Table 2
The REST Model: Coefficients Estimated with Tobit |
| |
Reserves |
Past Dues 30–89 |
Past Dues 90+ |
Nonaccrual |
Other Real Estate |
Charge-offs |
Noncore Liabilities |
Liquid Assets |
| Intercept |
–2.385 |
5.756 |
2.595 |
–5.627 |
–0.706 |
–3.026 |
–8.015 |
24.764 |
| Log assets |
0.224 |
–0.278 |
–0.113 |
0.444 |
|
0.181 |
0.803 |
0.963 |
| Growth |
0.003 |
|
|
|
0.006 |
0.007 |
–0.042 |
–0.052 |
| Lagged Variables |
| Equity |
|
|
|
0.13 |
|
0.045 |
0.597 |
|
| Loan-loss reserves |
|
–0.554 |
–0.582 |
|
|
|
|
|
| Loans past due 30–89 days |
|
0.646 |
|
0.373 |
0.44 |
0.256 |
–0.930 |
|
| Loans past due 90+ days |
|
|
0.455 |
|
|
|
|
|
| Nonaccrual loans |
|
0.79 |
0.416 |
|
|
|
–2.621 |
|
| Other real estate |
|
|
–0.869 |
–1.407 |
|
|
|
|
| Charge-offs |
|
–2.002 |
|
|
|
0.712 |
–11.673 |
|
| Provisions for loan loss |
|
|
|
|
|
|
11.304 |
|
| Income before taxes |
|
|
|
|
|
|
|
|
| Noncore liabilities |
|
0.028 |
|
|
0.026 |
|
0.696 |
|
| Liquid assets |
|
–0.036 |
|
|
|
|
|
0.428 |
| Loans and long-term securities |
|
|
|
|
|
|
|
–0.247 |
| Loan Types |
| Agriculture loans |
|
|
|
|
|
|
|
|
| C&I loans |
0.031 |
|
|
0.044 |
|
0.019 |
|
|
| Credit card loans |
|
|
|
|
|
|
0.105 |
|
| Other consumer loans |
0.025 |
0.044 |
|
|
|
|
|
|
| Loans to depositories |
0.189 |
|
|
|
|
|
–0.819 |
|
| Municipal loans |
|
–0.150 |
–0.121 |
|
–0.240 |
|
|
|
| Agricultural real estate loans |
|
|
|
|
|
–0.076 |
0.82 |
|
| Construction loans |
0.113 |
0.077 |
0.071 |
0.25 |
0.155 |
0.088 |
–0.197 |
| Multifamily-housing loans |
|
0.144 |
|
|
0.132 |
|
|
|
| Nonresidential real estate loans |
|
|
|
|
0.069 |
0.025 |
|
–0.125 |
| 1–4 family mortgages |
|
|
–0.012 |
|
|
|
|
|
| Leases |
|
|
|
|
|
|
|
|
| Pseudo-R2 |
0.3689 |
0.4597 |
0.1306 |
0.3588 |
0.3219 |
0.438 |
0.7679 |
0.5862 |
| Chi-Squared Statistic |
12.45 |
7.67 |
9.43 |
16.76 |
17.05 |
12.44 |
9 |
17.51 |
| Degrees of Freedom |
20 |
15 |
18 |
20 |
19 |
17 |
15 |
20 |
| Zero values |
0 |
0 |
21 |
9 |
14 |
1 |
3 |
0 |
| 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. |
