Figure 1.
Figure 2.
Values of RMSE and R2 for random forest models per group of countries
| Measure | Group 1 | Group 2 | Group 3 | Group 4 |
|---|---|---|---|---|
| RMSE | 2.33 | 2.59 | 2.90 | 1.70 |
| R2 [%] | 57.28 | 37.50 | 33.51 | 52.44 |
ROE descriptive statistics per country
| Group 1 | Group 2 | ||||||
|---|---|---|---|---|---|---|---|
| Country | Mean | SD | Range | Country | Mean | SD | Range |
| Bulgaria | 9.72 | 6.09 | 21.70 | Latvia | 2.78 | 16.59 | 70.96 |
| Croatia | 6.36 | 3.93 | 16.06 | Lithuania | 6.67 | 17.52 | 76.91 |
| Cyprus | 0.89 | 17.12 | 75.72 | Malta | 7.89 | 5.45 | 23.66 |
| Greece | −11.06 | 29.19 | 124.16 | Poland | 9.35 | 4.52 | 19.37 |
| Hungary | 8.37 | 8.39 | 27.32 | Slovakia | 8.11 | 4.39 | 18.78 |
| Italy | 0.69 | 7.15 | 24.61 | Slovenia | −4.62 | 32.98 | 131.88 |
| Portugal | −2.43 | 10.18 | 37.25 | Spain | 4.33 | 6.53 | 26.53 |
| Romania | 8.31 | 9.09 | 32.28 | ||||
| Group 3 | Group 4 | ||||||
| Country | Mean | SD | Range | Country | Mean | SD | Range |
| Czech Republic | 14.39 | 4.13 | 16.43 | Austria | 5.89 | 4.66 | 18.36 |
| Estonia | 11.49 | 12.68 | 53.39 | Belgium | 3.63 | 14.90 | 58.66 |
| Ireland | −9.68 | 34.18 | 126.80 | Denmark | 5.32 | 4.92 | 18.61 |
| Finland | 8.29 | 1.70 | 6.05 | ||||
| France | 5.69 | 5.57 | 22.99 | ||||
| Germany | 0.33 | 7.34 | 30.19 | ||||
| Luxembourg | 6.81 | 3.99 | 18.60 | ||||
| Netherlands | 5.22 | 12.41 | 59.49 | ||||
| Sweden | 13.30 | 3.70 | 15.96 | ||||
Taxonomy of variables
| Symbol | Description | Source |
|---|---|---|
| Bank-specific variables | ||
| Assets | Total assets of the banking sector | ECB |
| Dyn_Assets | Asset dynamics in the banking sector | ECB |
| Liquid | Liquid assets to deposits and short-term funding (%) | World Bank |
| CIR | Bank cost-to-income ratio (%) | World Bank |
| Bank_Conc | Assets of the three largest commercial banks as a share of total commercial banking assets | World Bank |
| Foreign | Share (total assets) of foreign credit institutions | ECB |
| NPL | Bank NPL to gross loans (%) | World Bank |
| Z score | Bank Z-score | World Bank |
| Macroeconomic variables | ||
| GDP_Growth | GDP growth (annual %) | World Bank |
| Gov_Debt | Government debt (consolidated) (as % of GDP) | ECB, Eurostat |
| PPI | Producer Prices (2010 = 100) | Eurostat |
| Labor | Labor cost for LCI (compensation of employees plus taxes minus subsidies) in euro | Eurostat |
| Savings | Gross savings (% of GDP) | ECB, Eurostat |
| Business environment variables | ||
| GLOB | KOF Globalization Index | KOF Swiss Economic Institute |
| Freedom | An index that measures economic freedom based on trade freedom, business freedom, investment freedom, and property rights | Heritage Foundation |
Random forest model errors per group of countries
| Group 1 | Group 2 | ||||||
|---|---|---|---|---|---|---|---|
| Country | Mean | SD | Range | Country | Mean | SD | Range |
| Bulgaria | 0.19 | 1.50 | 6.22 | Latvia | −1.02 | 3.81 | 16.74 |
| Croatia | −0.02 | 0.79 | 3.15 | Lithuania | 0.57 | 2.85 | 13.22 |
| Cyprus | −0.19 | 2.90 | 10.98 | Malta | −0.12 | 1.37 | 5.75 |
| Greece | 0.36 | 2.16 | 7.19 | Poland | 0.29 | 1.25 | 5.23 |
| Hungary | 0.42 | 2.96 | 10.90 | Slovakia | 0.19 | 1.97 | 7.41 |
| Italy | 0.16 | 2.15 | 7.14 | Slovenia | 0.27 | 3.79 | 15.02 |
| Portugal | −0.76 | 2.79 | 10.35 | Spain | −0.01 | 2.38 | 9.20 |
| Romania | 0.23 | 2.93 | 11.10 | ||||
| Group 3 | Group 4 | ||||||
| Country | Mean | SD | Range | Country | Mean | SD | Range |
| Czech | |||||||
| Republic | 0.37 | 1.03 | 3.98 | Austria | −0.03 | 1.98 | 7.95 |
| Estonia | −0.65 | 3.47 | 13.44 | Belgium | −0.55 | 2.31 | 9.54 |
| Ireland | −1.81 | 4.19 | 11.73 | Denmark | −0.55 | 1.41 | 5.38 |
| Finland | 0.03 | 0.65 | 2.15 | ||||
| France | −0.03 | 1.94 | 8.23 | ||||
| Germany | −0.54 | 2.44 | 9.20 | ||||
| Luxembourg | −0.12 | 0.92 | 3.38 | ||||
| Netherlands | 0.27 | 1.13 | 4.06 | ||||
| Sweden | 0.63 | 1.64 | 6.84 | ||||