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2. Rinaldi and Sanchis-Arellano (2006)
3. The Financial Accelerator Theory
4. Bernanke and Gertler (1989)
5. Bernanke and Gilchrist (1999)
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1. Hellmann (2000), Besanko and Thakor (1993), Boot and Greenbaum (1993) and Matutes
and Vives (2000)
2. Concentration Stability
3. Allen and Gale (2000)
4. Boyd and Gianni (2005)
5. Caminal and Matutes (2002)
6. Too Big to Fail
(1999) (0TI09 .7
8. Coase
10. Cooter and Ulen (2000)
(1960) OP2E .9
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1. Alchian (1965)
(1995 P 1974) ]F0KfFZ@ .2
(2004) 20A .3
4. Millward and Parker (1983)
5. Louzis, et al
6. Economies of Scope
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1. Keeton and Morris (1987)
2. Sinkey and Greenwalt (1991)
49 56"71 2,34"1 /"0 '()*( +,"%-.( +" !"#$%& 126
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1. Bercoff, et al (2002)
2. Survival Analysis
3. Salas and Saurina (2002)
4. Meanwhile, Rajan and Dhal (2003)
5. Jimenez and Saurina (2005)
6. Myopia
7. Herd Behaviour
8. Agency Problems
9. Fofack (2005)
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.8-.O@"%'H-9 1996-1999 H.-9O eP" " 6-.' e"@" M-d2)N9 , O@ e"zFZ@ + ?@2 " #N
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1. Real Effective Exchange Rate
2. Inter-bank Loans
3. Hu, et al (2004)
4. Quagliarello (2004)
5. Cifter, et al (2009)
6. Louzis, et al (2011)
49 56"71 2,34"1 /"0 '()*( +,"%-.( +" !"#$%& 128
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2. Herfindahl–Hirschman Index
49 56"71 2,34"1 /"0 '()*( +,"%-.( +" !"#$%& 130
.8-.@e8-C $O@%-+ + %@ ?@2_d M+ #N 6T0Z 4C (0I.r #A%0xF9 + ?20Z%i /";9
O@ H-Z%+ "2-9 eP" 72-` " (2 @"2-).) :2-;9 /<=>9 " #i8.9 %@ %+ M<KQ #@%+ (0_n)A
e8-C e"zF-Z@ ?20Z%i Z@ )Z " 2' 6.' 789 2ll " :2;9 /<=>9 MzGP + %"S9
.[O@"%'H9 A%0xF9 (@ %u0G" Y0c2 M+ M9@"@ " .Z@
" H-)w@" P G29 /@%00x M]N #@%+ @8F+@ 5:2;9 /<=>9 %+ #N 6T0Z %@ e8AI9 #@%+
]-r M-E Z@ e8C e"zFZ@ /TZP%'-,8A %FK0! 1357-1387 eP" #@%+ GDP H.9O #%Z
M-E #2-`M-+ y t " $ t # ct H_; .Z@ ?R 8.P O@ HK9 80=2 H)Ff= %"S9 ~@%W.@ HKT0Z
.8). 6G@8s @ %O M>+@ e89R Z"M+ 8.P %0X9 %"S9
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?-I. @ :2-;9 /-<=>9 %-+ ?D-E "3FG@ B@%C %@ 8.@2H9 ME Z@ #%f" %0xF9 U2 %.
%-. \@]-!@ -+ "PH9 VF.@ :2;9 /<=>9 + 69d (@ <9 M>+@ 5u0SW /0+"@ gZ@%+ .8A"
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5HK9 #A,.+ 69C HF=P" #A,.+ .Z@ H1234 ,.+ 4 P (Z@ e"2). OQR 1383 7Z O@
69-C H-1234 #-A,-.+ P (TX9 P #OPIE 5?@%iE e! 5K9 5/N 5/@"1 5M|Z
1381-1387 M-;=>9 "2-9 eP" " ME Z@ (2. "3FG@ P ?0Z' 5?9Z 5(%!RE #A,.+
O@ 81" 92 @8S9 1387 7Z " 5u0SW (@ " HZ%+ "29 #A,.+ Md2)N9 .8.@MFC@" 0=;!
