**Panel B: Variable definitions and sources**

||Variables|Descriptions and Data Source|
|---|---|---|
|Share of Short-<br>Term Debt|STD/TD|Short-term debt (i.e. less than one year maturity) divided by total debt of a<br>firm. Average across firms in each country. Source: Worldscope and<br>WorldBank FSDI|
|Credit<br>Information<br>Quality|Private Credit Bureau<br>(D- / -Cov.)<br>Public Credit Registry<br>(D- / -Cov.)<br>Credit Information<br>Index<br>Accounting Standards|Variable with a prefix “D”: Dummy =1 if a private credit bureaus exists;<br>Variable with a postfix “Cov.”: Private credit bureaus coverage as a % of<br>the adult population. Source: Doing Business (2006), Miller (2003), Love<br>and Mylenko (2003) and Djankov, McLiesh and Shleifer (2006)<br>Variable with a prefix “D”: Dummy =1 if a public credit registry exists;<br>Variable with a postfix “Cov.”: Public credit registries coverage as a % of<br>the adult population. Source: Doing Business (2006), Miller (2003), Love<br>and Mylenko (2003) and Djankov, McLiesh and Shleifer (2006)<br>The index ranges from 0 to 6, with a score of 1 assigned for each of<br>the following 6 features of the credit information system:<br>. Both positive and negative credit information is distributed.<br>. Data on both firms and individuals are distributed.<br>. Data from retailers, trade creditors or utilities as well as financial<br>institutions are distributed.<br>. More than 2 years of historical data are distributed.<br>. Data on loans above 1% of income per capita are distributed.<br>. By law, borrowers have the right to access their data.<br>Accounting standard ratings in 1990 (0 worst-100 best). Source: LLSV<br>(1998)|
|Legal<br>Institutions|D Common Law<br>Shareholder Rights<br>Creditor Rights<br>Corruption|Dummy =1 if legal origin is common law, and =0 if the origin is civil law<br>or socialist. Source: LLSV (1998)<br>Shareholder right index (i.e. new anti-director index) (0 least - 6 most<br>rights). Source: LLSV (1998)<br>Creditor right index (0 least - 4 most rights). Source: LLSV (1998) and<br>Djankov, McLiesh and Shleifer (2006)<br>Corruption perception index (reversed: 0 least - 10 most corrupted).<br>Source:TransparencyInternational|
|Financial<br>Development|Deposit /GDP<br>Private Bond /GDP<br>Bank Costs /Assets<br>D Financial Center<br>D Banking Crisis|Demand, time and saving deposits in deposit money banks and other<br>financial institutions as a share of GDP. Source: Beck, Demirguc-Kunt<br>and Levine (2000)<br>Private bond market capitalization divided by GDP. Source: Beck,<br>Demirguc-Kunt and Levine (2000)<br>Banks' overhead costs divided by bank assets in each country. Source:<br>Beck, Demirguc-Kunt and Levine (2000)<br>Dummy =1 if the country is US, UK, Switzerland, or Japan, and =0<br>otherwise. This classification follows Eichengreeen, Hausmann and<br>Panizza (2003).<br>Dummy =1 if there is a systemic banking crises, and =0 otherwise.<br>Source: Caprio andKlingebiel(2003)|
|Macro<br>Environment|GDP Growth<br>Inflation<br>D Developed Country|Growth rate of GDP per capita. Source: World Development Indicators<br>Consumer Price Inflation. Source: World Development Indicators<br>Dummy =1 if the country is a developed country, and =0 if it is a<br>developing country. The classification is based on Gross National Income<br>per capita Source: World Bank|
|Firm<br>Characteristics|Log of Total Assets<br>Return on Assets<br>Fixed Assets /Total<br>Assets<br>Dispersion of Default<br>Risk|.<br>Natural logarithm of average total assets (in thousand US$) across firms<br>in each country. Source: Worldscope and World Bank FSDI<br>Return of assets (net income before interest divided by total assets of a<br>firm). Average across firms in each country. Source: Worldscope and<br>World Bank FSDI<br>Fixed assets (net property, plant and equipment) divided by total assets of<br>a firm. Average across firms in each country. Source: Worldscope and<br>World Bank FSDI<br>Standard deviation of default probabilities (based on Altman’s (1968) Z-<br>score) across firms in each country. Source: Worldscope and World Bank<br>FSDI|

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