Table 4 Results for the bank risk-taking channel.
From: The monetary policy pass-through mechanism: Is the search-for-yield incentive at work?
Dependent variable: the natural logarithm of the Z-score index | ||||
|---|---|---|---|---|
(1) SFYroa | (2) SFYroe | (3) SFYroa | (4) SFYroe | |
Lagged dependent variable | 0.321*** (0.036) | 0.349*** (0.034) | 0.316*** (0.039) | 0.314*** (0.038) |
Refinancing rates | 0.039*** (0.010) | 0.039*** (0.010) | ||
Refinancing rates*Search for yield | –0.040** (0.016) | –0.004** (0.002) | ||
Rediscounting rates | 0.042*** (0.010) | 0.041*** (0.011) | ||
Rediscounting rates*Search for yield | –0.036** (0.016) | –0.002 (0.001) | ||
Search for yield | 0.357** (0.163) | 0.043** (0.019) | 0.244* (0.133) | 0.009** (0.004) |
Size | 0.036 (0.023) | 0.037 (0.025) | 0.030 (0.024) | 0.046** (0.022) |
Income models | –0.008*** (0.002) | –0.009*** (0.002) | –0.008*** (0.002) | –0.009*** (0.002) |
Liquidity | 0.001 (0.003) | 0.001 (0.002) | 0.001 (0.003) | 0.001 (0.003) |
Economic cycle | 0.258*** (0.034) | 0.257*** (0.033) | 0.275*** (0.035) | 0.254*** (0.037) |
Stock return | 0.002*** (0.000) | 0.002*** (0.001) | 0.002*** (0.000) | 0.002*** (0.001) |
Number of observations | 303 | 303 | 303 | 303 |
Number of banks | 31 | 31 | 31 | 31 |
Number of instruments | 29 | 29 | 29 | 29 |
AR(1) test | 0.000 | 0.000 | 0.000 | 0.000 |
AR(2) test | 0.179 | 0.187 | 0.184 | 0.130 |
Hansen test | 0.351 | 0.345 | 0.362 | 0.329 |
