Luận án Monetary policy transmission and bank lending channel in Vietnam

-0.001047 -0.000108 1.007845*** [ 0.42282] [-0.88826] [-0.21245] [ 10.2167] CPI(-2) -0.003545 0.000786 0.000772 0.279408* [-0.51792] [ 0.46063] [ 1.04566] [ 1.95680] CPI(-3) -0.000691 0.000235 0.000566 -0.070996 [-0.09999] [ 0.13666] [ 0.75905] [-0.49222] CPI(-4) 0.001430 -0.000228 -0.001127** -0.316241*** [ 0.30687] [-0.19670] [-2.24312] [-3.25421] C -0.300297 -0.167370 0.312504*** -24.36977 [-0.41147] [-0.92043] [ 3.96959] [-1.60067] DLOIL 0.000331 -0.007693 -0.002870 1.275685 [ 0.00474] [-0.44191] [-0.38084] [ 0.87527] DLIBOR 0.015390 -0.002228 -0.000393 -0.273462 [ 0.66270] [-0.38507] [-0.15677] [-0.56448] LIPUS 0.008270 0.066509 -0.081749*** 4.362529 [ 0.05012] [ 1.61761] [-4.59249] [ 1.26726] cvii R-squared 0.973141 0.302380 0.354436 0.969709 Adj. R-squared 0.967770 0.162855 0.225323 0.963651 F-statistic 181.1600 2.167221 2.745162 160.0662 Log likelihood 173.9339 333.7474 430.0214 -175.4214 Akaike AIC -2.677111 -5.456476 -7.130806 3.398633 Schwarz SC -2.199732 -4.979097 -6.653427 3.876012 *, **, *** significance at 10%, 5%, 1% level and t-statistics in [ ]. Source: Author’s calculation. Table 17.7. AR root test results for VAR(4) of ERC with DLM2 Root Modulus 0.992411 0.992411 0.933382 - 0.196032i 0.953745 0.933382 + 0.196032i 0.953745 0.533590 - 0.647605i 0.839113 0.533590 + 0.647605i 0.839113 -0.186638 - 0.696776i 0.721339 -0.186638 + 0.696776i 0.721339 -0.480184 - 0.514495i 0.703762 -0.480184 + 0.514495i 0.703762 -0.426932 - 0.388409i 0.577176 -0.426932 + 0.388409i 0.577176 0.218779 - 0.465880i 0.514692 0.218779 + 0.465880i 0.514692 -0.451662 - 0.050280i 0.454452 -0.451662 + 0.050280i 0.454452 0.359847 0.359847 No root lies outside the unit circle. VAR satisfies the stability condition. Source: Author’s calculation. cviii Table 17.8. Lag criteria results for VAR(4) of ERC with DLM2 Lag LogL LR FPE AIC SC HQ 0 327.0708 NA 4.33e-08 -5.604879 -5.214316 -5.446440 1 657.7662 613.7229 1.49e-10 -11.27507 -10.49394* -10.95819 2 688.3208 54.50283 1.15e-10 -11.53731 -10.36562 -11.06199 3 718.4965 51.65217 8.96e-11 -11.79273 -10.23048 -11.15897* 4 739.8419 34.99880 8.20e-11* -11.88904 -9.936229 -11.09684 5 753.7570 21.81281 8.61e-11 -11.85148 -9.508100 -10.90084 6 764.6409 16.27676 9.60e-11 -11.75929 -9.025355 -10.65022 7 790.6365 37.00275* 8.21e-11 -11.93940* -8.814893 -10.67188 8 804.0978 18.19102 8.85e-11 -11.89365 -8.378588 -10.46770 * indicates lag order selected by the criterion Source: Author’s calculation. Table 17.9. LM test results for VAR(4) of ERC with DLM2 Lags LM-Stat Prob 1 21.01178 0.1781 2 14.21582 0.5826 3 16.49274 0.4191 4 19.40544 0.2482 5 11.09932 0.8033 Probs from chi-square with 16 df. Source: Author’s calculation. cix Table 17.10. VAR(3) results for APC with DLM2 Variables LIPVN DLM2 DLVNI CPI LIPVN(-1) 0.636106*** -0.105436*** 0.127179 -0.575532 [ 6.83505] [-4.75954] [ 0.82362] [-0.29088] LIPVN(-2) 0.031269 0.066256** -0.251026 0.820693 [ 0.26749] [ 2.38109] [-1.29422] [ 0.33022] LIPVN(-3) 0.354513*** 0.028587 0.113339 0.144763 [ 3.43711] [ 1.16439] [ 0.66227] [ 0.06602] DLM2(-1) 0.967612** -0.064667 1.115378 -2.768915 [ 2.37168] [-0.66589] [ 1.64769] [-0.31922] DLM2(-2) 0.301906 0.213463** -0.426904 2.022111 [ 0.74121] [ 2.20167] [-0.63168] [ 0.23351] DLM2(-3) 1.310299*** 0.015298 -0.849918 -4.409092 [ 3.16998] [ 0.15548] [-1.23926] [-0.50173] DLVNI(-1) -0.004068 -0.006556 0.306140*** -0.287893 [-0.06802] [-0.46053] [ 3.08511] [-0.22642] DLVNI(-2) -0.083647 0.028957** -0.057634 -0.548602 [-1.34852] [ 1.96125] [-0.56000] [-0.41600] DLVNI(-3) 0.077025 -0.030000** -0.155497 -0.183830 [ 1.31660] [-2.15430] [-1.60193] [-0.14780] CPI(-1) 0.001742 -0.000974 -0.015586** 1.174423*** [ 0.40775] [-0.95763] [-2.19820] [ 12.9266] CPI(-2) -0.003222 0.001102 0.012605 0.185099 [-0.46811] [ 0.67273] [ 1.10387] [ 1.26507] CPI(-3) 0.000942 -0.000380 -0.000664 -0.434943*** [ 0.21885] [-0.37135] [-0.09305] [-4.75459] C 0.255453 -0.087175 -0.311536 -17.32489 [ 0.41321] [-0.59240] [-0.30371] [-1.31814] DLOIL -0.020863 -0.014684 0.004226 0.964247 [-0.29874] [-0.88330] [ 0.03647] [ 0.64942] DLIBOR 0.030341 -0.000865 0.009333 -0.164535 [ 1.30258] [-0.15595] [ 0.24148] [-0.33225] LIPUS -0.113779 0.048508 0.102283 3.021940 [-0.85636] [ 1.53381] [ 0.46398] [ 1.06982] R-squared 0.971002 0.297630 0.260493 0.965388 Adj. R-squared 0.966652 0.192275 0.149567 0.960196 F-statistic 223.2356 2.825011 2.348354 185.9445 Log likelihood 169.8052 336.3054 111.0694 -184.7882 Akaike AIC -2.651813 -5.522506 -1.639128 3.461866 Schwarz SC -2.272008 -5.142701 -1.259322 3.841672 *, **, *** significance at 10%, 5%, 1% level . cx Source: Author’s calculation. Table 17.11. AR root test results for VAR(3) of APC with DLM2 Root Modulus 0.990833 0.990833 0.874198 - 0.165713i 0.889765 0.874198 + 0.165713i 0.889765 0.461741 - 0.523092i 0.697732 0.461741 + 0.523092i 0.697732 -0.355540 - 0.548210i 0.653408 -0.355540 + 0.548210i 0.653408 -0.649189 0.649189 -0.515611 0.515611 -0.065267 - 0.458107i 0.462733 -0.065267 + 0.458107i 0.462733 0.395704 0.395704 No root lies outside the unit circle. VAR satisfies the stability condition. Source: Author’s calculation. Table 