Learning from History

Extra tables

Volatility and risk-taking: censored dependent variable

This Table provides the estimated coefficients of (4) considering censored dependent variables. The dependent variable used is listed at the column header. As the dependent variables (high credit or high leverage) are left-censored by definition, a Tobit-type estimator is appropriate. Hence, in Columns I and II, we report the estimated coefficients for the Honore’s (1992) panel regression model in the presence of cross-section fixed effects with and without time dummies, respectively. In Column III, Tobit regressions with random effects are reported. Columns IV through VI present the similar models, where high leverage is the dependent variable. Credit-to-GDP data is obtained from BIS and leverage data is obtained from Lee et al (2017). Region and decade fixed effects are included in all of the specifications. For the sake of brevity, the estimated coefficients of fixed effects are omitted. The standard errors are reported in parentheses.

 $$Y_{i,t}$$ high credit ($$\delta_{\text{CR}}^\text{high}_{i,t}$$) high leverage ($$\delta_{\text{LR}}^\text{high}_{i,t}$$) Honore (2002) model Honore (2002) model Random effect Tobit Honore (2002) model Honore (2002) model Random effect Tobit I II III IV V VI $$\delta^\text{high}_{i,t-1 \text{ to } t-5}$$ -0.52 0.53 -1.27 0.26** 0.50*** 0.78* (1.580) (1.621) (1.296) (0.132) (0.128) (0.405) $$\delta^\text{low}_{i,t-1 \text{ to } t-5}$$ -4.57*** -5.27** -5.14*** -0.60*** -0.72*** -1.03*** (1.731) (2.410) (1.099) (0.146) (0.135) (0.354) $$Y_{i,t-1 \text{ to } t-5}$$ 0.98*** 0.96*** 0.75*** 0.80*** 0.74*** 0.73*** (0.112) (0.125) (0.082) (0.163) (0.235) (0.223) $$\log GDP_{i,t-1 \text{ to } t-5}$$ 2.45 1.54 0.30 2.08*** 2.01*** 1.80 (1.906) (2.241) (3.357) (0.568) (0.771) (1.252) $$\Delta PD/GDP_{i,t-1 \text{ to } t-5}$$ -1.41*** -1.57*** -1.69*** 0.11 0.12 0.09 (0.189) (0.236) (0.270) (0.090) (0.095) (0.081) $$POLCOMP_{i,t-1 \text{ to } t-5}$$ 0.20 0.34 0.41 0.25*** 0.19* 0.16 (0.227) (0.252) (0.609) (0.081) (0.111) (0.112) $$INFLATION_{i,t-1 \text{ to } t-5}$$ -0.42* -0.53** -0.78*** 0.12 0.06 0.00 (0.224) (0.215) (0.277) (0.226) (0.232) (0.208) $$INTRATE_{i,t-1 \text{ to } t-5}$$ 0.07 0.09 0.04 0.12*** 0.01 0.04 (0.186) (0.202) (0.217) (0.020) (0.042) (0.072) Num of Obs. 875 875 875 118 118 118 Cross-sectional FE Yes Yes Yes Yes Yes Yes Time-series FE/dummy No Yes Yes No Yes Yes $$\chi^2$$ 9163.4 59.49 263.8 24.04 27.37 35.43 \textit{p}-val. 0 0 0.0023 0.0012 0.0007