#@8-T.+ \-L+ H.-X.@ #P%-0. O@ 8-1" 95 O@ \0-+ P Ae"%|Z 6E O@ 81" 99 5AH@@" 6E
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HF+- @8-S9 789 7D4@ ]r {.@P ME Z@ (@ H>4 ?20Z%i 789 [*9 hP%! O@ HT
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{.-@P H.-X)A. "2-rP #-_;9 M-+ ?R 6-+S9 M0-c%! P 6.' #Ae"@" {.@P H.X)A. U8d %+
1. Likelihood Ratio
49 56"71 2,34"1 /"0 '()*( +,"%-.( +" !"#$%& 132
M-+ hP%-z9 6-.' 78-9 " H 0 M0c%! 52 Z20' M+ Mr2 + ?29OR (@ O@ 61s yF. u<` .Z@
."2CH9 " {.@P H.X)A. U8d
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(0-+ HfF-X<)A"24 U8d %+ H_<9 ?29OR (@ %z1 M0c%! .[@e"2). e"zFZ@ "2C H9 @%r@ xtserial1
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M-+ M-r2 -+ .-Z@ /"-;9 [F-X0Z ,- /2-1 M-+ 78-9 H-Z_C 8-.+ P 2.R e8__E"PR%+
B-Z2 e8-C M-w@@ $P O@ u-0SW (@ " (1991) 8.+ P 2.R e8__E"PR%+ " e2S=+ #A J;c
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2. Robust
3. Generalized Methods of Moments
4. Arellano-Bond (1991)
5. Arellano-Bover (1995)
6. Blundell-Bond (1998)
49 56"71 2,34"1 /"0 '()*( +,"%-.( +" !"#$%& 134
:2-;9 /-<=>9 M.-Z %-00x H)F-f= g-0S9 M-E M F-X+@P %0xF9 (0+ M>+@ 2ll (@ "
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M-+ MF-X+@P %-0xF9 O@ MzGP 2 "@8; maxldep() 2FZ" O@ e"zFZ@ + .Z@ e8C e"O (0)L stata10
2V_9 M+ A,.+ /01234 %+ ?P]!@ .Z@ e8C MF!%i %V. " 2' 6.' 789 " @]+@ %0xF9 ?@2_d
$O@%-+ ;_-1 F4Z P #N 6T0Z 4C (0I.r #A%0xF9 + hP%z9 789 5yF. #@2FZ@
" @2F-Z@ 0;9 ~@%W.@ (0)L M+ 80S9 5H)FX0Z GMM 789 (0)L O@ 61s yF. .8C 8A@24
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2 /M!
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1/94
2/08
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2/16
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3 /M!
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o*()a
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5 /M!
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o*()a
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-2/42
-1/92
-1/96
-1/31
-1/99
-1/82
-1/31
1/91
2/46
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1/91
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0/26
1/72
0/ 3
1/88
0/30
2/17
0/25
1/96
0/24
1/95
0/27
1/57
0/36
1/12
0/38
1/27
0/45
1/48
0/35
1/19
0/356
1/21
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1/15
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49 234' 5#/67' () *+,-+ ./01+ .#"#$%& ! 142
#I)9E&
Variable
Mean
(G 3/ 0!3 3N? .#,EK0 .3L MEJ9F .1 I)9E&
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Min
Max
Observations
npl
overall
between
within
7350.536
8726.219
4770.651
7418.425
0
1217
-3653.036
39134
152 99
35026.54
N =
n =
T =
84
12
7
eff
overall
between
within
.8730952
.1522362
.1147811
.1046591
.38
.58
.4859524
1
.9728571
1 .095952
N =
n =
T =
84
12
7
loas
overall
between
within
.6752047
.7240268
.2846721
.6701006
.0626991
.3998748
-.769851
6.95965
1 .543002
6 .091853
N =
n =
T =
84
12
7
size
overall
between
within
.9998673
.8561805
.8506635
.2484497
.0167833
.093451
-.4670721
3.033118
2 .767415
1.546039
N =
n =
T =
84
12
7
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overall
between
within
26877.34
3 2428.02
3.80e-12
32428.02
-18982.27
26877.34
-18982.27
7 1408.47
2 6877.34
71408.47
N =
n =
T =
84
12
7
gdpgro~h overall
between
within
.0674209
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0
.0065056
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.0674209
.06
. 07881
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. 07881
N =
n =
T =
84
12
7
ue
overall
between
within
11.15714
.7251566
0
.7251566
10.4
11.15714
10.4
12 .5
11.15714
12 .5
N =
n =
T =
84
12
7
inf
overall
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within
.161
.0 45479
0
.0 45479
.104
.161
.104
.254
.1 61
.254
N =
n =
T =
84
12
7
hhi
overall
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within
1387.767
1 80.1599
0
180.1599
1202.94
1387.767
1202.94
1 663.538
1387.767
1 663.538
N =
n =
T =
84
12
7
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hete rosk edas tic
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=
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Es tim ate d c oef fic ien ts
=
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12
0
8
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ln plg e
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ll oan g
lg dpg
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.0 8808 82
-.2 4945 36
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-.4 1308 19
-.0 6868 45
.2 0709 89
1. 2006 65
Std . Err .
.115 0304
.220 8037
.035 3376
.081 2177
.161 9534
.030 4349
.166 9812
.355 4761
z
0.7 7
-1.1 3
6.7 8
-0.3 9
-2.5 5
-2.2 6
1.2 4
3.3 8
P>| z|
0.44 4
0.25 9
0.00 0
0.69 4
0.01 1
0.02 4
0.21 5
0.00 1
[95% C on f. In ter va l]
-.13 7367 2
-.68 2220 9
.17 0482 3
-.19 1133 5
-.73 0504 8
-.12 8335 8
-.12 0178 2
.50 3944 6
.31 35437
.18 33137
.3 09003
.12 72342
-.09 56589
-.00 90332
.5 34376
1.8 97386
. es tim at es st ore h ete ro s1
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=
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=
Lo g l ike lih ood
1
0
8
N umb er of obs
=
53
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=
12
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4
av g =
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ma x =
5
22.24
W ald c hi2( 7)
=
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=
0 .0023
=-50 .327 27
ln plg e
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ln plg e
L1.
le ff
ll oas
ls ize
st ste Own er
ll oan g
lg dpg
_c ons
-.0 4150 81
.7 1693 92
.0 2671 96
.0 9061 22
-.8 3606 09
.0 5926 76
1. 3525 99
3. 3294 28
Std . Err .
