Table 1 Variables definitions and summary statistics.
From: The monetary policy pass-through mechanism: Is the search-for-yield incentive at work?
Obs | Mean | SD | Min | Max | Definitions | |
|---|---|---|---|---|---|---|
Bank output measures | ||||||
Loans growth | 391 | 29.533 | 29.671 | –5.159 | 111.120 | The annual growth rate of bank loans (%) |
lnZscore | 356 | 3.951 | 0.875 | 2.625 | 5.892 | The natural logarithm of [1 + (ROA + Capital)/σ(ROA)], where ROA is the return-on-asset ratio, Capital is the equity-to-asset ratio, and σ(ROA) is the standard deviation of ROA using the three-year rolling time window |
LC growth (cat fat) | 362 | 23.035 | 81.957 | −254.174 | 326.105 | The annual growth rate of bank liquidity creation (“cat fat” measure) (%) |
LC growth (cat nonfat) | 362 | 20.545 | 76.870 | −311.378 | 225.238 | The annual growth rate of bank liquidity creation (“cat nonfat” measure) (%) |
Search-for-yield measures | ||||||
SFYroa | 356 | –0.044 | 0.460 | –0.952 | 0.948 | The difference between ROA and its past-three-year average (%) |
SFYroe | 356 | 0.049 | 4.523 | –8.686 | 9.097 | The difference between ROE and its past-three-year average (%) |
Bank-specific characteristics | ||||||
Capital | 391 | 10.280 | 5.351 | 4.384 | 29.008 | The ratio of equity to total assets (%) |
Liquidity | 391 | 17.762 | 10.429 | 5.090 | 47.311 | The ratio of liquid assets to total assets (%) |
Size | 391 | 31.967 | 1.294 | 29.404 | 34.630 | The natural logarithm of total assets |
Monetary policy indicators and macroeconomic factors | ||||||
Lending rates | 391 | 10.400 | 3.328 | 6.960 | 16.954 | The average short-term lending rates (%) |
Refinancing rates | 391 | 8.042 | 2.547 | 6.000 | 15.000 | The refinancing rates announced by the SBV (%) |
Rediscounting rates | 391 | 5.894 | 2.660 | 3.500 | 13.000 | The rediscounting rates announced by the SBV (%) |
Stock return | 391 | 7.425 | 29.655 | –65.953 | 56.761 | The annual growth rate of the VNindex (%) |
Inflation | 391 | 7.495 | 6.226 | 0.631 | 23.115 | The annual inflation rate (%) |
Economic cycle | 391 | 6.245 | 0.642 | 5.247 | 7.130 | The annual growth rate of GDP (%) |