Robustness: Different Fixed Effects

 Dep. Var.: $$C^\text{Banking}_{i,t}$$ I II III IV V VI VII VIII IX X XII XIII $$\delta^\text{high}_{i,t-1 \text{ to } t-5}$$ 0.20 0.19 0.20* 0.17 0.14 0.15 0.16 0.14 0.14 0.20 0.15 0.19 (0.128) (0.126) (0.118) (0.113) (0.110) (0.110) (0.107) (0.109) (0.115) (0.150) (0.105) (0.124) $$\delta^\text{low}_{i,t-1 \text{ to } t-5}$$ -0.31*** -0.30*** -0.30*** -0.31*** -0.30*** -0.31*** -0.32** -0.31** -0.33** -0.33*** -0.24** -0.29** (0.115) (0.113) (0.107) (0.111) (0.113) (0.120) (0.130) (0.135) (0.135) (0.119) (0.094) (0.117) $$C_{i,t-1 \text{ to } t-5}$$ -7.86*** -7.60*** -7.33*** -7.42*** -7.48*** -7.35*** -7.33*** -7.73*** -7.65*** -7.67*** -3.79** -8.87*** (2.039) (2.027) (1.932) (1.960) (2.025) (2.148) (2.199) (2.311) (2.208) (2.162) (1.931) (2.536) $$\log GDP_{i,t-1 \text{ to } t-5}$$ 0.07 0.01 0.07 0.03 0.01 0.04 0.10 0.05 0.15 0.13 0.05 0.07 (0.229) (0.219) (0.214) (0.197) (0.196) (0.187) (0.191) (0.189) (0.211) (0.223) (0.257) (0.231) $$\Delta PD/GDP_{i,t-1 \text{ to } t-5}$$ -0.07*** -0.07*** -0.07*** -0.07*** -0.07*** -0.07*** -0.08*** -0.08*** -0.07*** -0.07** -0.03** -0.07*** (0.026) (0.023) (0.023) (0.023) (0.023) (0.023) (0.025) (0.024) (0.025) (0.028) (0.013) (0.022) $$POLCOMP_{i,t-1 \text{ to } t-5}$$ -0.09* -0.09* -0.08** -0.09** -0.08* -0.07 -0.07* -0.07* -0.07 -0.08* -0.06 -0.09* (0.048) (0.044) (0.039) (0.042) (0.044) (0.045) (0.040) (0.042) (0.045) (0.046) (0.049) (0.053) $$INFLATION_{i,t-1 \text{ to } t-5}$$ 0.02 0.02* 0.02* 0.02* 0.02* 0.02* 0.02 0.02 0.02 0.02 0.01* 0.02 (0.011) (0.010) (0.010) (0.010) (0.011) (0.011) (0.011) (0.012) (0.011) (0.010) (0.005) (0.014) Num of Obs. 2,134 2,124 2,113 2,103 2,071 2,383 2,352 2,360 2,348 2,233 2,886 2,015 Pse. $$R^2$$ 0.106 0.0968 0.104 0.0965 0.0964 0.119 0.135 0.135 0.124 0.106 0.0292 0.143

Volatility and risk-taking: different data and definitions

BIS data

 $$Y_{i,t}$$ $$CR\_GAP_{i,t}$$ $$\Delta logCR_{i,t}$$ $$CR\_GAP_{i,t}$$ $$\Delta logCR_{i,t}$$ $$\delta_{\text{CR}}^\text{high}_{i,t}$$ $$LR\_GAP_{i,t}$$ $$\Delta logLR_{i,t}$$ I II III V IV I III $$\delta^\text{high}_{i,t-1 \text{ to } t-5}$$ -1.66 0.02 -37.65* -0.91 -0.38* 1.28*** 0.45 (2.210) (0.407) (21.966) (0.932) (0.219) (0.471) (1.203) $$\delta^\text{low}_{i,t-1 \text{ to } t-5}$$ -4.53*** -0.97*** -39.53** -1.32** -0.40** -1.51*** 0.54 (1.328) (0.281) (16.842) (0.544) (0.168) (0.370) (0.954) $$Y_{i,t-1 \text{ to } t-5}$$ 0.44*** 0.13 0.46** 0.22** 0.46*** 0.27 0.09 (0.083) (0.142) (0.181) (0.092) (0.146) (0.229) (0.158) $$\log GDP_{i,t-1 \text{ to } t-5}$$ 0.33 -1.09* 85.54* -0.64 0.86* 1.85 1.24 (3.173) (0.655) (44.421) (1.029) (0.444) (1.164) (2.200) $$\Delta PD/GDP_{i,t-1 \text{ to } t-5}$$ -1.88*** -0.55*** -4.64 -0.15 -0.05 0.16* 0.01 (0.540) (0.112) (3.356) (0.098) (0.033) (0.090) (0.240) $$POLCOMP_{i,t-1 \text{ to } t-5}$$ 0.60 0.18** 5.48* 0.20 0.05* 0.08 -0.14 (0.637) (0.090) (3.075) (0.129) (0.031) (0.068) (0.284) $$INFLATION_{i,t-1 \text{ to } t-5}$$ -0.56 -0.37** 17.41*** 0.66** 0.17*** -0.01 0.48 (0.462) (0.173) (5.067) (0.264) (0.049) (0.145) (0.339) $$INTRATE_{i,t-1 \text{ to } t-5}$$ -0.16 0.03 13.79** 0.56 0.14** 0.01 -0.05 (0.356) (0.048) (6.804) (0.346) (0.068) (0.057) (0.057) Num of Obs. 875 955 877 955 877 118 317 Adj. $$R^2$$ 0.274 0.177 0.207 0.139 0.207 0.0598 -0.00670

