Table 8.
Robust Test 3 - Using conditional quantile regression (QR).
| Panel A: The impact of geopolitical risk (GPR) on bank stability (ZSCORE) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | ZSCORE is the dependent variable |
||||||||
| 10th | 20th | 30th | 40th | 50th | 60th | 70th | 80th | 90th | |
| SIZE | 0.0033 | 0.0694 | 0.1160 | 0.1565** | 0.1960*** | 0.2317*** | 0.2737*** | 0.3191*** | 0.3762*** |
| (0.1210) | (0.0927) | (0.0763) | (0.0664) | (0.0627) | (0.0653) | (0.0748) | (0.0901) | (0.1140) | |
| LTA | 1.2838*** | 1.1257*** | 1.0142*** | 0.9171*** | 0.8228*** | 0.7372*** | 0.6368*** | 0.5280** | 0.3916 |
| (0.3234) | (0.2476) | (0.2039) | (0.1774) | (0.1676) | (0.1746) | (0.1997) | (0.2408) | (0.3048) | |
| LLP | −0.0832*** | −0.0704*** | −0.0614*** | −0.0536*** | −0.0460*** | −0.0391** | −0.0310 | −0.0222 | −0.0112 |
| (0.0310) | (0.0237) | (0.0195) | (0.0170) | (0.0161) | (0.0167) | (0.0191) | (0.0231) | (0.0292) | |
| NPL | −1.9226** | −1.7669*** | −1.6570*** | −1.5613*** | −1.4684*** | −1.3841*** | −1.2851** | −1.1779* | −1.0435 |
| (0.8293) | (0.6350) | (0.5223) | (0.4543) | (0.4291) | (0.4470) | (0.5116) | (0.6180) | (0.7817) | |
| ZSCORE(Country) | 0.2079 | 0.2020 | 0.1978 | 0.1942 | 0.1907 | 0.1875 | 0.1838 | 0.1798 | 0.1747 |
| (0.3238) | (0.2479) | (0.2039) | (0.1774) | (0.1675) | (0.1745) | (0.1997) | (0.2413) | (0.3052) | |
| CONCEN(Country) | −0.3057** | −0.2814*** | −0.2643*** | −0.2494*** | −0.2349*** | −0.2217*** | −0.2063*** | −0.1896** | −0.1686 |
| (0.1240) | (0.0950) | (0.0781) | (0.0679) | (0.0642) | (0.0668) | (0.0765) | (0.0924) | (0.1169) | |
| LnGPR | 0.5123** | 0.4294*** | 0.3710*** | 0.3201*** | 0.2706** | 0.2258** | 0.1731 | 0.1161 | 0.0445 |
| (0.2031) | (0.1555) | (0.1280) | (0.1113) | (0.1052) | (0.1095) | (0.1254) | (0.1513) | (0.1914) | |
| Obs. | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 |
| Panel B: The impact of economic policy uncertainty (EPU) on bank stability (ZSCORE) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | ZSCORE is the dependent variable |
||||||||
| 10th | 20th | 30th | 40th | 50th | 60th | 70th | 80th | 90th | |
| SIZE | 0.0758 | 0.1278 | 0.1637* | 0.1950** | 0.2294*** | 0.2541*** | 0.2876*** | 0.3219*** | 0.3674*** |
| (0.1416) | (0.1084) | (0.0894) | (0.0776) | (0.0725) | (0.0750) | (0.0856) | (0.1025) | (0.1305) | |
| LTA | 1.4074*** | 1.2296*** | 1.1068*** | 0.9996*** | 0.8820*** | 0.7975*** | 0.6832*** | 0.5657** | 0.4100 |
| (0.3196) | (0.2447) | (0.2019) | (0.1753) | (0.1639) | (0.1695) | (0.1934) | (0.2313) | (0.2945) | |
| LLP | −0.0799** | −0.0676*** | −0.0590*** | −0.0516*** | −0.0434*** | −0.0375** | −0.0296 | −0.0214 | −0.0106 |
| (0.0313) | (0.0239) | (0.0197) | (0.0171) | (0.0160) | (0.0166) | (0.0189) | (0.0226) | (0.0288) | |
| NPL | −1.9889** | −1.8173*** | −1.6988*** | −1.5954*** | −1.4818*** | −1.4003*** | −1.2899*** | −1.1766** | −1.0263 |
| (0.8262) | (0.6324) | (0.5213) | (0.4522) | (0.4227) | (0.4371) | (0.4991) | (0.5983) | (0.7614) | |
