Table 4.
Impact of COVID-19 on the NPL ratios. This table reports the impact of the COVID-19 pandemic on the NPL ratios (dependent variable). In models (1), (2) and (3), the NPL ratios are regressed on a bank's new confirmed cases, cumulative COVID cases and new COVID-19 deaths, respectively, in a quarter. Variable definitions are reported in Table 1. Robust standard errors are reported in the parentheses. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.
| (1) | (2) | (3) | |
|---|---|---|---|
| COVID cases | 0.060** | ||
| (0.030) | |||
| COVID cumulative cases | 0.054*** | ||
| (0.017) | |||
| COVID deaths | 1.263** | ||
| (0.573) | |||
| Loan-to-deposit ratio | 1.222*** | 1.250*** | 1.223*** |
| (0.454) | (0.456) | (0.454) | |
| Size | −0.239 | −0.230 | −0.242 |
| (0.219) | (0.219) | (0.219) | |
| ROA | −1.257*** | −1.253*** | −1.258*** |
| (0.186) | (0.186) | (0.186) | |
| GDP_GR | 5.229*** | 4.877*** | 5.275*** |
| (1.731) | (1.752) | (1.731) | |
| Unemployment | 4.261*** | 4.061*** | 4.281*** |
| (1.097) | (1.103) | (1.097) | |
| Interest | 0.598 | 0.595 | 0.609 |
| (0.527) | (0.529) | (0.527) | |
| Observations | 2821 | 2821 | 2821 |
| Adj. R-squared | 0.655 | 0.655 | 0.655 |
| Bank FE | Yes | Yes | Yes |
| Year-Quarter FE | Yes | Yes | Yes |