17.12. Lag criteria results for VAR(3) of APC with DLM2 Lags LogL LR FPE AIC SC HQ 0 25.58001 NA 9.89e-06 -0.172613 0.217950 -0.014173 1 355.0296 611.4110 3.49e-08 -5.820354 -5.039228* -5.503474 2 382.6336 49.23954 2.84e-08 -6.029434 -4.857746 -5.554115 3 411.1981 48.89414 2.27e-08* -6.255821* -4.693570 -5.622062* 4 421.3308 16.61400 2.55e-08 -6.150105 -4.197290 -5.357905 5 430.8048 14.85120 2.90e-08 -6.032520 -3.689142 -5.081881 6 443.2960 18.68040 3.14e-08 -5.969296 -3.235356 -4.860218 7 462.4533 27.26907* 3.04e-08 -6.026186 -2.901683 -4.758668 8 478.5653 21.77297 3.12e-08 -6.028204 -2.513138 -4.602246 * indicates lag order selected by the criterion Source: Author’s calculation. cxi Table 17.13. LM test results for VAR(3) of APC with DLM2 Lags LM-Stat Prob 1 20.86611 0.1837 2 21.55789 0.1580 3 13.87126 0.6083 4 6.440613 0.9826 Probs from chi-square with 16 df. Source: Author’s calculation. cxii APPENDIX 18. ROBUSTNESS TEST RESULTS FOR SVAR Table 18.1. SVAR results with DRDR Log likelihood 205.0009 LR test for over-identification: Chi-square(8) 1125.632 Probability 0.0000 Estimated A matrix: 1.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.044 1.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 -6.042*** 1.000 16.502*** -153.774*** 0.000 0.000 -0.054 0.000 0.430*** 0.321*** 1.000 0.000 0.000 0.000 -0.812*** -3.492*** -2.867*** 1.556*** -36.841*** 1.000 0.000 0.000 0.000 0.000 0.725*** 0.434*** 43.818*** 0.000 1.000 0.000 0.000 2.618*** 3.102*** 0.803*** 38.922*** 80.645*** -1.169*** 1.000 0.000 1.135*** 0.379 -0.373* -1.177 3.001 -0.212 12.003*** 1.000 *, **, *** significance at 10%, 5%, 1% level. Source: Author’s calculation. Table 18.2. AR root test results for SVAR with DRDR Root Modulus 0.989865 0.989865 0.890776 - 0.187616i 0.910320 0.890776 + 0.187616i 0.910320 0.600366 - 0.400341i 0.721604 0.600366 + 0.400341i 0.721604 -0.366045 - 0.620333i 0.720279 -0.366045 + 0.620333i 0.720279 0.322551 - 0.624911i 0.703244 0.322551 + 0.624911i 0.703244 -0.698698 0.698698 0.019088 + 0.685854i 0.686120 0.019088 - 0.685854i 0.686120 0.400907 - 0.521221i 0.657569 0.400907 + 0.521221i 0.657569 -0.552516 - 0.344183i 0.650950 -0.552516 + 0.344183i 0.650950 -0.116465 - 0.606709i 0.617787 -0.116465 + 0.606709i 0.617787 0.534124 0.534124 -0.449735 - 0.117512i 0.464834 -0.449735 + 0.117512i 0.464834 cxiii -0.367514 0.367514 0.263554 + 0.210123i 0.337064 0.263554 - 0.210123i 0.337064 No root lies outside the unit circle. VAR satisfies the stability condition. Source: Author’s calculation. Table 18.3. Lag criteria test results of SVAR Lag LogL LR FPE AIC SC HQ 0 275.7239 NA 1.11e-12 -4.823854 -4.628572 -4.744634 1 688.5681 758.7407 2.07e-15 -11.10934 -9.351802* -10.39636* 2 775.4670 147.1801 1.40e-15 -11.52193 -8.202143 -10.17519 3 843.1158 104.8252 1.36e-15* -11.58767 -6.705635 -9.607174 4 886.9552 61.61220 2.14e-15 -11.22442 -4.780131 -8.610161 5 953.6846 84.16316* 2.35e-15 -11.27360 -3.267057 -8.025580 6 1004.251 56.48833 3.76e-15 -11.03155 -1.462754 -7.149769 7 1075.081 68.91560 4.69e-15 -11.15461 -0.023564 -6.639072 8 1165.733 75.13499 4.79e-15 -11.63482* 1.058472 -6.485529 * indicates lag order selected by the criterion Source: Author’s calculation. Table 18.4. LM test results of SVAR with DRDR Lags LM-Stat Prob 1 60.94790 0.5851 2 81.85356 0.0656 3 65.71933 0.4170 4 61.37462 0.5699 5 75.72057 0.1499 6 56.11951 0.7479 7 71.11894 0.2528 8 52.65669 0.8435 9 72.22936 0.2246 10 68.18243 0.3370 11 83.35639 0.0525 12 85.48082 0.0377 cxiv Probs from chi-square with 64 df. Source: Author’s calculation. Table 18.5. SVAR results with DRFR Log likelihood 199.4491 LR test for over-identification: Chi-square(8) 1138.037 Probability 0.0000 Estimated A matrix: 1.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.037 1.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 -4.993*** 1.000 8.291 -172.65*** 0.000 0.000 -0.151** 0.000 -1.267*** -0.600*** 1.000 0.000 0.000 0.000 0.843*** 5.343*** -0.415 -1.672*** 16.371** 1.000 0.000 0.000 0.000 0.000 1.452*** -0.208*** 52.654*** 0.000 1.000 0.000 0.000 2.323*** 3.660*** 0.726*** 42.523*** 50.612*** -1.313*** 1.000 0.000 1.663*** 0.262 -0.465** -3.149 10.022 -0.219 11.568*** 1.000 *, **, *** significance at 10%, 5%, 1% level. Source: Author’s calculation. Table 18.6. AR root test results for SVAR with DRFR Root Modulus 0.990379 0.990379 0.900662 - 0.190261i 0.920539 0.900662 + 0.190261i 0.920539 0.338296 - 0.666821i 0.747726 0.338296 + 0.666821i 0.747726 0.620768 - 0.415916i 0.747221 0.620768 + 0.415916i 0.747221 -0.343575 + 0.626174i 0.714239 -0.343575 - 0.626174i 0.714239 -0.675570 0.675570 0.442527 - 0.505313i 0.671693 0.442527 + 0.505313i 0.671693 -0.552617 + 0.371760i 0.666026 -0.552617 - 0.371760i 0.666026 -0.015962 - 0.603083i 0.603294 -0.015962 + 0.603083i 0.603294 cxv -0.101924 + 0.579774i 0.588665 -0.101924 - 0.579774i 0.588665 0.539722 0.539722 -0.497823 0.497823 -0.458542 - 0.176229i 0.491240 -0.458542 + 0.176229i 0.491240 0.382504 0.382504 -0.013453 0.013453 No root lies outside the unit circle. VAR satisfies the stability condition. Source: Author’s calculation. Table 18.7. Lag criteria test results of SVAR with DRFR Lag LogL LR FPE AIC SC HQ 0 297.4688 