.136 1492
.675 8215
.163 8981
.121 6054
.302 6448
.084 4587
1.02 2864
1.4 1628
z
-0.3 0
1.0 6
0.1 6
0.7 5
-2.7 6
0.7 0
1.3 2
2.3 5
P>| z|
0.76 0
0.28 9
0.87 0
0.45 6
0.00 6
0.48 3
0.18 6
0.01 9
[95% C on f. In ter va l]
-.30 8355 5
-.60 7646 6
-.29 4514 8
-.14 7729 9
-1.4 2923 4
-.10 6268 4
-.65 2177 3
.55 3569 4
.22 53393
2.0 41525
.3 47954
.32 89543
-.24 28879
.22 48036
3.3 57375
6.1 05286
. lo cal d f = e (N_ g) - 1
. lr tes t het er os1 . , df (` df' )
Li ke lih oo d-r at io te st
(A ssu mpt ion : . n est ed in he te ros 1)
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0 .0000
. *M ode l 2 w it hou t mac ro ef fe ct
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le ff llo as lsi ze sts teO wne r l loa ng , i gls pa nel s ( het er
.1 78858 42
.1 06095 26
.0 67090 63
49 234' 5#/67' () *+,-+ ./01+ .#"#$%& ! 144
Cross-se cti ona l
Coeffici ent s:
Panels:
Correlat ion :
Estimate d
Estimate d
Estimate d
Log
.
t ime -se rie s
c ova ria nce s
a uto cor rel ati ons
c oef fic ien ts
12
0
7
C oe f.
ln plg e
L1.
le ff
lloas
lsize
st steOwner
ll oan g
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.0 6 22 74 8
- .2 1 31 49 3
.2 3 21 70 5
- .0 0 58 92 1
- .4 8 16 37 2
- .0 5 99 34 5
.9 9 31 16 4
Std . Err .
use
es tim at es
Cross-se cti ona l
Coeffici ent s:
Panels:
Correlat ion :
llo as
lsize
le ff llo as
7 . 08 4e -1 6
t ime -se rie s
C oe f.
ln plg e
L1.
le ff
lloas
lsize
st steOwner
ll oan g
_cons
-. 0 78 01 3
.7 2 69 12 2
.0 2 28 17 5
.0 8 21 16 7
- .8 3 91 50 4
.0 5 63 26 4
1. 5 07 55 9
.
lo cal d f
.
lrtes t het er os2 . ,
= e (N_ g)
-
Li ke lih oo d-r at io te st
(Assumpt ion : . nested
F GLS
lsize
. 2 99 42 59
. 22 85 39
. 3 22 53 61
. 1 56 73 76
-. 1 26 79 82
. 00 58 22
1 . 40 63 67
l loa ng
,
i gls
cl ear
sts teOwne r
l loa ng
,
i gls
re gression
1
0
7
=
=
=
Std . Err .
N umb er of obs
=
53
N umb er of gro ups
=
12
O bs per gr oup : m in =
4
4 . 41 66 67
av g =
ma x =
5
1 9. 84
W ald c hi2( 6 )
=
Pr ob > ch i2
=
0. 00 30
[95% C on f.
-. 3 43 59 3 2
-. 6 19 26 3 8
-. 3 03 62 0 3
- . 15 97 8 7
-1 . 44 20 1 1
- .1 11 8 6
. 8 53 83 8 8
LR c hi2( 1 1 ) =
Pr ob > chi 2 =
in he te ros 2)
*Mode l 1 w it h
.
xtseri al
(2002)
Pa nen T est : wri tt en
by
Da vi d
effec t
le ff
llo as
lsi ze
Wooldrid ge tes t f or aut oco rre lat ion
H0: no fi rs t-o rd er au tocorrelation
3. 47 8
F(
1,
11) =
Pro b > F =
0. 08 91
2 w it hou t mac ro
lnp lge
P>| z|
0. 56 5
0. 29 0
0. 89 1
0. 50 6
0. 00 6
0. 51 2
0. 00 0
In ter va l]
. 1 87 56 72
2 . 07 30 88
. 3 49 25 53
. 3 24 02 05
-. 2 36 28 94
. 2 24 51 27
2 . 16 12 78
1
.
macro
- 0. 58
1. 06
0. 14
0. 67
- 2. 73
0. 66
4. 52
df(`df')
* Aut oc oro la tio n Woo ld rid ge
)
lnp lge
z
. 13 55 0 26
. 68 68 3 71
.1 66 5 53
. 12 34 2 26
. 30 75 8 78
. 08 58 1 09
. 33 35 3 66
.
