The role of credit risk.
This table shows estimates from panel regressions of households’ own bank bond exposure on bank credit risk, controlling for investor, investment, bank, and branch characteristics. Credit risk is the estimated 1-year default probability of the bank as measured by internal credit ratings; for details, see Section 2.2. Standard errors are clustered at the investor level and are reported in parentheses. ***, **, and * denote that estimates are statistically significant at the 1, 5, and 10 percent levels.
| Bank bond share (Total portfolio) . | |||
|---|---|---|---|
| (1) . | (2) . | (3) . | |
| Credit risk (1-year PD, %) | 0.012 | 0.011 | 0.005 |
| (0.003) | (0.003) | (0.003) | |
| Observations | 42,859 | 42,859 | 42,859 |
| Adjusted R2 | 0.161 | 0.222 | 0.885 |
| Bank and branch characteristics | Yes | Yes | Yes |
| Investor characteristics | Yes | Yes | Yes |
| Bond characteristics | Yes | Yes | Yes |
| Bank FE | Yes | No | No |
| Branch FE | No | Yes | Yes |
| Year × Province FE | Yes | Yes | Yes |
| Investor FE | No | No | Yes |
| Bank bond share (Total portfolio) . | |||
|---|---|---|---|
| (1) . | (2) . | (3) . | |
| Credit risk (1-year PD, %) | 0.012 | 0.011 | 0.005 |
| (0.003) | (0.003) | (0.003) | |
| Observations | 42,859 | 42,859 | 42,859 |
| Adjusted R2 | 0.161 | 0.222 | 0.885 |
| Bank and branch characteristics | Yes | Yes | Yes |
| Investor characteristics | Yes | Yes | Yes |
| Bond characteristics | Yes | Yes | Yes |
| Bank FE | Yes | No | No |
| Branch FE | No | Yes | Yes |
| Year × Province FE | Yes | Yes | Yes |
| Investor FE | No | No | Yes |
The role of credit risk.
This table shows estimates from panel regressions of households’ own bank bond exposure on bank credit risk, controlling for investor, investment, bank, and branch characteristics. Credit risk is the estimated 1-year default probability of the bank as measured by internal credit ratings; for details, see Section 2.2. Standard errors are clustered at the investor level and are reported in parentheses. ***, **, and * denote that estimates are statistically significant at the 1, 5, and 10 percent levels.
| Bank bond share (Total portfolio) . | |||
|---|---|---|---|
| (1) . | (2) . | (3) . | |
| Credit risk (1-year PD, %) | 0.012 | 0.011 | 0.005 |
| (0.003) | (0.003) | (0.003) | |
| Observations | 42,859 | 42,859 | 42,859 |
| Adjusted R2 | 0.161 | 0.222 | 0.885 |
| Bank and branch characteristics | Yes | Yes | Yes |
| Investor characteristics | Yes | Yes | Yes |
| Bond characteristics | Yes | Yes | Yes |
| Bank FE | Yes | No | No |
| Branch FE | No | Yes | Yes |
| Year × Province FE | Yes | Yes | Yes |
| Investor FE | No | No | Yes |
| Bank bond share (Total portfolio) . | |||
|---|---|---|---|
| (1) . | (2) . | (3) . | |
| Credit risk (1-year PD, %) | 0.012 | 0.011 | 0.005 |
| (0.003) | (0.003) | (0.003) | |
| Observations | 42,859 | 42,859 | 42,859 |
| Adjusted R2 | 0.161 | 0.222 | 0.885 |
| Bank and branch characteristics | Yes | Yes | Yes |
| Investor characteristics | Yes | Yes | Yes |
| Bond characteristics | Yes | Yes | Yes |
| Bank FE | Yes | No | No |
| Branch FE | No | Yes | Yes |
| Year × Province FE | Yes | Yes | Yes |
| Investor FE | No | No | Yes |
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