Table 2.
Z-Score decomposition
| ROA | Capital | SD_ROA | |
|---|---|---|---|
| (1) | (2) | (3) | |
| CVD |
-0.002*** (0.000) |
-0.003*** (0.001) |
0.735*** (0.245) |
| Size |
-0.007** (0.003) |
-0.018 (0.017) |
-0.001*** (0.000) |
| Capital |
-0.179*** (0.029) |
0.133** (0.051) |
|
| Asset_Quality |
-0.001 (0.012) |
0.004 (0.003) |
0.098** (0.040) |
| Loans |
0.035*** (0.008) |
0.020*** (0.006) |
-0.005 (0.003) |
| Deposits |
-0.001 (0.010) |
-0.018 (0.013) |
-0.006 (0.007) |
| Growth |
-0.001 (0.004) |
-0.018 (0.013) |
-0.001 (0.009) |
| Earnings |
-0.011 (0.029) |
-0.144** (0.053) |
|
| Healthcare |
-0.080* (0.047) |
0.007 (0.041) |
0.108* (0.060) |
| GDP |
0.001 (0.002) |
0.006* (0.003) |
-0.004 (0.003) |
| Econ_Support |
-0.001*** (0.000) |
-0.000*** (0.000) |
46.834** (22.970) |
| Stringency |
-0.000 (0.000) |
0.000 (0.000) |
-0.146*** (0.040) |
| Containment |
-0.000 (0.000) |
-0.000 (0.000) |
327.910** (160.839) |
| Constant |
0.769* (0.382) |
0.218 (0.368) |
0.836*** (0.151) |
| Observations | 2,656 | 1,955 | 1,957 |
| AdjR2 | 0.317 | 0.120 | 0.723 |
| #Banks | 694 | 547 | 580 |
| FE | Yes | Yes | Yes |
| F Statistic | 19.56*** | 4311.52*** | 1.2e7*** |
In this table, we report the results from regressions based on Z-Score decomposition. CVD, which is the main explanatory variable in all models, represents the growth in total COVID cases over the quarters. All specifications include appropriate bank- and macro-controls, and county-year and bank-fixed effects. Standard errors are reported in parentheses. ***, **, * indicate statistical significance at 1%, 5%, and 10% levels, respectively