NA 7.50e-13 -5.215653 -5.020372 -5.136433 1 708.8436 756.0403 1.44e-15 -11.47466 -9.717127* -10.76168* 2 781.0449 122.2869 1.26e-15* -11.62243* -8.302646 -10.27569 3 844.9797 99.07014* 1.32e-15 -11.62126 -6.739219 -9.640758 4 888.2471 60.80824 2.09e-15 -11.24770 -4.803407 -8.633438 5 945.0281 71.61562 2.75e-15 -11.11762 -3.111083 -7.869606 6 991.6109 52.03847 4.73e-15 -10.80380 -1.235008 -6.922024 7 1066.696 73.05597 5.45e-15 -11.00353 0.127508 -6.488000 8 1156.054 74.06215 5.70e-15 -11.46043 1.232866 -6.311134 * indicates lag order selected by the criterion Source: Author’s calculation. Table 18.8. LM test results of SVAR with DRFR Lags LM-Stat Prob 1 61.44015 0.5676 2 72.53146 0.2173 3 52.79387 0.8402 4 58.38313 0.6745 5 59.90738 0.6219 6 60.16510 0.6128 7 57.46437 0.7051 8 64.34821 0.4643 9 67.99402 0.3429 10 71.86541 0.2336 cxvi 11 86.37587 0.0327 12 92.29887 0.0118 Source: Author’s calculation. cxvii APPENDIX 19. All RESULTS IN GMM MODELS 1. GMM with VNIBOR for bank size (Not robust, but not weakened by many instruments.) Sargan test of overid. restrictions: chi2(127) = 135.76 Prob > chi2 = 0.281 Arellano-Bond test for AR(2) in first differences: z = 0.01 Pr > z = 0.991 Arellano-Bond test for AR(1) in first differences: z = -4.64 Pr > z = 0.000 L(2/7).(L.lloan L2.lsize L.capr L.llpr L.liqr isize) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.di) Standard Instruments for first differences equation L1. 3.11581 4.11793 0.76 0.450 -5.012043 11.24366 llpr L1. .2685851 .2864856 0.94 0.350 -.2968719 .8340421 liqr L1. .2559753 .3451753 0.74 0.459 -.4253218 .9372724 capr L1. .1900232 .1355387 1.40 0.163 -.0774992 .4575456 lsize isize .0085135 .0028957 2.94 0.004 .002798 .0142289 L1. -.022226 .0067296 -3.30 0.001 -.0355088 -.0089433 --. -.1717788 .0501458 -3.43 0.001 -.2707552 -.0728025 di lgdp .3592255 .1389134 2.59 0.011 .0850422 .6334088 L1. -.5805884 .1358202 -4.27 0.000 -.8486664 -.3125105 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 21.00 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxviii 2. GMM with VNIBOR for bank capital Sargan test of overid. restrictions: chi2(122) = 135.33 Prob > chi2 = 0.193 Arellano-Bond test for AR(2) in first differences: z = 0.21 Pr > z = 0.835 Arellano-Bond test for AR(1) in first differences: z = -4.87 Pr > z = 0.000 L(2/7).(L.lloan L2.lsize L.capr L.llpr L.liqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(icap L.lgdp L.di) Standard Instruments for first differences equation L1. 2.568075 4.244557 0.61 0.546 -5.809709 10.94586 llpr L1. .1120567 .2983078 0.38 0.708 -.4767347 .7008481 liqr L1. .0987222 .3346266 0.30 0.768 -.5617542 .7591986 capr L1. .195644 .1415641 1.38 0.169 -.0837711 .4750591 lsize icap -.0515302 .0374571 -1.38 0.171 -.1254619 .0224016 L1. -.0204248 .0068305 -2.99 0.003 -.0339067 -.006943 --. -.0165994 .008041 -2.06 0.040 -.0324706 -.0007282 di lgdp .398284 .1428675 2.79 0.006 .1162961 .6802719 L1. -.6077609 .1464965 -4.15 0.000 -.8969116 -.3186103 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 19.51 avg = 6.07 Number of instruments = 131 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxix 3. GMM with VNIBOR for bank liquidity Sargan test of overid. restrictions: chi2(113) = 129.58 Prob > chi2 = 0.136 Arellano-Bond test for AR(2) in first differences: z = 0.06 Pr > z = 0.950 Arellano-Bond test for AR(1) in first differences: z = -4.73 Pr > z = 0.000 L(2/6).(L.lloan L2.lsize L.capr L.llpr L.liqr iliq) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.di) Standard Instruments for first differences equation L1. 2.761519 4.611561 0.60 0.550 -6.340648 11.86369 llpr L1. .1274367 .3115423 0.41 0.683 -.4874766 .74235 liqr L1. .3364938 .3609852 0.93 0.353 -.3760085 1.048996 capr L1. .2317697 .1455511 1.59 0.113 -.0555149 .5190542 lsize iliq .0196239 .0322264 0.61 0.543 -.0439836 .0832314 L1. -.0213541 .0069098 -3.09 0.002 -.0349924 -.0077158 --. -.0328909 .0144429 -2.28 0.024 -.0613978 -.004384 di lgdp .3189247 .1450543 2.20 0.029 .0326206 .6052287 L1. -.6047974 .1495685 -4.04 0.000 -.9000113 -.3095834 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 19.16 avg = 6.07 Number of instruments = 122 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxx 4. GMM with VNIBOR for bank risk Sargan test of overid. restrictions: chi2(121) = 134.03 Prob > chi2 = 0.197 Arellano-Bond test for AR(2) in first differences: z = 0.13 Pr > z = 0.900 Arellano-Bond test for AR(1) in first differences: z = -4.64 Pr > z = 0.000 L(2/7).(L.lloan L2.lsize L.iliq L.capr L.llpr L.liqr iliq) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.di) Standard Instruments for first differences equation L1. 1.279668 4.231739 0.30 0.763 -7.072818 9.632153 llpr L1. .23664 .2965197 0.80 0.426 -.3486222 .8219021 liqr L1. .3548407 .3494302 1.02 0.311 -.3348546 1.044536 capr L1. .205572 .1401098 1.47 0.144 -.0709726 .4821167 lsize illp 1.641592 .9665632 1.70 0.091 -.2661832 3.549366 L1. -.0208489 .0067713 -3.08 0.002 -.0342139 -.0074839 --. -.0334117 .0074167 -4.50 0.000 -.0480505 -.0187729 di lgdp .3184367 .1413853 2.25 0.026 .0393745 .5974989 L1. -.5772703 .1438013 -4.01 0.000 -.8611011 -.2934395 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 20.21 avg = 6.07 Number of instruments = 130 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxi 5. GMM model with VNIBOR for bank size, bank capital, bank liquidity Sargan test of overid. restrictions: chi2(126) = 144.20 Prob > chi2 = 0.128 Arellano-Bond test for AR(2) in first differences: z = -0.06 Pr > z = 0.955 Arellano-Bond test for AR(1) in first differences: z = -4.77 Pr > z = 0.000 L(2/7).