>
xtseri al
sts teOwne r
=-5 1. 1 87 48
ln plg e
* Mod el
-. 1 74 87 6 4
-. 6 54 83 7 7
. 1 41 80 4 8
-. 1 68 52 1 8
-. 8 36 47 6 3
-. 1 25 69 1 1
. 5 79 86 5 6
In ter va l]
ge ne r al iz ed le as t s qu ar e s
ho mo s ke da st i c
no a u to co rr e la ti on
like lih ood
.
0. 60 7
0. 34 4
0. 00 0
0. 94 3
0. 00 8
0. 07 4
0. 00 0
S tud ent s\P ORDEL\Data\NPLd ata set .dt a",
c ova ria nce s
a uto cor rel ati ons
c oef fic ien ts
.
[95% C on f.
st ore h ete ro s2
. xtg ls lnp lge L. lnp lge
It er ati on 1: to ler an ce =
Log
0. 51
- 0. 95
5. 04
- 0. 07
- 2. 66
- 1. 79
4. 71
P>| z|
st ore h ete ro s2
"C :\U ser s\S imi n\M y
Estimate d
Estimate d
Estimate d
z
. 12 09 9 77
. 22 53 5 53
. 04 61 0 58
. 08 29 7 58
. 18 10 4 37
. 03 35 4 99
. 21 08 4 61
. xtg ls lnp lge L. lnp lge le ff
v ar ia bl e l lo a ng n ot fo un d
r(111);
.
N umb er of obs
=
53
12
N umb er of gro ups
=
4
O bs per gr oup : m in =
4 . 41 66 67
av g =
ma x =
5
W ald c hi2( 6 )
=
7 1. 40
0. 00 00
Pr ob > ch i2
=
=-3 2. 0 86 01
ln plg e
.
re gression
=
=
=
like lih ood
es tim at es
F GLS
ge ne r al iz ed le as t s qu ar e s
he te r os ke da s ti c
no a u to co rr e la ti on
le ff
ststeOwner
in
panel
lloa ng
data
ef fe ct
llo as
lsi ze
Wooldrid ge tes t f or aut oco rre lat ion
H0: no fi rs t-o rd er au tocorrelation
F(
1,
11) =
0. 00 0
Pro b > F =
0. 99 25
ststeOwner
in
panel
lloa ng
data
lgd pg
3 8. 20
0. 00 01
D ru kke r (2003
145 *+,-+ .3+GH7? I:J 3/ 89: ;<=> ,? ,@A B+9C DEE<F
.
.
. log us ing
6 F 1 Q40SE) GMM .#(G DE4VF P-07 .3 I)9E&
"The res ult s o f t he spe cif ied
GM M Models"
l og: C: \ U se r s \S i m in \ My S tu d e nt s \ PO R D EL \ D at a \ Th e r e s ul t s o f th e sp e c if i e
> d G MM M od e l s. s m cl
lo g t ype: sm c l
opened o n: 18 N ov 2 01 1 , 0 9 :2 6 : 17
.
. *Re sul ts of NPL de ter min ant s in I ran ian
ba nking sys tem
.
. *De pen den t variabl e i s t he logari thm ic sca le of NPL gr owt h
.
. * T he ban k effect var iab les inclu de: , log arithmic sca le of effici enc y, log ar
> ith mic sc ale of lo ans to as sets r ati o, log arithmic sca le of size o wne rsh ip st
> at us wh ich is a d ummy wit h fig ur e 1 f or st at e o wn ers hi p
.
.
>
>
>
>
* F or rob ustness o f t he emp irical fi ndi ngs , the reg res sio ns wer e e sti mat ed wi
th alt ern ative mea sur es of busine ss cyc le variable: th e d eviation of gdp ov er
lo gar ith m scale f rom it s t rend ( usi ng Hod rick-Pres cot t) method as cy cli cal o
utp ut, th e lag act ual GD P g rowth rat e, the lag of l oga rit hm of une mpl oym ent r
ate an d e lag of l oga rit hm of inf lat ion
r ate
.
. *
Mod el I:
> ct
Syst em
GMM
mo del wi th
rob ust
standard er ror s without ma cro
.
. xt dpd sy s l nplge l eff
llo as ls iz e sts teO wn er , maxld ep( )
la gs(2)
>
vc e(r obu st)
note: st ste Owner dro ppe d f rom div() be cau se of collin ear ity
Syste m d yna mic panel -da ta est imatio n
Group va ria ble: i d
Time var iab le: y e ar
Numbe r o f i nstrument s =
One-s tep
a rte st s(2)
Number o f o bs
Numbe r o f g roups
Obs per
17
gro up:
ef fe
=
=
47
12
min =
3
3 .9 1 6 66 7
avg =
4
max =
Wa ld chi2( 6)
Pr ob > ch i2
=
=
4 3 .2 8
0 . 0 00 0
re sults
ln plg e
C oe f.
ln plg e
L1.
