Bank lending channel and monetary policy transmission in Vietnam - 7

Credit market share (%)

State-owned commercial banks Joint-stock commercial banks

Foreign banks

Other

2007

2008

2009

2010

2011

Meanwhile, the level of market concentration on credit shows that there is a group monopoly of state-owned commercial banks. If the capital mobilization market share in the period 2007 - 2011 had a large shift from state-owned commercial banks to joint stock commercial banks, the credit market share did not change significantly between the two banks. This banking sector (Figure A.3 shows that the credit market share of state-owned commercial banks only decreased slightly from 59.3% to 51.3% in the period 2007 - 2011), clearly demonstrating the competitive advantage between the two banks. block. State-owned commercial banks hold a high credit market share thanks to their wide networks covering key economic provinces. Lending to key economic projects of the state or having close relationships with economic groups are the factors that determine the difference in credit market share. Joint-stock commercial banks do not have such advantages, so credit is concentrated on individual customers and small and medium-sized enterprises, so accelerating the expansion of credit market share will be difficult. The high degree of concentration indicates the dominance of state-owned commercial banks and is a factor undermining the importance of the channel.bank loans in Vietnam.

         
 

9.2

   

11

   

9.1

   

9

   

8.6

 

27.7

26.5

32

35.1

35.5

59.3

58.1

54.1

51.4

51.3

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Bank lending channel and monetary policy transmission in Vietnam - 7

Figure A.3. Credit market share of Vietnamese banks in the period 2007 - 2011

Source: VNEconomy

In summary, the evidence describing the strength of the bank lending channel in Vietnam is mixed. Factors such as a high degree of market concentration in credit, or a high degree of state involvement in the banking sector, suggest that the lending channel will be weak. On the other hand, factors such as the high level of competition for capital mobilization, the low level of foreign ownership, or the high degree of banking dependence of domestic organizations and individuals, are supportive factors for Vietnam's economic growth. existence of a bank lending channel. Furthermore, the banking industry in Vietnam is quite diversified, and there are a large number of small banks with weak balance sheet structures, and therefore different ratios of size, liquidity, and capitalization. significantly different from the banking industry average. Therefore, to draw conclusions about the role of the banking industry in Vietnam in monetary policy transmission, we need to do some formal empirical testing.

APPENDIX B. ESTIMATE RESULTS

B.1. Model estimation results (4.1) using scale characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 38

Obs per group: min

=

7

F(10, 29) = 645.84

avg

=

8.83

Prob > F = 0.000 max = 9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.5500024

.079507

6.92

0.000

.3873923

.7126125

rate

           

--.

-.1210267

.0313966

-3.85

0.001

-.1852401

-.0568133

L1.

.0383065

.0375161

1.02

0.316

-.0384225

.1150355

gdp

           

--.

.2361301

.0969511

2.44

0.021

.0378428

.4344174

L1.

-.3675458

.0533824

-6.89

0.000

-.4767252

-.2583665

CPI

           

--.

.0803953

.0168616

4.77

0.000

.0459094

.1148812

L1.

.0032086

.0251175

0.13

0.899

-.0481624

.0545797

size

           

L1.

.3157022

.0680192

4.64

0.000

.1765874

.4548171

size1rate

.006341

.0027095

2.34

0.026

.0007994

.0118826

size1rate1

.0015955

.0028599

0.56

0.581

-.0042536

.0074447

_cons

8.500045

1.898784

4.48

0.000

4.616596

12.38349

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.size size1rate size1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.size size1rate size1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.60 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.41 Pr > z = 0.683

Sargan test of overid. restrictions: chi2(27) = 154.75 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(27) = 22.61 Prob > chi2 = 0.706 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group: chi2(10)

=

20.37

Prob

>

chi2

=

0.026

Difference (null H = exogenous): chi2(17)

=

2.24

Prob

>

chi2

=

1,000 yen

Hansen test excluding group: chi2(21)

=

19.95

Prob

>

chi2

=

0.524

Difference (null H = exogenous): chi2(6)

=

2.65

Prob

>

chi2

=

0.851

GMM instruments for levels

iv(rate L.rate gdp L.gdp cpi L.cpi)

B.2. Model estimation results (4.1) using liquidity characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 38

Obs per group: min

=

7

F(10, 29) = 534.18

avg

=

8.83

Prob > F = 0.000 max = 9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.8901591

.0299489

29.72

0.000

.8289068

.9514115

rate

           

--.