(L.lloan isize L2.lsize iliq L.capr L.llpr L.liqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(icap L.lgdp L.di) Standard Instruments for first differences equation L1. 2.438931 4.092669 0.60 0.552 -5.639728 10.51759 llpr L1. .1736576 .2845076 0.61 0.542 -.3879415 .7352568 liqr L1. -.0925718 .3197686 -0.29 0.773 -.7237739 .5386304 capr L1. .1717722 .1351502 1.27 0.205 -.0950054 .4385498 lsize iliq .0119536 .0309896 0.39 0.700 -.0492178 .0731249 icap .0405115 .0533819 0.76 0.449 -.0648607 .1458838 isize .0099953 .0042146 2.37 0.019 .0016758 .0183147 L1. -.021043 .0066872 -3.15 0.002 -.034243 -.007843 --. -.2074 .0787556 -2.63 0.009 -.3628583 -.0519418 di lgdp .4170836 .1360198 3.07 0.003 .1485895 .6855777 L1. -.5947323 .1356907 -4.38 0.000 -.8625768 -.3268878 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(11, 171) = 17.28 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxii 6. GMM model with VNIBOR for bank size, bank capital, bank liquidity and bank risk Sargan test of overid. restrictions: chi2(120) = 137.95 Prob > chi2 = 0.125 Arellano-Bond test for AR(2) in first differences: z = -0.11 Pr > z = 0.913 Arellano-Bond test for AR(1) in first differences: z = -4.80 Pr > z = 0.000 L(2/7).(L.lloan L2.isize L2.lsize iliq L.capr L.llpr L2.liqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(illp icap L.lgdp L.di) Standard Instruments for first differences equation L1. 2.925604 4.361548 0.67 0.503 -5.684165 11.53537 llpr L1. .144267 .2900825 0.50 0.620 -.4283607 .7168948 liqr L1. -.0066303 .3311845 -0.02 0.984 -.6603941 .6471334 capr L1. .1967558 .1378462 1.43 0.155 -.0753549 .4688665 lsize illp .0388172 1.491563 0.03 0.979 -2.905553 2.983187 iliq .0131689 .0368075 0.36 0.721 -.0594896 .0858275 icap .0439847 .0567528 0.78 0.439 -.0680462 .1560157 isize .0101741 .0057813 1.76 0.080 -.0012382 .0215864 L1. -.0212073 .0067006 -3.16 0.002 -.0344344 -.0079802 --. -.21165 .0961535 -2.20 0.029 -.4014585 -.0218414 di lgdp .4197526 .1398944 3.00 0.003 .1435987 .6959064 L1. -.6205237 .1427208 -4.35 0.000 -.9022571 -.3387904 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(12, 170) = 15.91 avg = 6.07 Number of instruments = 132 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxiii 7.GMM models with VNIBOR for new measurement of bank characteristics Sargan test of overid. restrictions: chi2(127) = 116.86 Prob > chi2 = 0.730 Arellano-Bond test for AR(2) in first differences: z = 0.14 Pr > z = 0.888 Arellano-Bond test for AR(1) in first differences: z = -3.88 Pr > z = 0.000 L(2/7).(L.lloan idsize L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.di) Standard Instruments for first differences equation L1. 2.132136 3.670744 0.58 0.562 -5.113075 9.377346 dllpr L1. .4662799 .2617901 1.78 0.077 -.050434 .9829938 dliqr L1. .6377721 .3147961 2.03 0.044 .0164366 1.259108 dcapr L1. .1955307 .1201907 1.63 0.106 -.0416982 .4327597 dsize idsize .0354429 .0055328 6.41 0.000 .0245225 .0463633 L1. -.0265887 .0062959 -4.22 0.000 -.0390154 -.0141619 --. -.0376377 .0054933 -6.85 0.000 -.0484803 -.0267952 di lgdp .304981 .1206708 2.53 0.012 .0668044 .5431577 L1. -.5462283 .1258852 -4.34 0.000 -.7946969 -.2977597 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 27.25 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxiv Sargan test of overid. restrictions: chi2(128) = 135.32 Prob > chi2 = 0.312 Arellano-Bond test for AR(2) in first differences: z = 0.05 Pr > z = 0.958 Arellano-Bond test for AR(1) in first differences: z = -4.65 Pr > z = 0.000 L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(idcap L.lgdp L.di) Standard Instruments for first differences equation L1. 1.889728 4.068207 0.46 0.643 -6.139983 9.919439 dllpr L1. .1311021 .2826153 0.46 0.643 -.4267158 .68892 dliqr L1. .4061406 .3410858 1.19 0.235 -.2670848 1.079366 dcapr L1. .2213516 .1332047 1.66 0.098 -.0415641 .4842672 dsize idcap -.0172673 .0633528 -0.27 0.786 -.1423112 .1077766 L1. -.021048 .0069248 -3.04 0.003 -.0347161 -.00738 --. -.0247783 .0057127 -4.34 0.000 -.0360539 -.0135028 di lgdp .2996319 .1331152 2.25 0.026 .0368929 .5623709 L1. -.5795044 .1395193 -4.15 0.000 -.8548835 -.3041253 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 18.58 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxv Sargan test of overid. restrictions: chi2(128) = 136.82 Prob > chi2 = 0.281 Arellano-Bond test for AR(2) in first differences: z = -0.06 Pr > z = 0.954 Arellano-Bond test for AR(1) in first differences: z = -4.51 Pr > z = 0.000 L(2/7).(L.lloan L.dsize idliq L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(idcap L.lgdp L.di) Standard Instruments for first differences equation L1. 