Table 2 Two-step system GMM and PCSE...

Table 2

Two-step system GMM and PCSE estimation methodologies for all banks dependent variables for the 2005–2022 period: FSS and leverage determinants

	Two step system GMM					Robust check: PCSE method
	Model 1	Model 2	Model 3	Model 4	Model 5	Model 6	Model 7	Model 8	Model 9	Model 10
	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)
Past realization effect
L.FSS	***0.7291434		***1.013356		***1.103322	***0.2647664	***0.0355721	*0.3074508	***0.0358648	***0.6140131
L.LEVERAGE		*0.3897596		**0.4372512
Bank-specific variables
ASQLNPL	**0.1514603	1.16042	***−0.1718042	0.6470378	−0.0221	0.1659841	0.6120235	0.1452629	**0.8315162	**0.0301727
CAPADEQ	*0.0459596	**2.293659	0.0088	**2.065479	0.0358	***0.0510414	***4.836399	***.0599931	***4.824814	***0.0805832
COSTINCOME	*0.0091163	0.0308987	−0.0260	0.0361802	0.0317	**−0.0096797	0.139481	−0.0053965	0.0965	0.0012543
LIQUID	−0.0010	***0.4668316	*−0.0135643	**0.4279082	**−0.0282391	−0.0029272	***0.4229041	−0.0069756	***0.4027856	−0.0061779
LTA	***0.5665938	2.28363	−0.5999	*3.471045	***−0.7454907	−0.1208947	0.5015868	*−0.4029861	0.8044	−0.0988265
TAX	**0.0290886	0.1771005	**0.0076753	*0.1625887	0.0241	0.0000961	0.0195668	−0.0010595	0.0217	0.0042723
DIV	−0.0001	−0.0063881	***0.0005288	−0.0018119	0.0000	0.0001921	−0.0017884	0.0000166	−0.0004	0.0000918
Macroeconomic variables
(E)Energyintensity	*−0.2643391	1.363968				***−0.1700222	−0.4740052
(S)Unempl	0.0860	0.8048165				−0.0474907	1.112005
(G)GovEff	*−0.7273886	*8.816819				***−0.6659091	−3.226025
Fintech					**0.0131401					−0.1043047
GDPGrowth					***0.0963068					**−0.0096104
Dummy variables
IBD	*0.4073704	8.097619	**−1.859525	8.319232		***−1.006266	***11.72856	***−1.576841	***14.53404
Time 2020	**−0.4415634	−5.072117	0.0496	*−2.185364	*0.6404526	**−0.3339384	−1.086802	−0.0397825	−0.8731	0.0004651
Intercept	***−12.01538	−95.39425	*12.55854	*−97.65838	*9.982168	3.74202	**−82.01628	**8.43116	**−82.21635	2.587844
Instrumental variables	14	14	6	15	6
Likelihood ratio P-chi2	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
Mean variance inflationary factor	1.8200	1.2800	1.1700	1.8200	1.1700	1.8200	1.2800	1.1700	1.8200	1.1700
AR(1)	0.0590	0.328	0.0540	0.322	0.003
AR(2)	0.2020	0.922	0.1370	0.406	0.3080
Hansen test	0.2720	0.19	0.1820	0.228	0.3000
Wald p-value χ²/F-statistics	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000

	Two step system GMM					Robust check: PCSE method
	Model 1	Model 2	Model 3	Model 4	Model 5	Model 6	Model 7	Model 8	Model 9	Model 10
	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)	Leverage(Coef.)	FSS(Coef.)
Past realization effect
L.FSS	***0.7291434		***1.013356		***1.103322	***0.2647664	***0.0355721	*0.3074508	***0.0358648	***0.6140131
L.LEVERAGE		*0.3897596		**0.4372512
Bank-specific variables
ASQLNPL	**0.1514603	1.16042	***−0.1718042	0.6470378	−0.0221	0.1659841	0.6120235	0.1452629	**0.8315162	**0.0301727
CAPADEQ	*0.0459596	**2.293659	0.0088	**2.065479	0.0358	***0.0510414	***4.836399	***.0599931	***4.824814	***0.0805832
COSTINCOME	*0.0091163	0.0308987	−0.0260	0.0361802	0.0317	**−0.0096797	0.139481	−0.0053965	0.0965	0.0012543
LIQUID	−0.0010	***0.4668316	*−0.0135643	**0.4279082	**−0.0282391	−0.0029272	***0.4229041	−0.0069756	***0.4027856	−0.0061779
LTA	***0.5665938	2.28363	−0.5999	*3.471045	***−0.7454907	−0.1208947	0.5015868	*−0.4029861	0.8044	−0.0988265
TAX	**0.0290886	0.1771005	**0.0076753	*0.1625887	0.0241	0.0000961	0.0195668	−0.0010595	0.0217	0.0042723
DIV	−0.0001	−0.0063881	***0.0005288	−0.0018119	0.0000	0.0001921	−0.0017884	0.0000166	−0.0004	0.0000918
Macroeconomic variables
(E)Energyintensity	*−0.2643391	1.363968				***−0.1700222	−0.4740052
(S)Unempl	0.0860	0.8048165				−0.0474907	1.112005
(G)GovEff	*−0.7273886	*8.816819				***−0.6659091	−3.226025
Fintech					**0.0131401					−0.1043047
GDPGrowth					***0.0963068					**−0.0096104
Dummy variables
IBD	*0.4073704	8.097619	**−1.859525	8.319232		***−1.006266	***11.72856	***−1.576841	***14.53404
Time 2020	**−0.4415634	−5.072117	0.0496	*−2.185364	*0.6404526	**−0.3339384	−1.086802	−0.0397825	−0.8731	0.0004651
Intercept	***−12.01538	−95.39425	*12.55854	*−97.65838	*9.982168	3.74202	**−82.01628	**8.43116	**−82.21635	2.587844
Instrumental variables	14	14	6	15	6
Likelihood ratio P-chi2	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
Mean variance inflationary factor	1.8200	1.2800	1.1700	1.8200	1.1700	1.8200	1.2800	1.1700	1.8200	1.1700
AR(1)	0.0590	0.328	0.0540	0.322	0.003
AR(2)	0.2020	0.922	0.1370	0.406	0.3080
Hansen test	0.2720	0.19	0.1820	0.228	0.3000
Wald p-value χ²/F-statistics	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000

Note(s): Please refer to Table 1 for details of the variables

Source(s): Author’s own work

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