| ZSCORE(Country) | 0.0638 | 0.0724 | 0.0784 | 0.0836 | 0.0894 | 0.0935 | 0.0990 | 0.1048 | 0.1123 |
| (0.3221) | (0.2465) | (0.2032) | (0.1762) | (0.1647) | (0.1703) | (0.1945) | (0.2332) | (0.2968) | |
| CONCEN(Country) | −0.3686*** | −0.3311*** | −0.3052*** | −0.2825*** | −0.2577*** | −0.2398*** | −0.2157*** | −0.1909** | −0.1580 |
| (0.1221) | (0.0935) | (0.0771) | (0.0669) | (0.0625) | (0.0646) | (0.0738) | (0.0884) | (0.1125) | |
| LnEPU | −0.0712 | −0.0565 | −0.0464 | −0.0375 | −0.0278 | −0.0208 | −0.0114 | −0.0017 | 0.0112 |
| (0.0780) | (0.0597) | (0.0492) | (0.0427) | (0.0399) | (0.0413) | (0.0471) | (0.0565) | (0.0719) | |
| Obs. | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 |
| Panel C: The impact of climate policy uncertainty (CPU) on bank stability (ZSCORE) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | ZSCORE is the dependent variable |
||||||||
| 10th | 20th | 30th | 40th | 50th | 60th | 70th | 80th | 90th | |
| SIZE | 0.0525 | 0.1186 | 0.1656* | 0.2059*** | 0.2488*** | 0.2814*** | 0.3247*** | 0.3670*** | 0.4256*** |
| (0.1382) | (0.1060) | (0.0870) | (0.0755) | (0.0707) | (0.0732) | (0.0838) | (0.0997) | (0.1271) | |
| LTA | 1.4221*** | 1.2366*** | 1.1044*** | 0.9914*** | 0.8710*** | 0.7795*** | 0.6580*** | 0.5391** | 0.3746 |
| (0.3213) | (0.2464) | (0.2023) | (0.1756) | (0.1645) | (0.1702) | (0.1948) | (0.2316) | (0.2954) | |
| LLP | −0.0814*** | −0.0685*** | −0.0592*** | −0.0513*** | −0.0429*** | −0.0366** | −0.0281 | −0.0198 | −0.0083 |
| (0.0314) | (0.0241) | (0.0198) | (0.0171) | (0.0161) | (0.0166) | (0.0190) | (0.0226) | (0.0289) | |
| NPL | −1.9837** | −1.8094*** | −1.6851*** | −1.5789*** | −1.4657*** | −1.3797*** | −1.2654** | −1.1537* | −0.9990 |
| (0.8270) | (0.6341) | (0.5200) | (0.4510) | (0.4222) | (0.4371) | (0.5007) | (0.5965) | (0.7606) | |
| ZSCORE(Country) | 0.0279 | 0.0357 | 0.0413 | 0.0460 | 0.0511 | 0.0549 | 0.0601 | 0.0651 | 0.0720 |
| (0.3272) | (0.2509) | (0.2057) | (0.1784) | (0.1670) | (0.1729) | (0.1981) | (0.2361) | (0.3010) | |
| CONCEN(Country) | −0.3641*** | −0.3264*** | −0.2996*** | −0.2767*** | −0.2522*** | −0.2337*** | −0.2090*** | −0.1849** | −0.1515 |
| (0.1232) | (0.0944) | (0.0775) | (0.0672) | (0.0629) | (0.0651) | (0.0746) | (0.0888) | (0.1133) | |
| LnCPU | −0.0550 | −0.0537 | −0.0527 | −0.0519 | −0.0510 | −0.0504 | −0.0495 | −0.0487 | −0.0475 |
| (0.0740) | (0.0567) | (0.0465) | (0.0403) | (0.0377) | (0.0391) | (0.0448) | (0.0533) | (0.0680) | |
| Obs. | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 |
| Panel D: The impact of world pandemic uncertainty (WPU) on bank stability (ZSCORE) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | ZSCORE is the dependent variable |
||||||||
| 10th | 20th | 30th | 40th | 50th | 60th | 70th | 80th | 90th | |
| SIZE | 0.1987 | 0.2421** | 0.2728*** | 0.3020*** | 0.3295*** | 0.3536*** | 0.3819*** | 0.4120*** | 0.4505*** |
