Table 1
The REST Model: Coefficients Estimated with OLS |
| |
Equity |
Provisions |
Income before Taxes |
Loans |
| Intercept |
6.111 |
–3.830 |
4.933 |
22.523 |
| Log assets |
–0.315 |
0.283 |
–0.245 |
|
| Growth |
–0.020 |
0.008 |
–0.009 |
0.046 |
| Lagged Variables |
| Equity |
0.535 |
|
|
|
| Loan-loss reserves |
1.346 |
|
|
|
| Loans past due 30–89 days |
|
0.253 |
–0.354 |
–0.960 |
| Loans past due 90+ days |
–0.804 |
|
|
|
| Nonaccrual loans |
|
–0.755 |
1.029 |
|
| Other real estate |
|
|
|
|
| Charge-offs |
|
1.084 |
|
|
| Provisions for loan loss |
|
|
|
|
| Income before taxes |
0.815 |
|
0.378 |
|
| Noncore liabilities |
|
|
–0.032 |
|
| Liquid assets |
0.032 |
|
|
|
| Loans and long-term securities |
|
|
|
0.689 |
| Loan Types |
| Agriculture loans |
|
|
|
|
| C&I loans |
–0.040 |
0.054 |
–0.075 |
|
| Credit card loans |
0.059 |
|
0.072 |
|
| Other consumer loans |
|
|
|
|
| Loans to depositories |
|
|
|
|
| Municipal loans |
|
|
|
|
| Agricultural real estate loans |
|
|
|
0.858 |
| Construction loans |
–0.229 |
0.217 |
–0.366 |
|
| Multifamily-housing loans |
|
|
|
|
| Nonresidential real estate loans |
|
|
|
|
| 1–4 family mortgages |
|
|
|
|
| Leases |
|
–0.214 |
0.376 |
|
| R2 |
0.5212 |
0.3702 |
0.4474 |
0.5834 |
| F-Statistic |
0.676 |
0.868 |
0.557 |
0.611 |
| Degrees of freedom |
16,176 |
18,176 |
16,176 |
22,176 |
| Note: The data are for 203 New England banks The independent variables are from December 1987 and the dependent variables are from December 1990 Charge-offs, provisions, income, and growth are all based on merger-adjusted data. |