L2.
leff
ll oas
ls ize
st ste Owner
_c ons
- .3 5 7 63 5 9
-. 3 0 58 3 9
- 1. 2 8 02 0 6
.2 5 9 68 9 6
.3 6 4 30 7 9
- 1. 7 9 18 9 7
2. 5 5 22 5 2
Ro bus t
Std . Err .
.1 8 4 59 1 9
.1 4 7 38 0 1
.5 9 2 22 0 8
.1 5 1 32 4 5
.3 2 3 88 9 5
.8 6 2 34 4 3
.8 2 6 51 8 5
z
P>| z|
-1 . 9 4
-2 . 0 8
-2 . 1 6
1.72
1.12
-2 . 0 8
3.09
[95% C on f. In ter va l]
0. 0 5 3
0. 0 3 8
0. 0 3 1
0. 0 8 6
0. 2 6 1
0. 0 3 8
0. 0 0 2
- . 71 9 4 29 4
- . 59 4 6 98 7
- 2 .4 4 0 93 7
- . 03 6 9 00 9
- . 27 0 5 03 9
- 3 .4 8 2 06 1
. 93 2 3 05 9
. 00 4 1 57 6
- . 01 6 9 79 2
- . 11 9 4 74 4
. 55 6 2 80 1
. 99 9 1 19 7
- . 10 1 7 33 2
4 .1 7 2 19 9
Instr ume nts for d iff ere nce d e quatio n
GMM -type: L ( 2 /. ) . ln p lg e
Sta ndard: D . l ef f D. l lo a s D . l si z e
Instr ume nts for leve l e qua tio n
GMM -type: L D . ln p l ge
Sta ndard: _ c o ns
.
. *
Mod el II:
Sys tem GM M m odel w ith ro bus t standar d e rro rs with m acr o e ffe ct
>
wh ich is
cyclica l o utp ut
.
. xt dpd sy s l nplge l eff
llo as ls iz e sts teO wn er
lcygdp , l ag s(2)
> (ro bus t)
note: st ste Owner dro ppe d f rom div() be cau se of collin ear ity
Syste m d yna mic panel -da ta est imatio n
Group va ria ble: i d
Time var iab le: y e ar
Number o f o bs
Numbe r o f g roups
Obs per
Numbe r o f i nstrument s =
One-s tep
18
gro up:
=
=
47
12
3
min =
3 .9 1 6 66 7
avg =
max =
4
Wa ld chi2( 7)
Pr ob > ch i2
=
=
1 8 .1 0
0 . 0 11 5
re sults
ln plg e
C oe f.
ln plg e
L1.
L2.
leff
ll oas
ls ize
st ste Owner
lc ygd p
_c ons
-. 3 7 09 1 7
- .3 9 8 59 2 6
- 2. 9 3 51 4 6
.2 9 8 14 7 3
.3 8 2 64 9 3
- 2. 5 0 39 2 7
2. 1 1 33 8 1
5. 8 6 28 8 1
Ro bus t
Std . Err .
.1 8 2 81 1 6
.1 6 8 15 9 5
1. 5 9 40 8 8
.1 5 8 32 0 4
. 3 0 07 3 6
1. 3 2 60 3 1
1. 5 9 26 1 5
2. 9 9 37 6 8
z
-2 . 0 3
-2 . 3 7
-1 . 8 4
1.88
1.27
-1 . 8 9
1.33
1.96
P>| z|
0. 0 4 2
0. 0 1 8
0. 0 6 6
0. 0 6 0
0. 2 0 3
0. 0 5 9
0. 1 8 5
0. 0 5 0
Instr ume nts for d iff ere nce d e quatio n
GMM -type: L ( 2 /. ) . ln p lg e
Sta ndard: D . l ef f D. l lo a s D . l si z e D . l cy g d p
Instr ume nts for leve l e qua tio n
GMM -type: L D . ln p l ge
Sta ndard: _ c o ns
.
a rte st s(2) vc e
[95% C on f. In ter va l]
- . 72 9 2 21 1
- . 72 8 1 79 2
-6 . 0 59 5
- . 01 2 1 55 1
- . 20 6 7 82 5
- 5 .1 0 2 90 1
- 1 .0 0 8 08 8
- . 00 4 7 96 5
- . 01 2 6 12 9
- .0 6 9 00 6
. 18 9 2 08 3
. 60 8 4 49 6
.9 7 2 08 1
. 09 5 0 46 7
5 .2 3 4 84 9
1 1. 7 3 05 6
49 234' 5#/67' () *+,-+ ./01+ .#"#$%& ! 146
.
.
. * Mod el III:
System GMM model with robust sta nda rd errors with macro effec
> t w hic h is the lag of DGP growth
. xtdpdsys lnplge leff lloas lsiz e s tsteOwner L .gd pg, lags(2)
> (ro bus t)
no te: st steOwner dropped from div() because of col lin ear ity
Sy ste m d ynamic panel-data estimation
Gr oup va riable: i d
Ti me var iable: ye ar
Nu mbe r o f o bs
Number of groups
Ob s p er gro up:
Nu mbe r o f instruments =
a rte sts(2) vce
18
=
=
47
12
min =
3
avg =3. 916 667
max =
4
Wald ch i2( 7)
Prob > chi2
=
=
17 .11
0.0 167
On e-s tep results
ln plge
ln plge
L1.
