Independent variables | Quantile estimated coefficients | Fixed effects | GMM-SYS | |||
---|---|---|---|---|---|---|
Q.25 | Q.50 | Q.75 | Q.95 | Coefficients | Coefficients | |
Banking sector-specific variables | ||||||
Lagged non-performing loan | 0.338 | 0.352 | 0.446 | 0.521 | 0.246 | 0.245 |
(0.155) | (0.334) | (0.256) | (0.417) | (0.226) | (0.333) | |
Profitability | − 0.282* | − 0.341** | − 0.348** | − 0.447*** | − 0.231** | − 0.122* |
(0.001) | (0.032) | (0.025) | (0.063) | (0.021) | (0.000) | |
Capital regulation | − 0.132* | − 0.043 | − 0.153 | − 0.244*** | − 0.031 | − 0.247 |
(0.000) | (0.341) | (0.186) | (0.078) | (0.141) | (0.327) | |
Liquidity | − 0.024 | − 0.024 | − 0.014** | − 0.013*** | − 0.013*** | − 0.021** |
(0.332) | (0.426) | (0.034) | (0.063) | (0.056) | (0.025) | |
Inefficiency | 0.027 | 0.014** | 0.033** | 0.010 | 0.021** | 0.024*** |
(0.122) | (0.017) | (0.031) | (0.335) | (0.032) | (0.063) | |
Income diversification | − 0.014 | − 0.023*** | − 0.025 | − 0.023* | ||
− 0.011 | − 0.031* | |||||
(0.128) | (0.098) | (0.244) | (0.001) | (0.325) | (0.001) | |
Country and global-level variables | ||||||
Country risk index | − 0.142* | − 0.221* | − 0.246*** | − 0.316* | − 0.142** | − 0.427* |
(0.003) | (0.001) | (0.068) | (0.002) | (0.028) | (0.000) | |
Financial market development | 0.043* | 0.032 | 0.034** | 0.023 | 0.215 | 0.011*** |
(0.002) | (0.124) | (0.023) | (0.252) | (0.302) | (0.078) | |
Lending interest rate | 0.107** | 0.124* | 0.113 | 0.113*** | 0.021*** | 0.029 |
(0.027) | (0.004) | (0.343) | (0.053) | (0.053) | (0.441) | |
Global risk | 0.024*** | 0.013** | 0.033** | 0.028*** | 0.027* | 0.033** |
(0.077) | (0.035) | (0.023) | (0.053) | (0.001) | (0.027) | |
TC dummies | YES | YES | YES | YES | YES | YES |
FC dummy | YES | YES | YES | YES | YES | YES |
Adj.R2 | – | – | – | – | 0.54 | – |
CD-test (p value) | – | – | – | – | (0.334) | – |
AR (2) | – | – | – | – | – | (0.335) |
Hansen-test | – | – | – | – | – | (0.541) |
Sargan-test | – | – | – | – | – | (0.438) |