| (0.1278) | (0.0988) | (0.0817) | (0.0704) | (0.0665) | (0.0693) | (0.0792) | (0.0952) | (0.1202) | |
| LTA | 1.2986*** | 1.1253*** | 1.0025*** | 0.8860*** | 0.7762*** | 0.6799*** | 0.5669*** | 0.4467* | 0.2927 |
| (0.3192) | (0.2466) | (0.2042) | (0.1763) | (0.1663) | (0.1733) | (0.1980) | (0.2375) | (0.3000) | |
| LLP | −0.0773** | −0.0642*** | −0.0549*** | −0.0461*** | −0.0378** | −0.0306* | −0.0221 | −0.0130 | −0.0014 |
| (0.0315) | (0.0244) | (0.0202) | (0.0174) | (0.0164) | (0.0171) | (0.0196) | (0.0235) | (0.0297) | |
| NPL | −1.8223** | −1.7092*** | −1.6291*** | −1.5530*** | −1.4813*** | −1.4185*** | −1.3447*** | −1.2662** | −1.1657 |
| (0.7803) | (0.6030) | (0.4987) | (0.4297) | (0.4055) | (0.4228) | (0.4836) | (0.5811) | (0.7342) | |
| ZSCORE(Country) | −0.0527 | −0.0121 | 0.0166 | 0.0439 | 0.0697 | 0.0922 | 0.1187 | 0.1469 | 0.1830 |
| (0.3069) | (0.2372) | (0.1962) | (0.1690) | (0.1595) | (0.1663) | (0.1902) | (0.2286) | (0.2888) | |
| CONCEN(Country) | −0.3174*** | −0.2886*** | −0.2682*** | −0.2488*** | −0.2306*** | −0.2146*** | −0.1958*** | −0.1759** | −0.1503 |
| (0.1197) | (0.0925) | (0.0765) | (0.0659) | (0.0622) | (0.0649) | (0.0742) | (0.0891) | (0.1126) | |
| WPU | −0.0166*** | −0.0151*** | −0.0140*** | −0.0129*** | −0.0120*** | −0.0111*** | −0.0101*** | −0.0091** | −0.0077 |
| (0.0051) | (0.0039) | (0.0033) | (0.0028) | (0.0027) | (0.0028) | (0.0032) | (0.0038) | (0.0048) | |
| Obs. | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 |
| Panel E: The impact of global supply chain pressure on bank stability (ZSCORE) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables |
ZSCORE is the dependent variable |
||||||||
| 10th |
20th |
30th |
40th |
50th |
60th |
70th |
80th |
90th |
|
| SIZE | 0.1017 | 0.1682* | 0.2174*** | 0.2639*** | 0.3020*** | 0.3384*** | 0.3863*** | 0.4293*** | 0.4890*** |
| (0.1248) | (0.0964) | (0.0792) | (0.0682) | (0.0648) | (0.0673) | (0.0780) | (0.0925) | (0.1172) | |
| LTA | 1.3304*** | 1.1427*** | 1.0038*** | 0.8727*** | 0.7653*** | 0.6625*** | 0.5274*** | 0.4062* | 0.2377 |
| (0.3221) | (0.2489) | (0.2046) | (0.1762) | (0.1673) | (0.1739) | (0.2015) | (0.2388) | (0.3024) | |
| LLP | −0.0829*** | −0.0693*** | −0.0593*** | −0.0498*** | −0.0421*** | −0.0347** | −0.0249 | −0.0161 | −0.0040 |
| (0.0314) | (0.0243) | (0.0200) | (0.0172) | (0.0163) | (0.0170) | (0.0197) | (0.0233) | (0.0295) | |
| NPL | −1.8366** | −1.6984*** | −1.5963*** | −1.4998*** | −1.4207*** | −1.3451*** | −1.2457** | −1.1565* | −1.0325 |
| (0.7977) | (0.6166) | (0.5058) | (0.4347) | (0.4133) | (0.4295) | (0.4983) | (0.5916) | (0.7492) | |
| ZSCORE(Country) | −0.1286 | −0.1006 | −0.0800 | −0.0604 | −0.0444 | −0.0291 | −0.0089 | 0.0091 | 0.0343 |
| (0.3171) | (0.2451) | (0.2010) | (0.1728) | (0.1643) | (0.1707) | (0.1981) | (0.2352) | (0.2978) | |
| CONCEN(Country) | −0.2977** | −0.2678*** | −0.2456*** | −0.2247*** | −0.2076*** | −0.1912*** | −0.1696** | −0.1503* | −0.1234 |