L2.
leff
lloas
lsize
ststeOwner
gdpgt
L1.
_cons
Coef.
Robust
Std. Err.
z
P>|z|
[95% Conf. Inter val]
- .29 40 939
- .36 69 013
- 2.1 84 739
.30 23 093
.44 97 999
- 2.1 30 817
.15 405 74
.14 903 92
1.1 435 58
.13 958 09
.30 371 98
1.0 004 68
-1. 91
-2. 46
-1. 91
2. 17
1. 48
-2. 13
0 .05 6
0 .01 4
0 .05 6
0.03 0
0 .13 9
0 .03 3
- .59 604 09
- .65 901 28
- 4.4 260 72
.02 873 57
- .14 547 98
- 4.0 916 98
.0 078 531
-.0 747 899
.0 565 941
.5 758 829
1 .04 508
-.1 699 353
- 10. 29 945
5.3 66 013
4.9 487 27
1.8 973 93
-2. 08
2. 83
0 .03 7
0 .00 5
- 19. 998 78
1. 647 19
-.6 001 215
9. 084 835
In str ume nts for differenced equation
GMM-type: L( 2/ .). lnp lge
Standard: D. le ff D.l loa s D.ls ize LD .gd pgt
In str ume nts for level equation
GMM-type: LD .l npl ge
Standard: _c on s
.
. * Mod el IV:
System GMM model with robust s tan dar d e rrors with macro effect
> wh ich is the lag of the logarithm scale of une mpl oym ent rate
. xtdpdsys lnplge leff lloas lsiz e s tsteOwner L .lu , lags(2) artests(2) vce(r
> obu st)
no te: st steOwner dropped from div() because of col lin ear ity
Sy ste m d ynamic panel-data estimation
Gr oup va riable: i d
Ti me var iable: ye ar
Nu mbe r o f o bs
Number of groups
Ob s p er gro up:
Nu mbe r o f instruments =
18
=
=
47
12
3
min =
avg =3. 916 667
4
max =
Wald ch i2( 7)
Prob > chi2
=
=
30 .57
0.0 001
On e-s tep results
ln plge
ln plge
L1.
L2.
leff
lloas
lsize
ststeOwner
lu e
L1.
_cons
Coef.
Robust
Std. Err.
z
[95% Conf. Inter val]
- .42 13 356
- .31 44 735
- 1.9 22 629
.25 29 637
.34 86 971
- 2.2 33 512
.19 023 77
.15 373 24
.98 017 41
.12 878 53
.29 188 38
1.1 387 72
-2. 21
-2. 05
-1. 96
1. 96
1. 19
-1. 96
0 .02 7
0 .04 1
0 .05 0
0.05 0
0 .23 2
0 .05 0
- .79 419 45
- .61 578 35
- 3.8 437 35
.00 054 91
- .22 338 46
- 4.4 654 63
-.0 484 766
-.0 131 636
-.0 015 226
.5 053 783
.9 207 787
-.0 015 604
3.4 35 014
- 5.4 02 318
2.5 694 07
5.6 518 36
1. 34
-0. 96
0 .18 1
0 .33 9
- 1.6 009 32
- 16. 479 71
8 .47 096
5. 675 077
In str ume nts for differenced equation
GMM-type: L( 2/ .). lnp lge
Standard: D. le ff D.l loa s D.ls ize LD .lu e
In str ume nts for level equation
GMM-type: LD .l npl ge
Standard: _c on s
.
P>|z|
147 *+,-+ .3+GH7? I:J 3/ 89: ;<=> ,? ,@A B+9C DEE<F
.
. *
Mod el V:
S ystem GMM model with robust standard errors with ma cro effect
> which is
the lag of the logarithm s cale of inflati on rate
.
. xt dpdsys lnplge leff
lloas lsize s tsteO wn er L.linf, lags(2)
> (robus t)
note: st steOwner droppe d from div() be cause of collin earity
System d ynamic panel-da ta estimation
Group va riable: i d
Time var iable: ye ar
Number o f obs
Nu mber o f groups
Obs per group:
Number o f instruments =
a rtests(2) vce
18
=
=
47
12
min =
3
3.9166 67
avg =
4
max =
Wald chi2( 7 )
Prob > chi2
=
=
40. 82
0.00 00
One-step results
ln plge
ln plge
L1.
L2.
le ff
ll oas
ls ize
st steOwner
li nf
L1.
_c ons
Coe f.
