU −0.0142*** −0.0193***
(0.0048) (0.0036)
GSCP −0.0655 −0.1317***
(0.0415) (0.0318)
LnMPU −0.0480 −0.1440***
(0.0592) (0.0423)
Constant −3.3483** −1.5702 −2.0488** −0.4363 −2.0186** −0.4875 −2.9980*** −1.8865 −2.5287** −1.5065 −1.8479* 0.0404
(1.5459) (1.4438) (0.9835) (1.1416) (0.9870) (1.1304) (1.0137) (1.2190) (1.0350) (1.1610) (0.9707) (1.1124)
Obs. 547 818 547 818 547 818 547 818 547 818 547 818
R squared 0.0466 0.0636 0.0416 0.0634 0.0419 0.0647 0.0643 0.0984 0.0489 0.0843 0.0435 0.0760
Banks 103 121 103 121 103 121 103 121 103 121 103 121
BFE Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Panel C: Less income diversification – More income diversification
Variables ZSCORE is the dependent variable
(1)
 (2)
 (3)
 (4)
 (5)
 (6)
 (7)
 (8)
 (9)
 (10)
 (11)
 (12)
Less More Less More Less More Less More Less More Less More
Lag.SIZE 0.3973*** 0.0895 0.3665* 0.3472* 0.3458* 0.3945** 0.5150*** 0.3752* 0.4434*** 0.4220** 0.4050*** 0.1417
(0.1495) (0.1901) (0.1885) (0.1912) (0.1874) (0.1802) (0.1591) (0.2114) (0.1631) (0.1848) (0.1504) (0.1874)
Lag.LTA 0.7792** 0.4452 0.8174*** 0.5072 0.8135*** 0.5186 0.7954** 0.4550 0.7983*** 0.2750 0.7863*** 0.3295
(0.3003) (0.3868) (0.3002) (0.3879) (0.2995) (0.3828) (0.3067) (0.3864) (0.3037) (0.3573) (0.3003) (0.3790)
Lag.LLP −0.0276* −0.1171*** −0.0254* −0.1018*** −0.0262* −0.0918*** −0.0257* −0.1095*** −0.0243 −0.0910*** −0.0272* −0.1197***
(0.0149) (0.0181) (0.0153) (0.0149) (0.0155) (0.0147) (0.0146) (0.0154) (0.0149) (0.0133) (0.0149) (0.0162)
Lag.NPL −1.3335* −2.7831* −1.4032* −2.6567* −1.4063* −2.7081* −1.3169* −2.4618 −1.3484* −2.3241 −1.3396* −2.4279
(0.7251) (1.5953) (0.7395) (1.5448) (0.7511) (1.5696) (0.6872) (1.6176) (0.7012) (1.5983) (0.7175) (1.5047)
ZSCORE(Country) 0.4261 −0.2365 0.3487 −0.4876* 0.3776 −0.7167*** 0.3396 −0.4637* 0.3120 −0.8035*** 0.3755 −0.1917
(0.2648) (0.2827) (0.2613) (0.2647) (0.2560) (0.2643) (0.2653) (0.2707) (0.2611) (0.2631) (0.2640) (0.2775)
CONCEN(Country) −0.2169** −0.2031* −0.2416** −0.2312** −0.2457*** −0.2496** −0.1865** −0.1595 −0.2100** −0.1707 −0.2140** −0.1928*
(0.0977) (0.1120) (0.0948) (0.1115) (0.0935) (0.1115) (0.0935) (0.1120) (0.0941) (0.1085) (0.0963) (0.1120)
LnGPR 0.2097 0.4181*
(0.1818) (0.2375)
LnEPU 0.0333 −0.2802***
(0.0861) (0.0799)
LnCPU 0.0536 −0.3215***
(0.0805) (0.0814)
WPU −0.0118*** −0.0255***
(0.0039) (0.0059)
GSCP −0.0365 −0.2463***
(0.0339) (0.0396)
LnMPU −0.0483 −0.2124***
(0.0471) (0.0518)
Constant −3.1977** −1.5259 −2.2165** −0.0087 −2.1658** −0.2011 −3.0221*** −1.5929 −2.5559** −1.8207 −2.0920** 0.9583
(1.3020) (1.9285) (0.9903) (1.2318) (1.0103) (1.2050) (1.0069) (1.4503) (1.0416) (1.2670) (0.9429) (1.2449)
Obs. 942 462 942 462 942 462 942 462 942 462 942 462
R squared 0.0646 0.1277 0.0626 0.1477 0.0633 0.1590 0.0786 0.1839 0.0643 0.2101 0.0640 0.1554
Banks 123 85 123 85 123 85 123 85 123 85 123 85
BFE Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Panel D: Low competitiveness – High competitiveness
Variables ZSCORE is the dependent variable
(1)
 (2)
 (3)
 (4)
 (5)
 (6)
 (7)
 (8)
 (9)
 (10)
 (11)
 (12)
Low High Low High Low High Low High Low High Low High
Lag.SIZE 0.0697 0.3204 0.1374 0.3446 0.1255 0.3226 0.2928* 0.5291** 0.2280 0.4516** 0.1048 0.3419*
(0.1555) (0.2033) (0.1760) (0.2124) (0.1697) (0.2060) (0.1705) (0.2078) (0.1656) (0.2026) (0.1547) (0.2022)
Lag.LTA 0.8128*** 0.3763 0.8872*** 0.4566 0.8972*** 0.4624 0.7976*** 0.4052 0.8014*** 0.3792 0.7942*** 0.3752
(0.2732) (0.4487) (0.2778) (0.4378) (0.2780) (0.4353) (0.2837) (0.4585) (0.2858) (0.4499) (0.2763) (0.4455)
Lag.LLP −0.0536*** −0.0284 −0.0480*** −0.0200 −0.0469*** −0.0195 −0.0520*** −0.0263 −0.0448*** −0.0232 −0.0545*** −0.0268
(0.0152) (0.0330) (0.0152) (0.0305) (0.0150) (0.0308) (0.0156) (0.0316) (0.0155) (0.0297) (0.0153) (0.0318)
Lag.NPL −1.1228* −0.8865 −1.1604* −0.8610 −1.1682* −0.8926 −1.0668* −0.6137 −1.0941* −0.5278 −1.0780* −0.7711
(0.6496) (1.3649) (0.6580) (1.3799) (0.6614) (1.3651) (0.6138) (1.3956) (0.6395) (1.3590) (0.6335) (1.3825)
ZSCORE(Country) 0.0629 0.3507 −0.0969 0.1593 −0.1309 0.1511 −0.1780 0.2418 −0.2793 0.1741 0.0503 0.2505
(0.2324) (0.4160) (0.2344) (0.4310) (0.2413) (0.4326) (0.2284) (0.4190) (0.2387) (0.4172) (0.2322) (0.4211)
CONCEN(Country) −0.1862** −0.3812*** −0.1984** −0.3948*** −0.2065** −0.3990*** −0.1474* −0.3298*** −0.1659** −0.3406*** −0.1744** −0.3657***
(0.0832) (0.1223) (0.0815) (0.1190) (0.0809) (0.1180) (0.0798) (0.1183) (0.0800) (0.1214) (0.0815) (0.1254)
LnGPR 0.3197* 0.3864
(0.1687) (0.2590)
LnEPU −0.0806 −0.0212
(0.0668) (0.0858)
LnCPU −0.0705 −0.0005
(0.0629) (0.0808)
WPU −0.0168*** −0.0146**
(0.0034) (0.0058)
GSCP −0.1027*** −0.0844*
(0.0297) (0.0455)
LnMPU −0.1213*** −0.0938
(0.0411) (0.0628)
Constant −1.4344 −3.0756* −0.0630 −1.4065 −0.0529 −1.3699 −1.4746 −2.6947** −1.0434 −2.1928* 0.2954 −1.0648
(1.3781) (1.6713) (1.0398) (1.2286) (1.0289) (1.2223) (1.1174) (1.2624) (1.0834) (1.2378) (1.0089) (1.2314)
Obs. 1017 429 1017 429 1017 429 1017 429 1017 429 1017 429
R squared 0.0515 0.0544 0.0481 0.0461 0.0476 0.0460 0.0824 0.0700 0.0630 0.0580 0.0580 0.0533
Banks 129 71 129 71 129 71 129 71 129 71 129 71
BFE Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes

Table 4 shows the impact of macroeconomic uncertainty (MU) on bank stability for heterogeneous bank types. The dependent variable of ZSCORE is bank stability. MU variables include LnGPR, LnEPU, LnCPU, WPU, GSCP, and LnMPU, they are key explanatory variables. In Panel A, we split the banks for every country each year. A bank with a value greater than the bank median is classified as large-size. A bank with a value equal to or less than the country median is classified as small size. Robust standard errors in parentheses. *** denotes significance at a 1 % level, ** denotes significance at a 5 %, * denotes significance at a 10 % level.

Table 4 shows the impact of macroeconomic uncertainty (MU) on bank stability for heterogeneous bank types. The dependent variable of ZSCORE is bank stability. MU variables include LnGPR, LnEPU, LnCPU, WPU, GSCP, and LnMPU, they are key explanatory variables. In Panel B, we split the banks for every country each year. A bank with a value greater than the bank median is classified as having high loan ratios. A bank with a value equal to or less than the country median is classified as having low loan ratios. Robust standard errors in parentheses. *** denotes significance at a 1 % level, ** denotes significance at a 5 %, * denotes significance at a 10 % level.

Table 4 shows the impact of macroeconomic uncertainty (MU) on bank stability for heterogeneous bank types. The dependent variable of ZSCORE is bank stability. MU variables include LnGPR, LnEPU, LnCPU, WPU, GSCP, and LnMPU, they are key explanatory variables. In Panel C, the income diversification index (DIV) is computed as the ratio of non-interest incomes to total operating incomes. We split the banks for every country each year. A bank with a value greater than the bank median is classified as more diversified. A bank with a value equal to or less than the country median is classified as less diversified. Robust standard errors in parentheses. *** denotes significance at a 1 % level, ** denotes significance at a 5 %, * denotes significance at a 10 % level.

Table 4 shows the impact of macroeconomic uncertainty (MU) on bank stability for heterogeneous bank types. The dependent variable of ZSCORE is bank stability. MU variables include LnGPR, LnEPU, LnCPU, WPU, GSCP, and LnMPU, they are key explanatory variables. In Panel D, the Lerner index is used for measuring the bank's competitiveness. Lernerit = (Pit – MCit)/Pit. The Pit variable is the price of total assets calculated as the ratio of total revenue to total assets of a bank (i) at the time (t). MCit is the marginal cost of producing one more unit of output. We split the banks for every country each year. A bank with a value greater than the bank median is classified as high competitiveness. A bank with a value equal to or less than the country median is classified as low competitiveness. Robust standard errors in parentheses. *** denotes significance at a 1 % level, ** denotes significance at a 5 %, * denotes significance at a 10 % level.