-.0071375

.0185304

-0.39

0.703

-.0450365

.0307614

L1.

-.1141464

.0234951

-4.86

0.000

-.1621992

-.0660936

gdp

           

--.

.5937123

.084833

7.00

0.000

.4202094

.7672152

L1.

-.212927

.0428574

-4.97

0.000

-.3005803

-.1252737

CPI

           

--.

.0226894

.0123305

1.84

0.076

-.0025293

.0479082

L1.

.1016865

.0182143

5.58

0.000

.064434

.1389389

liq

           

L1.

.3688341

.6786717

0.54

0.591

-1.019205

1.756874

liq1rate

-.0014729

.0516665

-0.03

0.977

-.1071427

.1041969

liq1rate1

-.0015223

.0341104

-0.04

0.965

-.0712859

.0682413

_cons

-.3101139

.686045

-0.45

0.655

-1.713234

1.093006

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.liq liq1rate liq1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.liq liq1rate liq1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.44 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.26 Pr > z = 0.206

Sargan test of overid. restrictions: chi2(27) = 105.87 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(27) = 27.02 Prob > chi2 = 0.463 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group: chi2(10)

=

15.27

Prob

>

chi2

=

0.123

Difference (null H = exogenous): chi2(17)

=

11.75

Prob

>

chi2

=

0.815

Hansen test excluding group: chi2(21)

=

22.35

Prob

>

chi2

=

0.380

Difference (null H = exogenous): chi2(6)

=

4.67

Prob

>

chi2

=

0.587

GMM instruments for levels

iv(rate L.rate gdp L.gdp cpi L.cpi)

B.3. Model estimation results (4.1) using capitalization characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 38

Obs per group: min

=

7

F(10, 29) = 559.85

avg

=

8.83

Prob > F = 0.000

max

=

9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.8812914

.0472342

18.66

0.000

.7846867

.9778962

rate

           

--.

-.0155856

.0217573

-0.72

0.480

-.0600842

.028913

L1.

-.1154434

.0237919

-4.85

0.000

-.1641032

-.0667835

gdp

           

--.

.6137482

.0772304

7.95

0.000

.4557943

.7777022

L1.

-.2356657

.0481896

-4.89

0.000

-.3342245

-.1371069

CPI

           

--.

.030708

.0134949

2.28

0.030

.0031077

.0583082

L1.

.1052771

.0173324

6.07

0.000

.0698284

.1407259

cap

           

L1.

-.3085769

1.501278

-0.21

0.839

-3.379035

2.761881

cap1rate

.0119564

.0515935

0.23

0.818

-.0935641

.117477

cap1rate1

-.0021952

.07092

-0.03

0.976

-.1472428

.1428524

_cons

-.1752537

.9951344

-0.18

0.861

-2.210532

1.860025

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.cap cap1rate cap1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.cap cap1rate cap1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.52 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.23 Pr > z = 0.220

Sargan test of overid. restrictions: chi2(27) = 146.83 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(27) = 22.35 Prob > chi2 = 0.720 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group: chi2(10)

=

14.84

Prob

>

chi2

=

0.138

Difference (null H = exogenous): chi2(17)

=

7.50

Prob

>

chi2

=

0.976

Hansen test excluding group: chi2(21)

=

20.15

Prob

>

chi2

=

0.512

Difference (null H = exogenous): chi2(6)

=

2.20

Prob

>

chi2

=

0.900

GMM instruments for levels

iv(rate L.rate gdp L.gdp cpi L.cpi)

B.4. Model estimation results (4.1) using size and liquidity characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 55

Obs per group: min

=

7

F(13, 29) = 648.25

avg

=

8.83

Prob > F = 0.000

max

=

9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.5569479

.0844174

6.60

0.000

.384295

.7296008

rate

           

--.

