The impact of macroprudential policy and political institutions on bank credit risk in Ethiopia: A dynamic ordinary least squares analysis

Figures & data

Table 1. Descriptive statistics

Variable	Obs	Mean	Std. Dev.	Min	Max	VIF
						VIF 1/VIF
NPLs	108	.043	.069	−.039	.602	2.08	.481
LTA	108	.026	.053	0.015	.424	1.309	.764
ROA	108	.039	.088	−.032	.934	1.507	.664
OE	108	.456	.131	.005	.832	2.078	.481
BS	108	21.665	4.099	5.939	24.735	1.386	.721
INDIV	108	.415	.13	.057	.933	1.688	.592
GDP	108	.104	.069	.077	.8	1.289	.776
INF	108	.13	.085	−.091	.341	1.157	.864
EXRATE	108	.193	.036	.129	.261	1.064	.939
POLCON	108	.439	.301	0	.689	1.042	.96
MPP	108	.778	.631	0	2
Mean VIF 1.46 Jarque-Bera normality test .0222 Chi(2) .989

Source: Prepared by the author

Table 2. Cross section dependence and second generation unit root

Cross section dependence.		Second generation unit root
		CADF		CIPS
		Level First Difference		Level First Difference
NPLs	.18	−2.594**		−2.76**
LTA	3.2***	−2.959***		−2.959**
ROA	.663	−2.870**		−2.726 **
OE	8.486***	−3.120***		−3.120 **
BS	13.712***	−1.79	−2.6**	−1.711	−2.79*
INDIV	4.035***	−2.263*		−2.35*
GDP	18.36***	−3.044***		−3.044**
INF	23.92***	−2.466***		−2.466***
EXRATE	24.372***	2.610	−2.66**	2.610	−2.860*
POLCON	24.372***	2.610	−4.4021***	2.610	−2.630 *
MPP	24.372***	2.610	−2.450**	2.610	−2.585**

Source: Prepared by the author.

Note: Standard errors in parentheses *** p < 0.01, ** p < 0.05, * p < 0.1

Table 3. Cointegration Test

Pedroni test for cointegration			Kao test for cointegration
	Statistic	p-value		Statistic	p-value
Modified variance ratio	−4.8845	0.0000	Modified Dickey-Fuller t	−4.4696	0.000
Modified Phillips-Perron t	3.5226	0.0002	Dickey-Fuller t	−9.0005	0.000
Phillips-Perron t	−4.7760	0.000	Augmented Dickey-Fuller t	−4.1909	0.000
Augmented Dickey-Fuller t	−3.6040	0.002	Unadjusted modified Dickey-Fuller t	−4.1176	0.00

Source: Prepared by the author.

Table 4. Regression results for credit risk determinants with DOLS and GMM estimations

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
VARIABLES	DOLS	DOLS	DOLS	DOLS	DOLS	DOLS	GMM	GMM
L.NPLs							1.056**	1.624**
							(0.719)	(0.851)
POLCON		5.084***		0.310***				0.103**
		(0.0278)		(0.0224)				(0.0512)
MPP			−8.707***	−0.173***		−.3605**	−0.267**	−0.0832**
			(0.0115)	(0.00927)		(0.0179)	(0.128)	(0.0423)
LTA	0.584***	0.584***	0.584***	1.295***	0.584***	0.584***	0.547*	1.152***
	(0.0932)	(0.0930)	(0.0928)	(0.0742)	(0.0929)	(0.0930)	(0.324)	(0.439)
ROA	−1.824**	−1.824**	−1.824**	0.337	−1.824**	−1.824**	−40.38**	−21.05**
	(0.779)	(0.783)	(0.776)	(0.625)	(0.777)	(0.779)	(18.62)	(9.525)
OE	0.102**	0.102*	0.102**	0.0441	0.102**	0.102**	0.328*	0.0264
	(0.0515)	(0.0523)	(0.0515)	(0.0418)	(0.0513)	(0.0517)	(0.188)	(0.0712)
BS	−0.0172***	−0.0172***	−0.0172***	0.00639	−0.0172***	−0.0172***	−0.721**	−0.260*
	(0.00497)	(0.00496)	(0.00496)	(0.00397)	(0.00496)	(0.00496)	(0.362)	(0.134)
INDIV	0.388***	0.388***	0.388***	0.114***	0.388***	0.388***	0.530**	−0.220
	(0.0485)	(0.0485)	(0.0490)	(0.0392)	(0.0495)	(0.0495)	(0.240)	(0.163)
GDP	−0.112	−0.112	−0.112	0.0165	−0.112	−0.112	0.0392	0.547
	(0.0980)	(0.0984)	(0.0983)	(0.0790)	(0.1000)	(0.100)	(0.0271)	(0.484)
INF	−24.28***	−24.28***	−24.28***	2.546***	−24.28***	−24.28***	−2.057*	0.371
	(0.0469)	(0.0751)	(0.0720)	(0.0711)	(0.0502)	(0.0810)	(1.092)	(0.257)
EXRATE	0	0	0	0	0	0	4.446	3.403
	(0.171)	(0.207)	(0.174)	(0.166)	(0.170)	(0.180)	(3.426)	(1.748)
polrights					0.212***	0.212***	0.0916**
					(0.0136)	(0.0211)	(0.0443)
AR(1)							0.000	0.0125
AR(2)							0.496	0.317
Sargan (p-valued)							0.98	.910
Observation	60	60	60	60	60	60	96	96
R-squared	0.8810	0.8390	0.7319	0.908	0.8335	0.8285
No. of Id	12	12	12	12	12	12	12	12

Source: Prepared by the author.

Note: Standard errors in parentheses *** p < 0.01, ** p < 0.05, * p < 0.1.