2.226247 3.996564 0.56 0.578 -5.662057 10.11455 dllpr L1. .1305269 .2773843 0.47 0.639 -.4169663 .6780201 dliqr L1. .3712352 .3344963 1.11 0.269 -.288984 1.031454 dcapr L1. .2197325 .1306965 1.68 0.095 -.0382326 .4776976 dsize idliq .0974009 .0517395 1.88 0.061 -.004721 .1995228 L1. -.0226743 .0068509 -3.31 0.001 -.0361963 -.0091522 --. -.0281535 .005873 -4.79 0.000 -.0397455 -.0165615 di lgdp .2980862 .1285643 2.32 0.022 .0443297 .5518428 L1. -.5743567 .1361683 -4.22 0.000 -.8431219 -.3055915 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 19.67 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxvi Sargan test of overid. restrictions: chi2(127) = 129.18 Prob > chi2 = 0.429 Arellano-Bond test for AR(2) in first differences: z = 0.11 Pr > z = 0.912 Arellano-Bond test for AR(1) in first differences: z = -4.39 Pr > z = 0.000 L(2/7).(L.lloan idllp L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.di) Standard Instruments for first differences equation L1. -.0874259 4.13712 -0.02 0.983 -8.253155 8.078303 dllpr L1. .2775245 .2840009 0.98 0.330 -.2830283 .8380772 dliqr L1. .6345123 .3446698 1.84 0.067 -.0457871 1.314812 dcapr L1. .2155168 .1313091 1.64 0.103 -.0436573 .4746909 dsize idllp 3.281311 1.534177 2.14 0.034 .2531976 6.309425 L1. -.0206863 .0068566 -3.02 0.003 -.0342198 -.0071529 --. -.022556 .0058043 -3.89 0.000 -.0340125 -.0110996 di lgdp .2412916 .1313929 1.84 0.068 -.0180479 .5006312 L1. -.54145 .1375721 -3.94 0.000 -.8129859 -.2699141 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 19.51 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxvii Sargan test of overid. restrictions: chi2(126) = 133.58 Prob > chi2 = 0.305 Arellano-Bond test for AR(2) in first differences: z = 0.04 Pr > z = 0.967 Arellano-Bond test for AR(1) in first differences: z = -3.84 Pr > z = 0.000 L(2/7).(L.lloan idsize L.dsize idliq L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(idcap L.lgdp L.di) Standard Instruments for first differences equation L1. 1.959598 3.489417 0.56 0.575 -4.92828 8.847477 dllpr L1. .3234279 .2438327 1.33 0.186 -.1578817 .8047375 dliqr L1. .4696764 .2930156 1.60 0.111 -.108717 1.04807 dcapr L1. .1883432 .1142241 1.65 0.101 -.0371276 .413814 dsize idliq -.0060161 .0484259 -0.12 0.901 -.1016056 .0895735 idcap .2219537 .0640122 3.47 0.001 .0955978 .3483096 idsize .0431722 .0064241 6.72 0.000 .0304915 .055853 L1. -.0250204 .0059916 -4.18 0.000 -.0368474 -.0131934 --. -.0397523 .0054283 -7.32 0.000 -.0504673 -.0290372 di lgdp .3230339 .1141247 2.83 0.005 .0977594 .5483085 L1. -.5483214 .1196284 -4.58 0.000 -.7844599 -.3121828 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(11, 171) = 25.23 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxviii Sargan test of overid. restrictions: chi2(125) = 133.98 Prob > chi2 = 0.275 Arellano-Bond test for AR(2) in first differences: z = 0.06 Pr > z = 0.955 Arellano-Bond test for AR(1) in first differences: z = -3.81 Pr > z = 0.000 L(2/7).(L.lloan idsize L.dsize idliq idllp L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(idcap L.lgdp L.di) Standard Instruments for first differences equation L1. 1.473933 3.60659 0.41 0.683 -5.645536 8.593403 dllpr L1. .3244444 .243918 1.33 0.185 -.1570539 .8059427 dliqr L1. .4783112 .2935531 1.63 0.105 -.1011675 1.05779 dcapr L1. .1893068 .1142748 1.66 0.099 -.0362736 .4148871 dsize idllp .7734127 1.44528 0.54 0.593 -2.079595 3.626421 idliq .0013123 .0503399 0.03 0.979 -.0980596 .1006842 idcap .2170102 .0646956 3.35 0.001 .0893 .3447204 idsize .0418589 .0068789 6.09 0.000 .0282799 .0554379 L1. -.0247368 .0060169 -4.11 0.000 -.0366143 -.0128594 --. -.0388535 .0056838 -6.84 0.000 -.0500735 -.0276336 di lgdp .3220931 .1141747 2.82 0.005 .0967103 .5474759 L1. -.5481983 .1196669 -4.58 0.000 -.7844227 -.3119739 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(12, 170) = 23.13 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxix 7. GMM model with Refinance rate (RFR) Sargan test of overid. restrictions: chi2(127) = 122.69 Prob > chi2 = 0.591 Arellano-Bond test for AR(2) in first differences: z = -0.16 Pr > z = 0.870 Arellano-Bond test for AR(1) in first differences: z = -3.65 Pr > z = 0.000 L(2/7).(L.lloan rfdsize L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.drf) Standard Instruments for first differences equation L1. 1.823232 3.597409 0.51 0.613 -5.277231 8.923696 dllpr L1. .4506191 .2571313 1.75 0.081 -.0568992 .9581375 dliqr L1. .6033085 .3070107 1.97 0.051 -.0026604 1.209277 dcapr L1. .1874605 .118198 1.59 0.115 -.0458353 .4207563 dsize rfdsize .036891 .0071065 5.19 0.000 .0228644 .0509177 L1. -.0302206 .0068457 -4.41 0.000 -.0437325 -.0167088 --. -.0484352 .0063571 -7.62 0.000 -.0609826 -.0358877 drf lgdp .4094471 .1197154 3.42 0.001 .1731562 .645738 L1. -.5850573 .1235772 -4.73 0.000 -.8289705 -.341144 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 28.23 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxx Sargan test of overid. restrictions: chi2(128) = 131.12 Prob > chi2 = 0.407 Arellano-Bond test for AR(2) in first differences: z = 0.39 Pr > z = 0.694 Arellano-Bond test for AR(1) in first differences: z = -4.61 Pr > z = 0.000 L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rfdcap L.lgdp L.drf) Standard Instruments for first differences equation L1. 