-.1254419

.0343049

-3.66

0.001

-.1956033

-.0552805

L1.

.0355877

.0415238

0.86

0.398

-.049338

.1205134

gdp

           

--.

.2555684

.0990579

2.58

0.015

.0529722

.4581646

L1.

-.3765908

.0540196

-6.97

0.000

-.4870733

-.2661082

CPI

--.

.085438

.018637

4.58

0.000

.047321

.1235549

L1.

.0070616

.0273563

0.26

0.798

-.0488883

.0630114

size L1.

.3186181

.0756823

4.21

0.000

.1638304

.4734057

size1rate

.0058492

.0023938

2.44

0.021

.0009532

.0107451

size1rate1

.0013546

.0029913

0.45

0.654

-.0047632

.0074725

liq L1.

-.1588848

.6483918

-0.25

0.808

-1.484995

1.167225

liq1rate

-.0130061

.0421777

-0.31

0.760

-.0992693

.0732571

liq1rate1

-.0086709

.0290616

-0.30

0.768

-.0681085

.05076667

_cons

8.296876

1.981204

4.19

0.000

4.24486

12,34889

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.size size1rate size1rate1 L.liq liq1rate liq1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.size size1rate size1rate1 L.liq liq1rate liq1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.61 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.64 Pr > z = 0.520

Sargan test of overid. restrictions: chi2(41) = 173.96 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(41) = 22.02 Prob > chi2 = 0.993 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group: chi2(14)

=

21.49

Prob

>

chi2

=

0.090

Difference (null H = exogenous): chi2(27)

=

0.53

Prob

>

chi2

=

1,000 yen

Hansen test excluding group: chi2(35)

=

20.14

Prob

>

chi2

=

0.979

Difference (null H = exogenous): chi2(6)

=

1.88

Prob

>

chi2

=

0.931

GMM instruments for levels

iv(rate L.rate gdp L.gdp cpi L.cpi)

B.5. Model estimation results (4.1) using size and capitalization characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 55

Obs per group: min

=

7

F(13, 29) = 973.99

avg

=

8.83

Prob > F = 0.000

max

=

9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.5754071

.0923473

6.23

0.000

.3865358

.7642785

rate

           

--.

-.1171762

.03586464

-3.27

0.003

-.1904903

-.043862

L1.

.0517326

.0527101

0.98

0.334

-.0560717

.1595369

gdp

           

--.

.2107098

.1438594

1.46

0.154

-.0835157

.5049353

L1.

-.3390027

.0515885

-6.57

0.000

-.4445131

-.2334923

CPI

           

--.

.075852

.018422

4.12

0.000

.0381747

.1135293

L1.

-.0063865

.03635

-0.18

0.862

-.0807306

.0679575

size

           

L1.

.3055084

.1462078

2.09

0.046

.0064799

.604537

size1rate

.0134564

.0056655

2.38

0.024

.001869

.0250437

size1rate1

-.0009326

.0040038

-0.23

0.817

-.0091214

.0072562

cap

           

L1.

-.2689005

2.120223

-0.13

0.900

-4.605243

4.067443

cap1rate

.1943278

.104508

1.86

0.073

-.019415

.4080707

cap1rate1

-.0345468

.08700594

-0.40

0.694

-.2126033

.1435097

_cons

8.041952

2.422732

3.32

0.002

3.086909

12,99699

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.size size1rate size1rate1 L.cap cap1rate cap1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.size size1rate size1rate1 L.cap cap1rate cap1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.61 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.68 Pr > z = 0.497

Sargan test of overid. restrictions: chi2(41) = 196.99 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(41) = 20.49 Prob > chi2 = 0.997 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels

Hansen test excluding group: chi2(14) = 13.84 Prob > chi2 = 0.462 Difference (null H = exogenous): chi2(27) = 6.65 Prob > chi2 = 1,000

iv(rate L.rate gdp L.gdp cpi L.cpi)

Hansen test excluding group: chi2(35) = 19.11 Prob > chi2 = 0.987 Difference (null H = exogenous): chi2(6) = 1.38 Prob > chi2 = 0.967

B.6. Model estimation results (4.1) using liquidity and capitalization characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 55

Obs per group: min

=

7

F(13, 29) = 569.26

avg

=

8.83

Prob > F = 0.000 max = 9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.9200836

.045702

20.13

0.000

.8266126

1.013555

rate

           

--.

