Table 3 Two-step system GMM and PCSE...

Table 3

Two-step system GMM and PCSE estimation methodologies for IBs 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	***0.51989		***0.7342101		***1.075278	***0.2225597		***0.2339916		***0.2376993
L.LEVERAGE		0.0672		−0.0191			−0.081274		0.0262456
Bank-specific variables
ASQLNPL	0.09904	1.3986	0.0854	−1.6302	*−0.0738799	*0.3153902	−0.0870806	*0.3349298	−0.0356372	*0.3527166
CAPADEQ	0.07635	***3.542788	0.0344	***4.625325	−0.0061	0.0268847	***4.949523	0.0456607	***4.827978	*0.0791779
COSTINCOME	**−0.0403	−0.2311	0.0207	0.2954	0.0076	***−0.0344856	−0.1279511	***−0.0311182	−0.1403333	***−0.0308381
LIQUID	−0.00887	*0.6171147	0.0054	***0.894306	0.0095	−0.0023475	***0.5296695	−0.0039589	***0.5160706	−0.0036628
LTA	−0.9259	−4.3004	*0.3475754	5.8525	0.2501	**−0.4608617	−4.797317	−0.4605096	−4.864571	−0.3002959
TAX	**0.1755	0.7371	0.0110	0.0031	0.0035	0.0001192	0.0003569	−0.0013159	−0.0120241	−0.0007752
DIV	−0.000110	−0.0098	0.0000	−0.0225	0.0000	*0.0002797	0.0004633	0.0000138	−0.0002928	0.0000199
Macroeconomic variables
(E)Energyintensity	**−0.879073	4.5224				−0.2077107	−1.842394
(S)Unempl	**−1.59073	**11.02624				0.2790813	3.001745
(G)GovEff	−0.444989	10.5672				***−1.179977	**−9.55362
Fintech					0.5186					−0.0553715
GDPGrowth					*0.0219126					−0.008327
Dummy variables
Time 2020	**3.207134	−4.7997	0.0263	**−14.01079	0.0834	−0.0531636	2.575127	0.2617697	2.626636	*−0.0559058
Intercept	**10.84359	−55.1738	*−7.352827	−163.3265	−6.8462	*7.89115	23.82261	*9.06303	34.75694	*7.015316
Instrumental Variables	10.0000	8.0000	10.0000	10.0000	8.0000
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	2.1200	2.0200	1.4400	1.7800	1.6600	2.1200	2.0200	1.4400	1.7800	1.6600
AR(1)	0.405	0.8030	0.1760	0.5700	0.1360
AR(2)	0.250	0.3670	0.2330	0.5310	0.4070
Hansen test	0.712	0.2820	0.2780	0.1260	0.1650
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	***0.51989		***0.7342101		***1.075278	***0.2225597		***0.2339916		***0.2376993
L.LEVERAGE		0.0672		−0.0191			−0.081274		0.0262456
Bank-specific variables
ASQLNPL	0.09904	1.3986	0.0854	−1.6302	*−0.0738799	*0.3153902	−0.0870806	*0.3349298	−0.0356372	*0.3527166
CAPADEQ	0.07635	***3.542788	0.0344	***4.625325	−0.0061	0.0268847	***4.949523	0.0456607	***4.827978	*0.0791779
COSTINCOME	**−0.0403	−0.2311	0.0207	0.2954	0.0076	***−0.0344856	−0.1279511	***−0.0311182	−0.1403333	***−0.0308381
LIQUID	−0.00887	*0.6171147	0.0054	***0.894306	0.0095	−0.0023475	***0.5296695	−0.0039589	***0.5160706	−0.0036628
LTA	−0.9259	−4.3004	*0.3475754	5.8525	0.2501	**−0.4608617	−4.797317	−0.4605096	−4.864571	−0.3002959
TAX	**0.1755	0.7371	0.0110	0.0031	0.0035	0.0001192	0.0003569	−0.0013159	−0.0120241	−0.0007752
DIV	−0.000110	−0.0098	0.0000	−0.0225	0.0000	*0.0002797	0.0004633	0.0000138	−0.0002928	0.0000199
Macroeconomic variables
(E)Energyintensity	**−0.879073	4.5224				−0.2077107	−1.842394
(S)Unempl	**−1.59073	**11.02624				0.2790813	3.001745
(G)GovEff	−0.444989	10.5672				***−1.179977	**−9.55362
Fintech					0.5186					−0.0553715
GDPGrowth					*0.0219126					−0.008327
Dummy variables
Time 2020	**3.207134	−4.7997	0.0263	**−14.01079	0.0834	−0.0531636	2.575127	0.2617697	2.626636	*−0.0559058
Intercept	**10.84359	−55.1738	*−7.352827	−163.3265	−6.8462	*7.89115	23.82261	*9.06303	34.75694	*7.015316
Instrumental Variables	10.0000	8.0000	10.0000	10.0000	8.0000
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	2.1200	2.0200	1.4400	1.7800	1.6600	2.1200	2.0200	1.4400	1.7800	1.6600
AR(1)	0.405	0.8030	0.1760	0.5700	0.1360
AR(2)	0.250	0.3670	0.2330	0.5310	0.4070
Hansen test	0.712	0.2820	0.2780	0.1260	0.1650
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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