1.825834 3.936244 0.46 0.643 -5.943412 9.59508 dllpr L1. .2358314 .2759768 0.85 0.394 -.3088838 .7805465 dliqr L1. .4346308 .3338813 1.30 0.195 -.2243745 1.093636 dcapr L1. .2279324 .1291899 1.76 0.079 -.0270589 .4829237 dsize rfdcap -.0056667 .0776466 -0.07 0.942 -.1589233 .1475899 L1. -.0298195 .0075001 -3.98 0.000 -.0446229 -.0150161 --. -.0371741 .0065665 -5.66 0.000 -.0501349 -.0242133 drf lgdp .4544225 .1311441 3.47 0.001 .1955741 .7132709 L1. -.6229844 .1353723 -4.60 0.000 -.8901783 -.3557905 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 21.37 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxi Sargan test of overid. restrictions: chi2(128) = 133.35 Prob > chi2 = 0.355 Arellano-Bond test for AR(2) in first differences: z = 0.23 Pr > z = 0.819 Arellano-Bond test for AR(1) in first differences: z = -4.52 Pr > z = 0.000 L(2/7).(L.lloan rfdliq L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rfdcap L.lgdp L.drf) Standard Instruments for first differences equation L1. 1.81706 3.878799 0.47 0.640 -5.838803 9.472923 dllpr L1. .1778483 .2761295 0.64 0.520 -.3671681 .7228647 dliqr L1. .3929704 .3292631 1.19 0.234 -.2569197 1.042861 dcapr L1. .2177343 .127508 1.71 0.090 -.0339374 .469406 dsize rfdliq .0808926 .0658723 1.23 0.221 -.0491242 .2109094 L1. -.0296104 .0073829 -4.01 0.000 -.0441826 -.0150382 --. -.0389 .0066223 -5.87 0.000 -.0519709 -.0258291 drf lgdp .4568202 .1274182 3.59 0.000 .2053259 .7083146 L1. -.6126706 .132663 -4.62 0.000 -.874517 -.3508243 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 22.15 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxii Sargan test of overid. restrictions: chi2(127) = 125.20 Prob > chi2 = 0.528 Arellano-Bond test for AR(2) in first differences: z = 0.35 Pr > z = 0.724 Arellano-Bond test for AR(1) in first differences: z = -4.40 Pr > z = 0.000 L(2/7).(L.lloan rfdllp L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.drf) Standard Instruments for first differences equation L1. -.0074974 4.065604 -0.00 0.999 -8.032071 8.017076 dllpr L1. .3514137 .2778745 1.26 0.208 -.197047 .8998745 dliqr L1. .5839325 .3337228 1.75 0.082 -.07476 1.242625 dcapr L1. .2226744 .1279999 1.74 0.084 -.0299682 .475317 dsize rfdllp 3.523943 1.976275 1.78 0.076 -.3767718 7.424658 L1. -.0293199 .0074371 -3.94 0.000 -.043999 -.0146407 --. -.0345442 .0067257 -5.14 0.000 -.0478193 -.0212692 drf lgdp .3943804 .1299333 3.04 0.003 .1379218 .6508391 L1. -.5891291 .1339519 -4.40 0.000 -.8535196 -.3247387 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 21.83 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxiii Sargan test of overid. restrictions: chi2(126) = 137.43 Prob > chi2 = 0.229 Arellano-Bond test for AR(2) in first differences: z = -0.15 Pr > z = 0.879 Arellano-Bond test for AR(1) in first differences: z = -3.61 Pr > z = 0.000 L(2/7).(L.lloan rfdliq rfdsize L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rfdcap L.lgdp L.drf) Standard Instruments for first differences equation L1. 1.776586 3.469858 0.51 0.609 -5.072685 8.625857 dllpr L1. .3456426 .2488766 1.39 0.167 -.1456234 .8369087 dliqr L1. .3977737 .2962155 1.34 0.181 -.1869361 .9824834 dcapr L1. .1851755 .1143105 1.62 0.107 -.0404658 .4108169 dsize rfdliq -.0286247 .0630511 -0.45 0.650 -.1530833 .0958339 rfdcap .2169666 .0791909 2.74 0.007 .0606489 .3732843 rfdsize .0447003 .0082477 5.42 0.000 .0284199 .0609807 L1. -.0284845 .0066171 -4.30 0.000 -.0415463 -.0154228 --. -.049787 .0062572 -7.96 0.000 -.0621383 -.0374357 drf lgdp .4149672 .1158313 3.58 0.000 .1863238 .6436106 L1. -.5898557 .1197342 -4.93 0.000 -.8262031 -.3535083 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(11, 171) = 25.34 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxiv Sargan test of overid. restrictions: chi2(125) = 137.71 Prob > chi2 = 0.206 Arellano-Bond test for AR(2) in first differences: z = -0.14 Pr > z = 0.891 Arellano-Bond test for AR(1) in first differences: z = -3.59 Pr > z = 0.000 L(2/7).(L.lloan rfdsize rfdliq rfdllp L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rfdcap L.lgdp L.drf) Standard Instruments for first differences equation L1. 1.27783 3.643601 0.35 0.726 -5.914698 8.470359 dllpr L1. .3396177 .2495019 1.36 0.175 -.1529032 .8321385 dliqr L1. .4079708 .2973896 1.37 0.172 -.1790813 .9950228 dcapr L1. .1866066 .1144786 1.63 0.105 -.039376 .4125892 dsize rfdllp .867602 1.913214 0.45 0.651 -2.909115 4.644319 rfdliq -.0202735 .0657514 -0.31 0.758 -.1500679 .1095209 rfdcap .2127352 .0798245 2.67 0.008 .0551603 .3703101 rfdsize .0432451 .0088583 4.88 0.000 .0257586 .0607316 L1. -.0282821 .0066393 -4.26 0.000 -.0413882 -.0151759 --. -.0487953 .0066348 -7.35 0.000 -.0618925 -.0356981 drf lgdp .4123523 .1161008 3.55 0.000 .1831673 .6415373 L1. -.5891407 .1198751 -4.91 0.000 -.8257761 -.3525053 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(12, 170) = 23.20 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxv 8. GMM models with Rediscount rate (RDR) Sargan test of overid. restrictions: chi2(127) = 122.27 Prob > chi2 = 0.602 Arellano-Bond test for AR(2) in first differences: z = -0.18 Pr > z = 0.856 Arellano-Bond test for AR(1) in first differences: z = -3.68 Pr > z = 0.000 L(2/7).