| (0.1222) | (0.0945) | (0.0775) | (0.0666) | (0.0633) | (0.0658) | (0.0764) | (0.0906) | (0.1148) | |
| GSCP | −0.1000*** | −0.0973*** | −0.0954*** | −0.0935*** | −0.0920*** | −0.0906*** | −0.0887*** | −0.0870*** | −0.0846** |
| (0.0382) | (0.0295) | (0.0242) | (0.0208) | (0.0198) | (0.0206) | (0.0239) | (0.0283) | (0.0359) | |
| Obs. | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 |
| Panel F: The impact of monetary policy uncertainty (MPU) on bank stability (ZSCORE) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | ZSCORE is the dependent variable |
||||||||
| 10th | 20th | 30th | 40th | 50th | 60th | 70th | 80th | 90th | |
| SIZE | 0.0264 | 0.0889 | 0.1367* | 0.1768*** | 0.2163*** | 0.2502*** | 0.2935*** | 0.3385*** | 0.3969*** |
| (0.1202) | (0.0931) | (0.0762) | (0.0664) | (0.0626) | (0.0650) | (0.0747) | (0.0901) | (0.1148) | |
| LTA | 1.2668*** | 1.1099*** | 0.9900*** | 0.8893*** | 0.7902*** | 0.7052*** | 0.5966*** | 0.4837** | 0.3369 |
| (0.3239) | (0.2510) | (0.2053) | (0.1788) | (0.1687) | (0.1752) | (0.2014) | (0.2428) | (0.3095) | |
| LLP | −0.0808*** | −0.0689*** | −0.0598*** | −0.0522*** | −0.0447*** | −0.0382** | −0.0300 | −0.0214 | −0.0103 |
| (0.0310) | (0.0240) | (0.0197) | (0.0171) | (0.0162) | (0.0168) | (0.0193) | (0.0233) | (0.0296) | |
| NPL | −1.8815** | −1.7360*** | −1.6248*** | −1.5313*** | −1.4393*** | −1.3606*** | −1.2598** | −1.1550* | −1.0189 |
| (0.8216) | (0.6367) | (0.5202) | (0.4526) | (0.4272) | (0.4436) | (0.5101) | (0.6160) | (0.7850) | |
| ZSCORE(Country) | 0.1216 | 0.1378 | 0.1501 | 0.1605 | 0.1707 | 0.1794 | 0.1906 | 0.2022 | 0.2173 |
| (0.3143) | (0.2436) | (0.1990) | (0.1731) | (0.1633) | (0.1696) | (0.1951) | (0.2356) | (0.3003) | |
| CONCEN(Country) | −0.2857** | −0.2649*** | −0.2491*** | −0.2357*** | −0.2226*** | −0.2113*** | −0.1969*** | −0.1819** | −0.1625 |
| (0.1227) | (0.0951) | (0.0777) | (0.0676) | (0.0638) | (0.0662) | (0.0762) | (0.0920) | (0.1172) | |
| LnMPU | −0.1654*** | −0.1448*** | −0.1291*** | −0.1158*** | −0.1028*** | −0.0917*** | −0.0774** | −0.0626 | −0.0433 |
| (0.0527) | (0.0409) | (0.0334) | (0.0291) | (0.0275) | (0.0285) | (0.0328) | (0.0395) | (0.0504) | |
| Obs. | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 | 1727 |
Note:Table 8 shows the impact of macroeconomic uncertainty (MU) on bank stability using the conditional quantile regression (QR) with fixed-effects for panel models. Bank stability (ZSCORE) is the dependent variable in all specifications, macroeconomic uncertainties (MU) and control variables (bank-specific and banking system characteristic) as independent variables. The impact of LnGPR, LnEPU, LnCPU, WPU, GSPC, and LnMPU variables on bank stability are shown in Panels A, B, C, D, E, and F with nine quantile levels (10th, 20th, 30th, 40th, 50th, 60th, 70th, 80th, and 90th). Standard errors in parentheses.*** denotes significance at a 1% level, ** denotes significance at a 5%, * denotes significance at a 10% level.