Table 5.
Effect of bank capital ratios. This table reports the effect of bank capital on the relationship between a bank's NPL ratio (dependent variable) and its exposure to the COVID-19 pandemic. Columns (1), (2) and (3) present the regression results for the NPL ratio on equity ratio, tier 1 ratio, and total regulatory capital ratio, respectively. 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) | |
|---|---|---|---|
| Equity ratio | −0.114** | ||
| (0.055) | |||
| COVID cases * Equity ratio | −0.059** | ||
| (0.024) | |||
| Tier 1 ratio | −0.207** | ||
| (0.086) | |||
| COVID cases * Tier 1 ratio | −0.206*** | ||
| (0.072) | |||
| Regulatory capital ratio | −0.202*** | ||
| (0.074) | |||
| COVID cases * Regulatory capital ratio | 0.036 | ||
| (0.029) | |||
| COVID cases | 0.387*** | 2.175*** | −0.471 |
| (0.127) | (0.738) | (0.433) | |
| Loan-to-deposit ratio | 1.433*** | 1.125** | 1.023** |
| (0.523) | (0.480) | (0.461) | |
| Size | −0.919*** | −1.396*** | −1.259*** |
| (0.293) | (0.444) | (0.344) | |
| ROA | −1.188*** | −1.083*** | −1.079*** |
| (0.165) | (0.144) | (0.144) | |
| GDP_GR | 7.664*** | 9.292*** | 9.975*** |
| (1.804) | (2.249) | (2.233) | |
| Unemployment | 4.489*** | 4.261*** | 4.320*** |
| (1.068) | (1.011) | (0.993) | |
| Interest | 0.630 | 0.685 | 0.953* |
| (0.532) | (0.520) | (0.542) | |
| Observations | 2821 | 2554 | 2554 |
| Adj. R-squared | 0.660 | 0.701 | 0.704 |
| Bank FE | Yes | Yes | Yes |
| Year-Quarter FE | Yes | Yes | Yes |