(L.lloan rddsize L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.drd) Standard Instruments for first differences equation L1. 1.916347 3.607031 0.53 0.596 -5.203108 9.035801 dllpr L1. .4454582 .2580602 1.73 0.086 -.0638935 .9548099 dliqr L1. .5817714 .3107865 1.87 0.063 -.0316502 1.195193 dcapr L1. .1876814 .1184781 1.58 0.115 -.0461672 .42153 dsize rddsize .0335919 .0064839 5.18 0.000 .0207942 .0463897 L1. -.027429 .0062555 -4.38 0.000 -.0397759 -.015082 --. -.0435271 .0057986 -7.51 0.000 -.0549722 -.0320819 drd lgdp .4103985 .1200324 3.42 0.001 .1734819 .6473151 L1. -.5834134 .1239151 -4.71 0.000 -.8279936 -.3388333 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 27.69 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxvi Sargan test of overid. restrictions: chi2(128) = 130.15 Prob > chi2 = 0.430 Arellano-Bond test for AR(2) in first differences: z = 0.36 Pr > z = 0.717 Arellano-Bond test for AR(1) in first differences: z = -4.61 Pr > z = 0.000 L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rddcap L.lgdp L.drd) Standard Instruments for first differences equation L1. 1.913479 3.948611 0.48 0.629 -5.880176 9.707133 dllpr L1. .2271046 .2769065 0.82 0.413 -.3194454 .7736546 dliqr L1. .3994062 .3372513 1.18 0.238 -.2662507 1.065063 dcapr L1. .2247942 .1295853 1.73 0.085 -.0309777 .480566 dsize rddcap -.0039647 .0709688 -0.06 0.956 -.1440409 .1361115 L1. -.026774 .0068547 -3.91 0.000 -.0403036 -.0132444 --. -.0331004 .0059797 -5.54 0.000 -.0449031 -.0212978 drd lgdp .4488371 .1316775 3.41 0.001 .1889359 .7087384 L1. -.6176758 .1358566 -4.55 0.000 -.8858256 -.349526 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 20.87 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxvii Sargan test of overid. restrictions: chi2(127) = 125.61 Prob > chi2 = 0.518 Arellano-Bond test for AR(2) in first differences: z = 0.19 Pr > z = 0.851 Arellano-Bond test for AR(1) in first differences: z = -4.44 Pr > z = 0.000 L(2/7).(L.lloan rddliq L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.drd) Standard Instruments for first differences equation L1. 2.134138 3.917557 0.54 0.587 -5.598224 9.866499 dllpr L1. .2784896 .282138 0.99 0.325 -.2783863 .8353655 dliqr L1. .4604255 .3383892 1.36 0.175 -.2074774 1.128328 dcapr L1. .2041618 .1288128 1.58 0.115 -.0500853 .4584088 dsize rddliq .082738 .0604216 1.37 0.173 -.0365204 .2019964 L1. -.0270927 .0067944 -3.99 0.000 -.0405032 -.0136821 --. -.035288 .0060813 -5.80 0.000 -.0472911 -.0232849 drd lgdp .4069327 .1303856 3.12 0.002 .1495813 .6642842 L1. -.5747533 .134835 -4.26 0.000 -.8408868 -.3086198 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 21.15 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxviii Sargan test of overid. restrictions: chi2(127) = 124.90 Prob > chi2 = 0.536 Arellano-Bond test for AR(2) in first differences: z = 0.33 Pr > z = 0.743 Arellano-Bond test for AR(1) in first differences: z = -4.41 Pr > z = 0.000 L(2/7).(L.lloan rddllp L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.lgdp L.drd) Standard Instruments for first differences equation L1. .1694837 4.056484 0.04 0.967 -7.837088 8.176056 dllpr L1. .3429438 .2786374 1.23 0.220 -.2070228 .8929104 dliqr L1. .5542944 .3376183 1.64 0.102 -.112087 1.220676 dcapr L1. .2204128 .1282546 1.72 0.087 -.0327325 .473558 dsize rddllp 3.20493 1.798142 1.78 0.076 -.3441922 6.754052 L1. -.0263325 .0067931 -3.88 0.000 -.0397405 -.0129244 --. -.0307405 .0061146 -5.03 0.000 -.0428092 -.0186717 drd lgdp .3916911 .1302048 3.01 0.003 .1346967 .6486856 L1. -.5860103 .1342433 -4.37 0.000 -.850976 -.3210447 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(9, 173) = 21.41 avg = 6.07 Number of instruments = 136 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxxxix Sargan test of overid. restrictions: chi2(126) = 135.72 Prob > chi2 = 0.261 Arellano-Bond test for AR(2) in first differences: z = -0.15 Pr > z = 0.879 Arellano-Bond test for AR(1) in first differences: z = -3.65 Pr > z = 0.000 L(2/7).(L.lloan rddsize rddliq L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rddcap L.lgdp L.drd) Standard Instruments for first differences equation L1. 1.862431 3.486512 0.53 0.594 -5.019714 8.744577 dllpr L1. .3409187 .2493683 1.37 0.173 -.1513178 .8331552 dliqr L1. .3852593 .2996334 1.29 0.200 -.2061973 .976716 dcapr L1. .185187 .1148066 1.61 0.109 -.0414336 .4118077 dsize rddliq -.0258581 .0575602 -0.45 0.654 -.1394782 .087762 rddcap .1974152 .0723089 2.73 0.007 .0546822 .3401483 rddsize .0407102 .0075313 5.41 0.000 .025844 .0555764 L1. -.0258612 .006055 -4.27 0.000 -.0378133 -.013909 --. -.0448139 .0057235 -7.83 0.000 -.0561118 -.033516 drd lgdp .4125666 .1164568 3.54 0.001 .1826886 .6424446 L1. -.5859649 .1203376 -4.87 0.000 -.8235033 -.3484265 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(11, 171) = 24.73 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxl Sargan test of overid. restrictions: chi2(125) = 136.02 Prob > chi2 = 0.236 Arellano-Bond test for AR(2) in first differences: z = -0.14 Pr > z = 0.892 Arellano-Bond test for AR(1) in first differences: z = -3.62 Pr > z = 0.000 L(2/7).(L.lloan rddsize rddliq rddllp L.dsize L.dcapr L.dllpr L.dliqr) GMM-type (missing=0, separate instruments for each period unless collapsed) D.