.0010052

.021956

0.05

0.964

-.0438999

.0459103

L1.

-.1221536

.0220634

-5.54

0.000

-.1672783

-.077029

gdp

           

--.

.6148317

.0816434

7.53

0.000

.4478522

.7818112

L1.

-.1947507

.0489473

-3.98

0.000

-.2948591

-.0946423

CPI

           

--.

.01181704

.0143775

1.26

0.216

-.0112348

.0475757

L1.

.1068964

.0167063

6.40

0.000

.0727283

.1410646

liq

           

L1.

.9285027

.6717476

1.38

0.177

-.4453755

2.302381

liq1rate

-.0118667

.0438091

-0.27

0.788

-.1014665

.0777733

liq1rate1

-.0430749

.03364825

-1.18

0.247

-.11769

.0315402

cap

           

L1.

-.0537768

1.705749

-0.03

0.975

-3.542426

3.434872

cap1rate

.0216311

.0650949

0.33

0.742

-.1115029

.1547651

cap1rate1

.0121737

.0634756

0.19

0.849

-.1176484

.1419958

_cons

-1.052049

.94777637

-1.11

0.276

-2.990444

.8863451

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.liq liq1rate liq1rate1 L.cap cap1rate cap1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.liq liq1rate liq1rate1 L.cap cap1rate cap1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.48 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -0.95 Pr > z = 0.344

Sargan test of overid. restrictions: chi2(41) = 200.86 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(41) = 21.81 Prob > chi2 = 0.994 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group: chi2(14)

=

16.85

Prob

>

chi2

=

0.264

Difference (null H = exogenous): chi2(27)

=

4.96

Prob

>

chi2

=

1,000 yen

Hansen test excluding group: chi2(35)

=

16.93

Prob

>

chi2

=

0.996

Difference (null H = exogenous): chi2(6)

=

4.88

Prob

>

chi2

=

0.559

GMM instruments for levels

iv(rate L.rate gdp L.gdp cpi L.cpi)

B.7. Model estimation results (4.1) using size, liquidity, and capitalization characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 71

Obs per group: min

=

7

F(16, 29) = 1050.13

avg

=

8.83

Prob > F = 0.000

max

=

9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.5571485

.0935599

5.95

0.000

.3657971

.7484999

rate

           

--.

-.1285402

.0382982

-3.36

0.002

-.2068689

-.0502116

L1.

.0649837

.0501217

1.30

0.205

-.0375266

.167494

gdp

           

--.

.1900537

.126707

1.50

0.144

-.0690913

.4491986

L1.

-.3485914

.0525653

-6.63

0.000

-.4560995

-.2410833

CPI

           

--.

.0822325

.0201086

4.09

0.000

.0411059

.1233592

L1.

-.0133686

.0340265

-0.39

0.697

-.0829606

.0562233

size

           

L1.

.3203392

.1357901

2.36

0.025

.0426173

.5980611

size1rate

.0138705

.005192

2.67

0.012

.0032517

.024893

size1rate1

-.0008301

.0043102

-0.19

0.849

-.0096454

.0079853

liq

           

L1.

-.0458372

.6246038

-0.07

0.942

-1.323295

1.231621

liq1rate

.0154562

.0460302

0.34

0.739

-.0786862

.1095986

liq1rate1

-.0399053

.0322981

-1.24

0.227

-.1059624

.0261518

cap

           

L1.