Robustness: Volatility channels and financial crises

Historical

 Mean Macro vars dividends Dep. Var. Included Included Included Data Dep. Var.: $$C^\text{Banking}_{i,t}$$ I II III IV V VI VII VIII IX X XI XII XIII XIV XV $$\delta^\text{high}_{i,t-1 \text{ to } t-5}$$ 0.17* 0.23* 0.35** 0.13 0.08 0.21 0.32** 0.15 0.01 0.14 0.23 0.35 0.31 0.04 0.19 (0.088) (0.124) (0.160) (0.171) (0.129) (0.162) (0.159) (0.105) (0.006) (0.131) (0.151) (0.226) (0.261) (0.178) (0.131) $$\delta^\text{low}_{i,t-1 \text{ to } t-5}$$ -0.29** -0.49** -0.42** -0.44** -0.21** -0.35** -0.61*** -0.24** -0.01** -0.22** -0.41** -0.48*** -0.51*** -0.37** -0.30** (0.118) (0.217) (0.193) (0.174) (0.103) (0.144) (0.192) (0.094) (0.006) (0.099) (0.206) (0.154) (0.137) (0.184) (0.118) $$C_{i,t-1 \text{ to } t-5}$$ -8.34*** -8.29*** -8.58*** -9.92*** -7.90*** -7.85*** -10.55*** -3.79** -0.31*** -7.86*** -7.48** -7.98** -7.62*** -8.23*** (1.969) (1.953) (2.573) (2.889) (1.881) (2.020) (1.352) (1.931) (0.067) (2.062) (3.583) (4.061) (1.877) (2.020) $$\log GDP_{i,t-1 \text{ to } t-5}$$ 0.18 0.16 0.23 0.06 0.06 0.64** 0.05 0.01 0.09 0.07 0.08 0.16 0.03 0.05 (0.195) (0.178) (0.406) (0.221) (0.230) (0.312) (0.257) (0.007) (0.176) (0.229) (0.377) (0.516) (0.213) (0.235) $$\Delta PD/GDP_{i,t-1 \text{ to } t-5}$$ -0.07*** -0.07*** -0.05* -0.06** -0.07** -0.10*** -0.03** -0.00** -0.08*** -0.07*** -0.07** -0.04 -0.07** -0.07** (0.025) (0.026) (0.029) (0.025) (0.027) (0.032) (0.013) (0.001) (0.020) (0.024) (0.034) (0.059) (0.027) (0.028) $$POLCOMP_{i,t-1 \text{ to } t-5}$$ -0.08* -0.09** -0.11 -0.09** -0.09* -0.06 -0.06 -0.00* -0.07* -0.08* -0.19** -0.10 -0.09* -0.09* (0.047) (0.043) (0.075) (0.043) (0.047) (0.067) (0.049) (0.002) (0.041) (0.048) (0.088) (0.108) (0.047) (0.047) $$INFLATION_{i,t-1 \text{ to } t-5}$$ 1.80* 1.79* 0.03** 0.02* 0.02* 0.03** 0.01* 0.00* 0.01 0.02* 0.00 0.04** 0.02 0.02 (0.952) (0.939) (0.016) (0.011) (0.011) (0.013) (0.005) (0.001) (0.009) (0.014) (0.015) (0.015) (0.011) (0.011) $$\log GDP^\text{high}_{i,t-1 \text{ to } t-5}$$ 0.15 (2.383) $$\Delta PD/GDP^\text{high}_{i,t-1 \text{ to } t-5}$$ 0.02 (0.028) $$POLCOMP^\text{high}_{i,t-1 \text{ to } t-5}$$ -0.22 (0.209) $$INFLATION^\text{high}_{i,t-1 \text{ to } t-5}$$ 3.25 (2.354) $$\log GDP^\text{low}_{i,t-1 \text{ to } t-5}$$ 13.15*** (4.072) $$\Delta PD/GDP^\text{low}_{i,t-1 \text{ to } t-5}$$ 0.02 (0.042) $$POLCOMP^\text{low}_{i,t-1 \text{ to } t-5}$$ -0.03 (0.204) $$INFLATION^\text{low}_{i,t-1 \text{ to } t-5}$$ 1.42 (2.006) $$dy^\text{high}_{i,t-1 \text{ to } t-5}$$ -0.02 (0.016) $$dy^\text{low}_{i,t-1 \text{ to } t-5}$$ -0.00 (0.008) $$\tau_{i,t-1 \text{ to } t-5}$$ -0.06 (0.094) $$INTRATE_{i,t-1 \text{ to } t-5}$$ -0.02 (0.020) $$CR\_GAP_{i,t-1 \text{ to } t-5}$$ 0.04** (0.018) Num of Obs. 2,168 2,164 1,976 1,248 2,181 2,134 1,618 2,886 2,886 2,134 2,134 1,205 1,047 2,134 2,134 Pse.$$R^2$$/adj$$R^2$$ 0.102 0.103 0.108 0.101 0.102 0.105 0.123 0.0292 0.0410 0.0665 0.107 0.123 0.114 0.103 0.111