[Retracted] Basel III Liquidity Risk Measures and Bank Failure

Table 10

Models A to D estimation results for Class I and II banks.

(a) Model statistics

	Model A	Model B	Model C	Model D
		LCR and NSFR	LIBOR-OISS	Liquidity risk
		excluded	excluded	excluded
𝑁	(2 978, 4 413)	(2 978, 4 413)	(2 978, 4 413)	(2 978, 4 413)
Psuedo 𝑅^2	(0.642, 0.645)	(0.639, 0.635)	(0.618, 0.620)	(0.610, 0.609)
AIC	(172.967, 173.5180)	(175.113, 176.073)	(183.980, 184.036)	(188.973, 189.256)
BIC	(184.877, 185.496)	(186.347, 186.096)	(197.674, 196.0993)	(198.086, 199.773)
Log likelihood	(−85.379, −85.557)	(−87.657, −86.956)	(−91.816, −91.433)	(−93.886, −94.004)
AUC statistic	(0.9823, 0.9821)	(0.9832, 0.9829)	(0.9807, 0.9809)	(0.9842, 0.9839)
HL statistic	(19.841, 19.983)	(6.464, 6.089)	(21.747, 20.947)	(24.963, 25.072)
HL 𝑃 value	(0.011, 0.011)	(0.063, 0.062)	(0.007, 0.007)	(0.002, 0.002)

(b) Parameter estimates

	Model A	Model B	Model C	Model D
		LCR and NSFR	LIBOR-OISS	Liquidity risk
		excluded	excluded	excluded
𝛼^0	(−0.0138***, −0.0242***)	(0.0023***, 0.0019***)	(−0.0230***, −0.0290***)	(0.0002, 0.0010)
	([0.003], [0.003])	([0.0011], [0.0013])	([0.0024], [0.0026])	([0.0013], [0.0011])
𝛼^1	(−0.0918***, −0.0369***)	(−0.0888***, −0.0354***)	(−0.0900***, −0.0356***)	(−0.0834***, −0.0322***)
	([0.010], [0.011])	([0.009], [0.010])	([0.008], [0.009])	([0.0007], [0.0007])
𝛼^2	(0.0140, 0.0157)	(0.0143***, 0.0165***)	(0.0131, 0.0127)	(0.0134***, 0.0144***)
	([0.0112], [0.0111])	([0.0087], [0.0086])	([0.0117], [0.0116])	([0.0097], [0.0096])
𝛼^3∗	(−0.0173, −0.0055)	(−0.0218***, −0.0109***)	(−0.0121, −0.0026)	(−0.0205, −0.0116)
	([0.0218], [0.0221])	([0.0203], [0.0205])	([0.0216], [0.0219])	([0.0197], [0.0200])
𝛼^4	(−0.0067, −0.0073)	(−0.0043, 0.0029)	(0.0003, −0.0011)	(0.0072, 0.0124)
	([0.0039], [0.0034])	([0.0037], [0.0041])	([0.0053], [0.0056])	([0.0055], [0.0066])
𝛼^5	(0.0993***, 0.5733***)	(0.0884, 0.8119)	(0.1199***, 0.6088***)	(0.1069***, 0.9680***)
	([0.0297], [0.0297])	([0.0285], [0.0286])	([0.0274], [0.0273])	([0.0246], [0.0247])
𝛼^6	(−0.1326***, −0.7184***)	(−0.1095***, −0.9477***)	(−0.1539***, −0.7255***)	(−0.1054***, −1.0600***)
	([0.0490], [0.0490])	([0.0648], [0.0649])	([0.0250], [0.0251])	([0.0526], [0.0529])
𝛼^7	(0.0116***, 0.0185***)	(0.0139***, 0.0233***)	(0.0103***, 0.0144***)	(0.0164***, 0.0210***)
	([0.0010], [0.0010])	([0.0009], [0.0010])	([0.0009], [0.0009])	([0.0008], [0.0009])
𝛼^8	(0.0013***, 0.0006***)	(0.0010***, 0.0002***)	(0.0014, 0.0000)	(0.0009, −0.0007)
	([0.1362], [0.1698])	([0.1354], [0.1688])	([0.1535], [0.1914])	([0.1566], [0.1952])
𝛼^9	(0.0001, 0.0005)	(0.0002, 0.0006)	(−0.0002, 0.0001)	(−0.0002, 0.0001)
	([0.0006], [0.0004])	([0.0008], [0.0008])	([0.0005], [0.0007])	([0.0007], [0.0006])
𝛼^10∗	(0.0963***, 0.1036***)	(−0.1226***, −0.1243***)	(−, −)	(−, −)
	([0.0091], [0.0092])	([0.0095], [0.0094])	([−], [−])	([−], [−])
𝛼^11	(0.0024, 0.0015)	(−, −)	(0.0062, 0.0046)	(−, −)
	([0.0286], [0.0293])	([−], [−])	([0.0250], [0.0266])	([−], [−])
𝛼^12∗	(0.0155***, 0.0260***)	(−, −)	(0.0211***, 0.0282***)	(−, −)
	([0.0007], [0.0007])	([−], [−])	([0.0008], [0.0008])	([−], [−])

∗ and *** indicate statistical significance at the 10% and 1% level, respectively.