Ro bust
Std. Err .
z
P>|z|
[95% Conf. Interva l]
- .41841 06
- .27446 05
- 1.3062 38
.23654 46
.35639 16
- 2.0173 39
.1 766404
.1 463142
.6 560257
. 121407
. 295508
.9 691686
-2. 37
-1. 88
-1. 99
1. 95
1. 21
-2. 08
0. 018
0. 061
0. 046
0. 051
0. 228
0. 037
-.7646 194
-.561 231
-2.592 024
-.0014 088
-.2227 935
-3.916 874
-.07220 19
.012 31
-.02045 09
.47449 79
.93557 67
-.11780 33
-.7690 09
1.1631 24
.4 664287
.8 769426
-1. 65
1. 33
0. 099
0. 185
-1.683 192
-.5556 517
.14517 44
2.88 19
Instrume nts for differe nced equation
GMM-type: L(2/. ).lnplg e
Standard: D.lef f D.llo as D.ls ize LD .linf
Instrume nts for level e quation
GMM-type: LD.ln plge
Standard: _cons
.
. *
Mod el VI:
> ect wh ich is
System GMM m odel w ith robust standar d errors with i ndustry eff
the lo garithm scale o f concentration ratio=hhi
. xt dpdsys lnplge leff
llo as lsize s tsteO wn er lhhi , lags(2) artests(2) vc e(r
> obust)
note: st steOwner droppe d from div() be cause of collin earity
System d ynamic panel-da ta estimation
Group va riable: i d
Time var iable: ye ar
Number o f obs
Nu mber o f groups
Obs per group:
Number o f instruments =
18
=
=
47
12
min =
3
avg =
3.9166 67
4
max =
Wald chi2( 7 )
Prob > chi2
=
=
35. 95
0.00 00
One-step results
ln plge
Coe f.
ln plge
L1.
L2.
le ff
ll oas
ls ize
st steOwner
lh hi
_c ons
- .36558 04
- .34065 88
- 1.8279 09
.27184 74
.36362 02
- 2.0161 73
- 1.6317 18
14.305 29
Ro bust
Std. Err .
.1 794824
.1 407569
1. 396601
.1 727658
.3 174157
1. 094288
4. 303719
31 .18648
z
-2. 04
-2. 42
-1. 31
1. 57
1. 15
-1. 84
-0. 38
0. 46
P>|z|
0. 042
0. 016
0. 191
0. 116
0. 252
0. 065
0. 705
0. 646
[95% Conf. Interva l]
-.7173 595
-.6165 373
-4.565 197
-.0667 674
-.2585 031
-4.160 937
-10.06 685
-46.8 191
-.01380 12
-.06478 04
.90937 91
.61046 22
.98574 35
.12859 16
6.8034 17
75.429 67
Instrume nts for differe nced equation
GMM-type: L(2/. ).lnplg e
Standard: D.lef f D.llo as D.ls ize D. lhhi
Instrume nts for level e quation
GMM-type: LD.ln plge
Standard: _cons
. log cl ose
lo g: C:\U sers\S imin\My Studen ts\POR DEL\Dat a\The results of th e speci fie
> d GMM Mo dels.sm cl
lo g type: smcl
cl osed on: 18 N ov 201 1, 09:2 8:48
49 234' 5#/67' () *+,-+ ./01+ .#"#$%& ! 148
=W 3/ 2/U0)+ /39 QJ+ .#2/+/ .4 I)9E&
HHI
Inflation
Unemployment
GDPgrowth
Efficiency
Asset
loan
NPL
year
1664
0/158
12/5
0/079
0/73
163090
88586
2781
81

!"
1664
0/158
12/5
0/079
0/69
62868
35678
1102
81
#$%
1664
0/158
12/5
0/079
0/63
120766
62705
5188
81
&'()*
1664
0/158
12/5
0/079
0/85
0/81
87881
103467
62705
61821
0
1901
81
&(+,
1664
0/158
12/5
0/079
0/38
21379
10000
38566
398
1573
81
81
012"
1664
0/158
12/5
0/079
1
36028
30713
358
81
34(567
1664
0/158
12/5
0/079
0/88
0/63
981
1791
689
10
81
;"%
1664
0/158
12/5
0/079
0/6
909
392
0
81
1626
0/156
11/5
0/075
0/83
215200
121884
3406
82
82
#$%
1626
0/156
11/5
0/075
0/54
149607
76362
7850
82
&'()*
1626
0/156
11/5
0/075
1
147292
104247
2027
82
-!"
1626
0/156
11/5
0/075
0/53
27945
59549
17111
74/483
742
1695
82
82
012"
1626
0/156
11/5
0/075
0/96
42512
35351
966
82
34(567
1626
0/156
11/5
0/075
0/9
2410
1793
6297
142
31
82
1626
0/156
11/5
0/075
0/91
2709
1859
0
82
1446
0/152
10/4
0/062
0/77
0/94
1257968
290700
169324
3790
83
83
#$%
1446
0/152
10/4
0/062
0/64
176606
171283
92904
119986
13409
83
&'()*
1446
0/152
10/4
0/062
0/062
1
0/99
206557
149354
3285
83
-!"
