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Dep. Var.: $$C^\text{Banking}_{i,t}$$ | Decade0 | Decade1 | Decade2 | Decade3 | Decade4 | Decade5 | Decade6 | Decade7 | Decade8 | Decade9 | NoFEs | 5YearFEs |
| 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 |
$$\text{Pse.} R^2$$ | 0.106 | 0.0968 | 0.104 | 0.0965 | 0.0964 | 0.119 | 0.135 | 0.135 | 0.124 | 0.106 | 0.0292 | 0.143 |
| Honore (2002) model | Honore (2002) model | Random effect Tobit | Honore (2002) model | Honore (2002) model | Random effect Tobit |
$$Y_{i,t}$$ | $$\delta_{CR}^{\text{high}_{i,t}}$$ | $$\delta_{CR}^{\text{high}_{i,t}}$$ | $$\delta_{CR}^{\text{high}_{i,t}}$$ | $$\delta_{LR}^{\text{high}_{i,t}}$$ | $$\delta_{LR}^{\text{high}_{i,t}}$$ | $$\delta_{LR}^{\text{high}_{i,t}}$$ |
| 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 |
p-val. | 0 | | 0 | 0.0023 | 0.0012 | 0.0007 |
| BIS data | Schularick and Taylor (2012) data | Schularick and Taylor (2012) data | Lee et al. (2017) data |
$$Y_{i,t}$$ | $$CR\_GAP_{i,t}$$ | $$CR\_GAP_{i,t}$$ | $$\delta_{CR}^{\text{high}_{i,t}}$$ | $$LR\_GAP_{i,t}$$ |
| I | III | IV | I |
$$\delta^\text{high}_{i,t-1 \text{ to } t-5}$$ | -1.66 | -37.65* | -0.38* | 1.28*** |
| (2.210) | (21.966) | (0.219) | (0.471) |
$$\delta^\text{low}_{i,t-1 \text{ to } t-5}$$ | -4.53*** | -39.53** | -0.40** | -1.51*** |
| (1.328) | (16.842) | (0.168) | (0.370) |
$$Y_{i,t-1 \text{ to } t-5}$$ | 0.44*** | 0.46** | 0.46*** | 0.27 |
| (0.083) | (0.181) | (0.146) | (0.229) |
$$\log GDP_{i,t-1 \text{ to } t-5}$$ | 0.33 | 85.54* | 0.86* | 1.85 |
| (3.173) | (44.421) | (0.444) | (1.164) |
$$\Delta PD/GDP_{i,t-1 \text{ to } t-5}$$ | -1.88*** | -4.64 | -0.05 | 0.16* |
| (0.540) | (3.356) | (0.033) | (0.090) |
$$POLCOMP_{i,t-1 \text{ to } t-5}$$ | 0.60 | 5.48* | 0.05* | 0.08 |
| (0.637) | (3.075) | (0.031) | (0.068) |
$$INFLATION_{i,t-1 \text{ to } t-5}$$ | -0.56 | 17.41*** | 0.17*** | -0.01 |
| (0.462) | (5.067) | (0.049) | (0.145) |
$$INTRATE_{i,t-1 \text{ to } t-5}$$ | -0.16 | 13.79** | 0.14** | 0.01 |
| (0.356) | (6.804) | (0.068) | (0.057) |
Num of Obs. | 875 | 877 | 877 | 118 |
$$\text{Adj.} R^2$$ | 0.274 | 0.207 | 0.207 | 0.0598 |
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Dep. Var.: $$C^\text{Banking}_{i,t}$$ | Historical mean | Band | High/low macro vars. | High/low dividends | 12M | ABS | GARCH | No FEs | OLS | No lagged dep. var. | Trend included | Int. rates included | Credit included | $$\lambda=100$$ | Merged data |
| 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 |
$$\text{Pse.} R^2 - \text{adj} R^2$$ | 0.102 | 0.103 | 0.108 | 0.101 | 0.102 | 0.105 | 0.123 | 0.029 | 0.041 | 0.067 | 0.107 | 0.123 | 0.114 | 0.103 | 0.111 |