(rddcap L.lgdp L.drd) Standard Instruments for first differences equation L1. 1.398313 3.641039 0.38 0.701 -5.789158 8.585784 dllpr L1. .3361239 .2498535 1.35 0.180 -.157091 .8293388 dliqr L1. .3953321 .3007841 1.31 0.191 -.1984207 .9890849 dcapr L1. .1865307 .1149633 1.62 0.107 -.0404088 .4134701 dsize rddllp .7802614 1.744293 0.45 0.655 -2.663003 4.223526 rddliq -.0183273 .0600282 -0.31 0.761 -.136824 .1001694 rddcap .1935684 .072892 2.66 0.009 .0496784 .3374584 rddsize .0394052 .0080838 4.87 0.000 .0234476 .0553627 L1. -.0256691 .0060764 -4.22 0.000 -.0376639 -.0136742 --. -.043927 .0060628 -7.25 0.000 -.055895 -.0319589 drd lgdp .4099218 .1167258 3.51 0.001 .1795032 .6403404 L1. -.5852693 .1204707 -4.86 0.000 -.8230805 -.347458 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(12, 170) = 22.64 avg = 6.07 Number of instruments = 137 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxli 9. The effects of the 2008 global financial crisis on bank lending channel Sargan test of overid. restrictions: chi2(141) = 146.55 Prob > chi2 = 0.357 Arellano-Bond test for AR(2) in first differences: z = 0.02 Pr > z = 0.983 Arellano-Bond test for AR(1) in first differences: z = -4.27 Pr > z = 0.000 vixidllp) L(2/7).(L.lloan L2.vixidsize L2.lsize vixidliq L.capr L.llpr L2.liqr GMM-type (missing=0, separate instruments for each period unless collapsed) D.(vixidcap L.lgdp L.di) Standard Instruments for first differences equation vix .0096373 .0028481 3.38 0.001 .0040149 .0152596 L1. 2.634043 3.615388 0.73 0.467 -4.503096 9.771181 llpr L1. .3540715 .2463479 1.44 0.152 -.132244 .8403869 liqr L1. .0602466 .303423 0.20 0.843 -.538741 .6592341 capr L1. .1163833 .117544 0.99 0.324 -.1156604 .3484271 lsize vixidllp .0239406 .052738 0.45 0.650 -.0801694 .1280507 vixidliq .0001887 .0018049 0.10 0.917 -.0033743 .0037518 vixidcap .0064521 .0023703 2.72 0.007 .0017728 .0111313 vixidsize .0015153 .0002863 5.29 0.000 .0009501 .0020805 L1. -.030904 .0065583 -4.71 0.000 -.0438508 -.0179571 --. -.0411484 .0060287 -6.83 0.000 -.0530497 -.029247 di lgdp .3722204 .1213933 3.07 0.003 .1325777 .611863 L1. -.5360774 .1214915 -4.41 0.000 -.7759138 -.2962409 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(13, 169) = 20.44 avg = 6.07 Number of instruments = 154 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxlii Sargan test of overid. restrictions: chi2(125) = 139.20 Prob > chi2 = 0.182 Arellano-Bond test for AR(2) in first differences: z = -0.25 Pr > z = 0.804 Arellano-Bond test for AR(1) in first differences: z = -3.74 Pr > z = 0.000 L.dliqr) L(2/7).(L.lloan vixrddsize vixrddliq vixrddllp L.dsize L.dcapr L.dllpr GMM-type (missing=0, separate instruments for each period unless collapsed) D.(vixrddcap L.lgdp L.drd vix) Standard Instruments for first differences equation vix .0067295 .0026312 2.56 0.011 .0015353 .0119238 L1. 2.492768 3.64427 0.68 0.495 -4.701387 9.686923 dllpr L1. .3642834 .2535739 1.44 0.153 -.1362969 .8648638 dliqr L1. .5400253 .2930527 1.84 0.067 -.0384902 1.118541 dcapr L1. .233322 .1158739 2.01 0.046 .0045752 .4620688 dsize vixrddllp .0363267 .062691 0.58 0.563 -.0874316 .160085 vixrddliq -.0011511 .0022147 -0.52 0.604 -.005523 .0032209 vixrddcap .0056929 .0026127 2.18 0.031 .0005353 .0108506 vixrddsize .0014239 .0003196 4.45 0.000 .0007929 .0020549 L1. -.0297186 .0061734 -4.81 0.000 -.0419055 -.0175318 --. -.0432154 .0061089 -7.07 0.000 -.055275 -.0311559 drd lgdp .4735741 .1220599 3.88 0.000 .2326156 .7145325 L1. -.6713953 .1246684 -5.39 0.000 -.9175032 -.4252873 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(13, 169) = 21.70 avg = 6.07 Number of instruments = 138 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM cxliii Sargan test of overid. restrictions: chi2(125) = 139.33 Prob > chi2 = 0.180 Arellano-Bond test for AR(2) in first differences: z = -0.26 Pr > z = 0.791 Arellano-Bond test for AR(1) in first differences: z = -3.74 Pr > z = 0.000 L.dliqr) L(2/7).(L.lloan vixrfdsize vixrfdliq vixrfdllp L.dsize L.dcapr L.dllpr GMM-type (missing=0, separate instruments for each period unless collapsed) D.(vixrfdcap L.lgdp L.drf vix) Standard Instruments for first differences equation vix .0068033 .0026239 2.59 0.010 .0016235 .0119831 L1. 2.417578 3.640104 0.66 0.507 -4.768353 9.603508 dllpr L1. .3628734 .2535654 1.43 0.154 -.1376901 .8634369 dliqr L1. .5093827 .2931883 1.74 0.084 -.0694004 1.088166 dcapr L1. .2296034 .1156301 1.99 0.049 .0013379 .457869 dsize vixrfdllp .040654 .0688463 0.59 0.556 -.0952555 .1765636 vixrfdliq -.0012639 .0024229 -0.52 0.603 -.0060469 .0035192 vixrfdcap .0062498 .0028647 2.18 0.031 .0005946 .011905 vixrfdsize .0015536 .0003499 4.44 0.000 .0008629 .0022444 L1. -.0323982 .0067567 -4.79 0.000 -.0457366 -.0190597 --. -.0479132 .006703 -7.15 0.000 -.0611457 -.0346807 drf lgdp .4758143 .1215032 3.92 0.000 .2359548 .7156739 L1. -.6716043 .1243022 -5.40 0.000 -.9169894 -.4262192 lloan dloan Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 7 F(13, 169) = 21.90 avg = 6.07 Number of instruments = 138 Obs per group: min = 4 Time variable : year Number of groups = 30 Group variable: id Number of obs = 182 Dynamic panel-data estimation, one-step difference GMM