1446
0/152
10/4
0/062
0/99
88973
62491
4668
83
012"
1446
0/152
10/4
0/062
0/78
63441
43909
1944
83
34(567
1446
0/152
10/4
0/062
0/85
4227
126
83
1664
1664
1664
1664
1626
1626
1626
1626
1626
1446
1446
1446
1446
1446
0/158
0/158
0/158
0/158
0/156
0/156
0/156
0/156
0/156
0/152
0/152
0/152
0/152
0/152
12/5
12/5
12/5
12/5
11/5
11/5
11/5
11/5
11/5
10/4
10/4
10/4
10/4
10/4
0/079
0/079
0/079
0/079
0/075
0/075
0/075
0/075
0/075
0/062
0/062
0/062
0/062
1
1
0/9
0/93
1
0/59
1
1
0/7
1
49001
1771
84260
115269
3435
8758
41328
6471
5926
31415
1159
621
54496
80223
1574
84659
30593
3901
22205
40
44
1806
707
96
2750
2520
1394
238
932
81
81
81
82
82
82
83
83
83
83
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HHI
Inflation
Unemployment
GDPgrowth
Efficiency
Asset
loan
NPL
year
1446
0/152
10/4
0/062
1
6780
4767
5
83
1309
0/104
11/5
0/067
0/72
335151
191281
6402
84
84
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1309
0/104
11/5
0/067
0/52
1
23939
204844
22689
148696
15843
84
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1309
0/104
11/5
0/067
0/91
231325
27815
6045
84
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1309
0/104
11/5
0/067
0/067
0/88
1
120043
87934
11256
84
84
34(567
1309
0/104
11/5
0/067
0/72
12555
7180
579
84
089/:(7
1309
0/104
11/5
0/067
1
81060
57765
1508
84
;<%(=
1309
0/104
11/5
0/067
1
14552
9558
15
84
1226
0/119
11/3
0/064
0/79
407862
245643
21156
85
85
#$%
1226
0/119
11/3
0/064
0/6
301415
242029
178046
24727
15058
85
&'()*
1226
0/119
11/3
0/064
0/93
294622
35993
17166
85
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1226
0/119
11/3
0/064
0/94
1
122800
14523
101075
13838
85
85
34(567
1226
0/119
11/3
0/064
0/87
18210
11049
1575
85
089/:(7
1226
0/119
11/3
0/064
1
117316
76764
7103
85
;<%(=
1226
0/119
11/3
0/064
1
41341
28512
1266
85
1240
0/184
10/5
0/064
0/88
510666
346895
27824
86
86
#$%
1240
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10/5
0/064
0/55
370943
294898
215623
37050
23594
86
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1240
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10/5
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0/98
384591
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1240
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0/88
25735
17354
1635
86
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1240
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10/5
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1
162213
107050
17846
86
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1309
1309
1309
1309
1226
1226
1226
1226
1226
1240
1240
1240
1240
1240
0/104
0/104
0/104
0/104
0/104
0/119
0/119
0/119
0/119
0/119
0/184
0/184
0/184
0/184
0/184
11/5
11/5
11/5
11/5
11/5
11/3
11/3
11/3
11/3
11/3
10/5
10/5
10/5
10/5
10/5
0/067
0/067
0/067
0/067
0/064
0/064
0/064
0/064
0/064
0/064
0/064
0/064
0/064
0/064
0/93
0/91
0/83
1
1
0/91
0/88
1
0/97
0/8
1
1
153216
44568
90423
14290
213982
53255
26209
233721
63454
173927
34846
106026
33647
66260
9784
157946
35867
10786
15269
171722
40160
14099
23989
6165
3058
5474
3346
339
8145
21307
9906
4333
561
21104
20972
10107
4359
1413
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84
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HHI
Inflation
Unemployment
GDPgrowth
Efficiency
Asset
loan
NPL
year
1240
0/184
10/5
0/064
1
74501
53612
3400
86
1203
0/254
10/4
0/060
0/89
538515
365657
25837
87
87
#$%
1203
0/254
10/4
0/060
0/58
404588
339914
46012
226670
26151
87
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1203
0/254
10/4
0/060
0/97
422678
303161
18181
87
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1203
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10/4
0/060
0/93
183346
189592
159830
17958
7869
87
87
34(567
1203
0/254
10/4
0/060
0/92
35249
22047
4356
87
089/:(7
1203
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10/4
0/060
1
197467
12381
23070
87
;<%(=
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10/4
0/060
1
101601
64164
12637
87
1203
1203
1203
1203
1203
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0/254
0/254
0/254
0/254
10/4
10/4
10/4
10/4
10/4
0/060
0/060
0/060
0/060
0/060
0/99
0/96
0/85
0/98
0/97
218745
66986
42376
28448
45359
27311
39134
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10596
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ｩﾂ ｻ cZ^·Z仆 ] iR» ｶｻYﾂ ｾﾌﾌ^e ﾉ Y|ｰｿZ] d ﾀ ½Y ﾋY

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ｩﾂｻ cZ^·Z仆 ] iR» ｶｻYﾂｾﾌﾌ^e ﾉ Y|ｰｿZ] d ﾀ ½Y ﾋY