Table 7.
Robust test 2 – Using System-Generalized Method of Moments (SGMM) estimation.
| Variable | ZSCORE is the dependent variable |
|||||
|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Constant | −2.0404*** | −0.4219* | −0.3028 | −1.1303*** | −0.8075*** | −0.6408*** |
| (0.3684) | (0.2407) | (0.2521) | (0.2167) | (0.2224) | (0.2322) | |
| Lag.ZSCORE | 0.4446*** | 0.4862*** | 0.5052*** | 0.4951*** | 0.5023*** | 0.4039*** |
| (0.0446) | (0.0398) | (0.0389) | (0.0390) | (0.0386) | (0.0446) | |
| Lag.SIZE | 0.1366*** | 0.1359*** | 0.1220*** | 0.1617*** | 0.1400*** | 0.1638*** |
| (0.0340) | (0.0347) | (0.0356) | (0.0338) | (0.0352) | (0.0338) | |
| Lag.LTA | 0.8109*** | 0.8960*** | 0.8627*** | 0.9533*** | 0.7260*** | 0.8339*** |
| (0.1379) | (0.1324) | (0.1272) | (0.1284) | (0.1240) | (0.1418) | |
| Lag.LLP | −0.0481*** | −0.0442*** | −0.0431*** | −0.0483*** | −0.0450*** | −0.0512*** |
| (0.0057) | (0.0055) | (0.0054) | (0.0060) | (0.0056) | (0.0061) | |
| Lag.NPL | −0.1536*** | −0.1587*** | −0.1320*** | −0.2386*** | −0.1748*** | −0.2004*** |
| (0.0478) | (0.0472) | (0.0464) | (0.0486) | (0.0448) | (0.0478) | |
| ZSCORE(Country) | 1.4370*** | 1.0187*** | 0.8193*** | 0.8025*** | 0.3654* | 1.3466*** |
| (0.2044) | (0.2008) | (0.2200) | (0.1932) | (0.2134) | (0.2016) | |
| CONCEN(Country) | −0.6002*** | −0.5939*** | −0.6178*** | −0.3631*** | −0.3932*** | −0.5455*** |
| (0.0713) | (0.0729) | (0.0736) | (0.0720) | (0.0759) | (0.0695) | |
| LnGPR | 0.2644*** | |||||
| (0.0607) | ||||||
| LnEPU | −0.0883*** | |||||
| (0.0201) | ||||||
| LnCPU | −0.0910*** | |||||
| (0.0210) | ||||||
| WPU | −0.0170*** | |||||
| (0.0012) | ||||||
| GSCP | −0.1101*** | |||||
| (0.0105) | ||||||
| LnMPU | −0.0876*** | |||||
| (0.0149) | ||||||
| Obs. | 1570 | 1570 | 1570 | 1570 | 1570 | 1570 |
| Banks | 157 | 157 | 157 | 157 | 157 | 157 |
| AR (1) test | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| AR (2) test | 0.523 | 0.317 | 0.279 | 0.233 | 0.138 | 0.384 |
| Hansen test | 0.346 | 0.307 | 0.251 | 0.244 | 0.128 | 0.416 |
Table 7 presents robust tests of the impact of macroeconomic uncertainty on bank stability by using System-Generalized Method of Moments (SGMM) estimation. The dependent variable is bank stability (ZSCORE) in all regressions. MU variables include LnGPR, LnEPU, LnCPU, WPU, GSCP, and LnMPU, they are key explanatory variables. The first and second order serial correlation tests (AR (1) and AR (2)), and Hansen test of overidentifying restrictions verify the validity of the picked instrument variable. Standard errors in parentheses.*** denotes significance at a 1% level, ** denotes significance at a 5%, * denotes significance at a 10% level.