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We include three individual bank characteristics: the equity to total assets ratio (EQUITY), which controls for banks' capitalization, the liquidity coverage ratio (LCR), which controls for banks' liquidity and the natural logarithm of the banks' total assets, which controls for banks' size (SIZE).
Capitalization (proxied by EQUITY) and liquidity (proxied by LCR) are treated as endogenous variables and, consequently, are lagged.
LCR is the liquidity coverage ratio, computed as total liquid assets on total liquid liabilities.
In the same way, the more liquid banks are also perceived as less risky by the market (but the variable LCR is not a significant determinant of the Z-score).
LCR is the liquidity coverage ratio, computed as total liquid assets
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