-.4207595

2.020283

-0.21

0.836

-4.552702

3.711183

cap1rate

.2112643

.0968293

2.18

0.037

.0132262

.4093025

cap1rate1

-.0390466

.0943169

-0.41

0.682

-.2319464

.1538532

_cons

8.516561

2.329934

3.66

0.001

3.751311

13.28181

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.size size1rate size1rate1 L.liq liq1rate liq1rate1 L.cap cap1rate cap1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.size size1rate size1rate1 L.liq liq1rate liq1rate1 L.cap cap1rate cap1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.57 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.49 Pr > z = 0.624

Sargan test of overid. restrictions: chi2(54) = 207.53 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(54) = 17.00 Prob > chi2 = 1,000 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

Hansen test excluding group: chi2(18)

=

16.32

Prob

>

chi2

=

0.570

Difference (null H = exogenous): chi2(36)

=

0.68

Prob

>

chi2

=

1,000 yen

Hansen test excluding group: chi2(48)

=

17.08

Prob

>

chi2

=

1,000 yen

Difference (null H = exogenous): chi2(6)

=

-0.08

Prob

>

chi2

=

1,000 yen

GMM instruments for levels

iv(rate L.rate gdp L.gdp cpi L.cpi)

B.8. Model estimation results (4.2) using scale characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 40

Obs per group: min

=

7

F(13, 29) = 545.47

avg

=

8.83

Prob > F = 0.000

max

=

9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.5737825

.0708745

8.10

0.000

.4288278

.7187372

rate

           

--.

-.114008

.0277272

-4.11

0.000

-.1707164

-.0572995

L1.

.0250849

.0356873

0.70

0.488

-.0479037

.0980736

gdp

           

--.

.2671525

.0979116

2.73

0.011

.0669007

.4674043

L1.

-.3596413

.04799697

-7.50

0.000

-.4577502

-.2615323

CPI

           

--.

.0771631

.0147382

5.24

0.000

.04702

.1073062

L1.

.0117424

.0244465

0.48

0.635

-.0382564

.0617412

size

           

L1.

.2875082

.064797

4.44

0.000

.1549834

.420033

size1rate

.006203

.0026609

2.33

0.027

.0007608

.0116451

size1rate1

.0014844

.0028656

0.52

0.608

-.0043763

.0073452

d1

.0545961

.1137638

0.48

0.635

-.178077

.2872692

d2

.2010285

.2163852

0.93

0.361

-.241529

.643586

d3

0

(omitted)

       

_cons

7.311025

1.519395

4.81

0.000

4.203514

10.41854

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.size size1rate size1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.size size1rate size1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.58 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.49 Pr > z = 0.627

Sargan test of overid. restrictions: chi2(26) = 147.19 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(26) = 20.92 Prob > chi2 = 0.746 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels

Hansen test excluding group: chi2(9) = 19.75 Prob > chi2 = 0.020 Difference (null H = exogenous): chi2(17) = 1.17 Prob > chi2 = 1,000

iv(rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3)

Hansen test excluding group: chi2(18) = 17.84 Prob > chi2 = 0.466 Difference (null H = exogenous): chi2(8) = 3.08 Prob > chi2 = 0.929

B.9. Model estimation results (4.2) using liquidity characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 40

Obs per group: min

=

7

F(13, 29) = 444.09

avg

=

8.83

Prob > F = 0.000 max = 9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.8759028

.0304291

28.78

0.000

.8136682

.9381373

rate

           

--.

-.0120719

.018899

-0.64

0.528

-.0507247

.0265808

L1.

-.1107944

.0225607

-4.91

0.000

-.1569362

-.0646526

gdp

           

--.

.5841964

.0829219

7.05

0.000

.4146019

.7537908

L1.

-.2205824

.0438284

-5.03

0.000

-.3102216

-.1309432

CPI

           

--.

.0249911

.0127536

1.96

0.060

-.001093

.0510751

L1.

.09992002

.0175895

5.64

0.000

.0632257

.1351747

liq

           

L1.

