Table 2b
Composite CAMELS Rating for Next 12 Months Prediction
Logistic Regressions
FDIC Survey Data 1998-2001
| |
Specification 1 |
Specification 2 |
Specification 3 |
Specification 4 |
| Explanatory Variable |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
Coefficient Estimate |
(standard error) |
| Intercept 3 |
-2.8577 *** |
(0.4645) |
-0.9439 * |
(0.5111) |
0.5114 |
(0.6457) |
0.0835 |
(0.6093) |
| Intercept 2 |
0.9511 ** |
(0.4598) |
3.3963 *** |
(0.5138) |
5.8893 *** |
(0.6560) |
5.3746 *** |
(0.6172) |
| Equity |
-0.1039 *** |
(0.0094) |
-0.1002 *** |
(0.0096) |
-0.0588 *** |
(0.0114) |
-0.0561 *** |
(0.0113) |
| Allowance for loan losses |
0.2726 *** |
(0.0896) |
0.1362 |
(0.0918) |
-0.0856 |
(0.1098) |
-0.0777 |
(0.1084) |
| Loans past due 30-89 days |
0.3849 *** |
(0.0404) |
0.2975 *** |
(0.0425) |
0.2936 *** |
(0.0506) |
0.3128 *** |
(0.0497) |
| Loans past due 90 days or more |
0.5573 *** |
(0.0906) |
0.4152 *** |
(0.0941) |
0.4367 *** |
(0.1062) |
0.4699 *** |
(0.1050) |
| Nonaccrual loans and leases |
0.7969 *** |
(0.0632) |
0.5514 *** |
(0.0673) |
0.3093 *** |
(0.0770) |
0.3452 *** |
(0.0752) |
| Other real estate owned |
0.9775 *** |
(0.1229) |
0.7682 *** |
(0.1299) |
0.4682 *** |
(0.1442) |
0.4815 *** |
(0.1455) |
| Volatile liabilities |
0.0117 *** |
(0.0032) |
0.0154 *** |
(0.0033) |
0.014 *** |
(0.0040) |
0.0124 *** |
(0.0040) |
| Liquid assets |
-0.0071 * |
(0.0039) |
-0.0108 *** |
(0.0041) |
-0.0036 |
(0.0052) |
-0.0020 |
(0.0051) |
| Loans and securities with maturities of 5 years or more |
0.0005 |
(0.0044) |
-0.0038 |
(0.0046) |
-0.0063 |
(0.0058) |
-0.0046 |
(0.0057) |
| Gross charge-offs on loans & leases |
-0.2150 |
(0.1463) |
-0.3008 ** |
(0.1374) |
-0.3312 ** |
(0.1441) |
-0.3308 ** |
(0.1416) |
| Provisions for loan & lease losses |
0.5744 *** |
(0.1327) |
0.4678 *** |
(0.1386) |
0.4233 *** |
(0.1469) |
0.4434 *** |
(0.1486) |
| Income before taxes and extraordinary items |
-1.2041 *** |
(0.0473) |
-1.1661 *** |
(0.0494) |
-0.5350 *** |
(0.0541) |
-0.5081 *** |
(0.0534) |
| State personal-income growth, lag 1 |
0.0590 *** |
(0.0217) |
0.0649 *** |
(0.0228) |
0.0402 |
(0.0286) |
0.0353 |
(0.0284) |
| State personal-income growth, lag 2 |
0.0844 *** |
(0.0213) |
0.0960 *** |
(0.0223) |
0.1003 *** |
(0.0282) |
0.0931 *** |
(0.0279) |
| State personal-income growth, lag 3 |
-0.0184 |
(0.0270) |
-0.0285 |
(0.0283) |
-0.0293 |
(0.0355) |
-0.0274 |
(0.0352) |
| State personal-income growth, lag 4 |
-0.0232 |
(0.0248) |
-0.0394 |
(0.0260) |
-0.0544 * |
(0.0326) |
-0.0509 |
(0.0323) |
| State personal-income growth, lag 5 |
0.0573 ** |
(0.0250) |
0.0559 ** |
(0.0262) |
0.0616 * |
(0.0326) |
0.0591 * |
(0.0323) |
| Composite CAMELS dummy 1 |
|
|
|
|
-6.4065 *** |
(0.1996) |
-6.7808 *** |
(0.1820) |
| Composite CAMELS dummy 2 |
|
|
|
|
-2.7633 *** |
(0.1633) |
-2.9736 *** |
(0.1485) |
| Concentrations of credit dummy 1 |
|
|
-0.2569 *** |
(0.0972) |
-0.0375 |
(0.1206) |
|
|
| Concentrations of credit dummy 3 |
|
|
-0.2200 |
(0.1536) |
-0.1257 |
(0.1878) |
|
|
| Fail-to-adjust pricing dummy 1 |
|
|
-0.1899 |
(0.1208) |
-0.1831 |
(0.1453) |
|
|
| Fail-to-adjust pricing dummy 3 |
|
|
0.5867 ** |
(0.2608) |
0.5157 * |
(0.3012) |
|
|
| Principal reduction dummy 1 |
|
|
-0.2126 ** |
(0.0972) |
-0.0914 |
(0.1185) |
|
|
| Principal reduction dummy 3 |
|
|
-0.0571 |
(0.2275) |
-0.1358 |
(0.2583) |
|
|
| Written policies versus practices dummy 1 |
|
|
-0.2257 ** |
(0.0993) |
0.1558 |
(0.1213) |
|
|
| Written policies versus practices dummy 3 |
|
|
0.4069 * |
(0.2202) |
0.2335 |
(0.2528) |
|
|
| Current underwriting practices dummy 1 |
|
|
-0.3246 *** |
(0.1126) |
-0.2106 |
(0.1398) |
|
|
| Current underwriting practices dummy 3 |
|
|
0.4666 * |
(0.2572) |
0.0033 |
(0.2824) |
|
|
| Portfolio credit risk dummy 1 |
|
|
-0.4559 *** |
(0.1035) |
-0.0741 |
(0.1291) |
|
|
| Portfolio credit risk dummy 3 |
|
|
0.3801 |
(0.2319) |
-0.2249 |
(0.2550) |
|
|
| Loan administration dummy 1 |
|
|
-0.7749 *** |
(0.1002) |
-0.3636 *** |
(0.1249) |
|
|
| Loan administration dummy 3 |
|
|
0.3401 |
(0.2198) |
0.1814 |
(0.2491) |
|
|
| Akaike Information Criteria |
6,374.13 |
|
5,814.50 |
|
4,055.66 |
|
4,076.28 |
|
| Somers' D Statistic |
65.7% |
|
72.2% |
|
84.7% |
|
84.3% |
|
| -2 x log likelihood, L(specification) |
6,336.13 |
|
5,748.50 |
|
3,985.66 |
|
4,034.28 |
|
| Likelihhood-ratio test statistic for significance of survey variables: |
L(1) - L(2) |
|
|
|
|
|
L(4) - L(3) |
|
| Chi-square, degress of freedom, 5 percent critical value |
587.76, 7, 14.07 |
|
|
|
|
|
48.62, 7, 14.07 |
|
* indicates significance at 10% level, ** indicates signifcance at 5% level
and *** indicates significance at 1% level
