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Table 8
Logit Regression Results: 4 Quarters before Downgrade

This table preforms Logit regression analysis on the sample of commercial banks and thrift institutions. All independent variables are defined in Table 7. T-statistics are shown in parentheses below their corresponding regression coefficients. A single, double, or triple "*" indiciates significance at the 10%, 5%, and 1% levels, respectively.
Specification
  CAMEL 3-Rated Group
(Panel A)
4 Quarters Before Downgrade
Camel 4/5-Rated Group
(Panel B)
4 Quarters After Downgrade
Independent Variable Anticipated
Sign
1 2 3 4 1 2 3 4

Intercept

+ 1.34
(21.5)**
3.01
(2.84)***
4.22
(2.99)***
2.00
(1.77)*
2.85
(3.67)***
3.05
(2.75)***
2.87
(1.98)**
0.52
(0.57)
Charter

INSBIF

+ 0.50
(1.17)
0.59
(1.34)
0.72
(1.60)
0.29
(0.81)
1.11
(2.52)**
1.37
(2.82)***
1.45
(2.92)***
0.32
(0.94)
Call Report Variables

EQ_AS

- -0.12
(2.84)***
-0.12
(2.83)***
-0.13
(3.01)***
no data -0.22
(3.03)***
-0.24
(3.11)***
-0.25
(3.08)***
no data 

NC_RES

+ 0.26
(2.51)**
0.22
(2.01)**
0.23
(2.13)**
no data 0.02
(0.45)
0.01
(0.09)
0.01
(0.16)
no data

ROA

- -0.98
(2.97)***
-0.80
(2.30)**
-0.76
(2.19)**
no data -1.86
(5.09)
-1.79
(4.09)***
-1.77
(3.88)***
no data

SC_AS

- -0.06
(4.32)***
-0.06
(4.16)***
-0.06
(4.06)***
no data -0.11
(5.70)***
-0.11
(5.52)***
-0.12
(5.54)***
no data

VL_AS

+ 0.06
(4.14)***
0.07
(4.07)***
0.06
(3.87)***
  0.08
(4.09)***
0.07
(3.85)***
0.07
(3.80)***
no data
Core Market variables

LN_PR

- no data -0.67
(1.88)*
-1.08
(2.50)**
-0.89
(2.64)***
no data -0.03
(0.07)
-0.02
(0.06)
-0.51
(1.85)*

EXRET

- no data -1.48
(1.25)
-1.88
(1.42)
-1.58
(1.45)
no data -3.96
(2.70)***
-4.06
(2.77)***
-3.77
(3.31)***

DIV

- no data -0.50
(1.34)
-0.40
(1.06)
-0.38
(1.14)
no data -0.77
(1.87)*
-0.88
(2.06)**
-0.67
(2.04)**
Risk Variables

BE_ME

+ no data
no data
0.28
(1.33)
no data
no data no data no data
0.12
(0.67)

SDRET

+ no data no data -20.09
(1.72)**
-16.39
(1.58)
no data no data -1.67
(0.12)
17.06
(1.56)

TURN

+ no data
no data
0.02
(1.43)
0.01
(1.22)
no data no data 0.03
(1.82)*
0.02
(1.41)
AIC no data 215.20 211.32 209.88 253.85 197.70 191.89 192.26 285.03
R2 no data 0.27 0.31 0.33 0.11 0.44 0.47 0.47 0.18
X2 (relative to specification 1) NA 9.88** 15.31*** NA NA 11.81*** 15.44*** NA
degrees of freedom no data no data 3 5 no data no data 3 5 no data

Last Updated 03/01/2002 insurance-research@fdic.gov