.4566469

.7093674

0.64

0.525

-.9941724

1.907466

liq1rate

.0032315

.0511597

0.06

0.950

-.1014019

.1078649

liq1rate1

-.0106388

.0342579

-0.31

0.758

-.0807039

.0594264

d1

.0759669

.1100237

0.69

0.495

-.1490567

.3009905

d2

.2819059

.2136878

1.32

0.197

-.1551349

.7189466

d3

0

(omitted)

       

_cons

-.7343867

1.048517

-0.70

0.489

-2.878845

1.410072

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.liq liq1rate liq1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.liq liq1rate liq1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.46 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.17 Pr > z = 0.244

Sargan test of overid. restrictions: chi2(26) = 104.44 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(26) = 24.50 Prob > chi2 = 0.548 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels

Hansen test excluding group: chi2(9) = 14.28 Prob > chi2 = 0.113 Difference (null H = exogenous): chi2(17) = 10.22 Prob > chi2 = 0.894

iv(rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3)

Hansen test excluding group: chi2(18) = 19.69 Prob > chi2 = 0.350 Difference (null H = exogenous): chi2(8) = 4.80 Prob > chi2 = 0.779

B.10. Model estimation results (4.2) using capitalization characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 40

Obs per group: min

=

7

F(13, 29) = 462.51

avg

=

8.83

Prob > F = 0.000 max = 9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.8669635

.0498641

17.39

0.000

.76498

.968947

rate

           

--.

-.0208134

.0217849

-0.96

0.347

-.0653685

.0237418

L1.

-.1132549

.0236419

-4.79

0.000

-.1616079

-.0649019

gdp

           

--.

.607463

.076439

7.95

0.000

.4511277

.7637982

L1.

-.2448576

.0496153

-4.94

0.000

-.3463323

-.143383

CPI

           

--.

.033512

.0134341

2.49

0.019

.0060361

.0609878

L1.

.1036331

.017257

6.01

0.000

.0683385

.1389277

cap

           

L1.

-.4153922

1.489609

-0.28

0.782

-3.461984

2.6312

cap1rate

.0103189

.048974

0.21

0.835

-.0898442

.110482

cap1rate1

.0042839

.0677113

0.06

0.950

-.1342014

.1427691

d1

.0246333

.1479113

0.17

0.869

-.2778793

.3271458

d2

.2053339

.262499

0.78

0.440

-.3315369

.7422046

d3

0

(omitted)

       

_cons

-.0939332

1.027048

-0.09

0.928

-2.194481

2.006615

Instruments for first differences equation Standard

D.(rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3)

GMM-type (missing=0, separate instruments for each period unless collapsed) L2.(L.lnloan L.cap cap1rate cap1rate1)

Instruments for levels equation Standard

rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L.lnloan L.cap cap1rate cap1rate1)

Arellano-Bond test for AR(1) in first differences: z = -3.50 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.19 Pr > z = 0.234

Sargan test of overid. restrictions: chi2(26) = 138.41 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(26) = 24.01 Prob > chi2 = 0.575 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels

Hansen test excluding group: chi2(9) = 14.65 Prob > chi2 = 0.101 Difference (null H = exogenous): chi2(17) = 9.36 Prob > chi2 = 0.928

iv(rate L.rate gdp L.gdp cpi L.cpi d1 d2 d3)

Hansen test excluding group: chi2(18) = 20.59 Prob > chi2 = 0.301 Difference (null H = exogenous): chi2(8) = 3.43 Prob > chi2 = 0.905

B.11. Model estimation results (4.3) using scale characteristics

Dynamic panel-data estimation, one-step system GMM

Group variable: crossid

Number of obs

=

265

Time variable : timeid

Number of groups

=

30

Number of instruments = 43

Obs per group: min

=

7

F(12, 29) = 1029.60

avg

=

8.83

Prob > F = 0.000

max

=

9

lnloan

Coef.

Robust Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnloan

           

L1.

.6909622

.1326364

5.21

0.000

.4196902

.9622341

rate

           

--.

-1.031847

.3230847

-3.19

0.003

-1.692629

-.3710646

L1.

.6027843

.1841679

3.27

0.003

.2261186

.9794501

gdp

           

--.

.2300899

.155776

1.48

0.150

-.0885078

.5486875

L1.

-.7085794

.1434497

-4.94

0.000

-1.001967

-.4151919

CPI

           

--.

.1603575

.0375792

4.27

0.000

.0834993

.2372156

L1.

-.0826891

.0579773

-1.43

0.164

-.201266

.0358879

size

           

L1.

.1830053

.1265173

1.45

0.159

-.0757517

.4417623

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