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China Finance and Economic Review

Table 5 The effect of non-performing loans (NPLs) on bank liquidity creation

From: Non-performing loans (NPLs), liquidity creation, and moral hazard: Case of Chinese banks

 

Pool data analysis

Panel data analysis (static)

Panel data analysis (dynamic - lagged independent variables)

Broad

Narrow

Broad measure

Narrow measure

Broad measure

Narrow measure

LC_CF

LC_CNF

LC_CF

LC_CF

LC_CNF

LC_CNF

LC_CF

LC_CF

LC_CNF

LC_CNF

NPL_TL

−0.002

−0.002

0.0001

−0.0002

0.0002

0.0001

0.0003

0.001

0.001

0.001

(−1.05)

(−1.59)

(0.05)

(−0.19)

(0.13)

(0.06)

(0.40)

(0.78)

(1.28)

(1.30)

LN_TA

−0.017***

−0.016***

−0.020***

−0.105***

−0.019***

−0.117***

−0.021***

−0.120***

−0.024***

−0.102***

(−4.02)

(−4.62)

(−2.78)

(−2.76)

(−3.31)

(−2.97)

(−2.57)

(−3.56)

(−3.58)

(−3.13)

AVG_LNS

0.249***

0.295***

0.271***

0.087

0.282***

0.063

0.243***

0.051

0.318***

0.143

(4.95)

(6.9)

(4.52)

(0.80)

(5.38)

(0.56)

(3.33)

(0.35)

(4.78)

(1.03)

MKT_POW

0.09

0.401***

0.244

0.824

0.549**

1.022

0.25

0.782

0.596***

0.324

(0.66)

(3.47)

(0.89)

(1.10)

(2.42)

(1.13)

(0.93)

(1.05)

(2.66)

(0.48)

Z_SCR

−0.002***

−0.001**

−0.001

0.015**

−0.001

0.013**

−0.0003

0.023**

−0.0001

0.013

(−2.85)

(−2.48)

(−1.12)

(2.14)

(−0.95)

(2.12)

(−0.23)

(2.20)

(−0.06)

(1.26)

ROAE

0.005***

0.005***

0.003***

−0.0001

0.003***

0.0003

0.002

−0.002

0.002

−0.001

 

(5.21)

(5.85)

(3.73)

(−0.06)

(3.45)

(−0.29)

(1.57)

(−0.73)

(1.49)

(−0.42)

EAR_VOL

−0.021

−0.02

−0.009

0.003

−0.002

0.023

−0.015

0.007

−0.007

0.017

(−1.05)

(−0.96)

(−0.58)

(0.16)

(−0.09)

(1.05)

(−0.99)

(0.39)

(−0.31)

(0.73)

TE_TA

(0.26)

0.01

−0.597*

−1.148**

−0.244

−0.993**

−0.465

−1.032**

−0.317

−0.765

(−0.92)

(0.04)

(−1.95)

(−2.41)

(−0.96)

(−2.45)

(−1.55)

(−2.35)

(−1.16)

(−1.56)

IBR

−0.008

−0.013**

−0.048*

−0.004

0.005

−0.007

0.01

−0.003

0.004

−0.009

(−1.35)

(−2.49)

(−2.04)

(−0.50)

(0.14)

(−0.81)

(0.80)

(−0.37)

(0.27)

(−1.03)

LN_POP

−1.931*

−1.541

0.065*

 

−2.949

 

−9.233***

 

−6.978**

 

(−1.85)

(−1.60)

(2.53)

 

(−1.09)

 

(−3.32)

 

(−2.38)

 

GDP

0.004

0.004

0.001

−0.005

−0.005

−0.013

−0.026***

−0.008

−0.019*

−0.006

(0.74)

(0.70)

(0.24)

(−0.63)

(−0.66)

(−1.32)

(−2.76)

(−1.14)

(−1.83)

(−0.97)

CONS.

14.075*

11.177

 

1.864**

21.397

2.098***

66.944***

2.109***

50.630**

1.730***

(1.87)

(1.61)

 

(2.58)

(1.11)

(2.83)

(3.34)

−3.34

(2.39)

(2.82)

Framework

OLS

OLS

Random effect

Fixed effect

Random effect

Fixed effect

Random effect

Fixed effect

Random effect

Fixed effect

Bank dummy

  

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Time dummy

  

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Adjusted R 2

0.342

0.391

0.373

0.399

0.378

0.412

0.370

0.415

0.403

0.431

N

420

445

420

420

445

445

336

336

358

358

  1. Table 5 represents the results regarding the impact of non-performing loans on bank liquidity creation, obtained by pool data analysis (left most), static (middle), and dynamic (right most) panel data analysis. The dependent variables are either broad or narrow measure of liquidity creation standardized by total assets. All the independent variables in the dynamic panel model assume one period lagged value. Parentheses denote t values, and *, **, and *** represent statistical significance at 10, 5 and 1 % level, respectively
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