Table 4 Two-step system GMM and PCSE...

Table 4

Two-step system GMM and PCSE estimation methodologies for conventional 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	***0.915046		***0.9424311		***0.8761498	***0.4754339		***0.6405408		***0.5981621
L.LEVERAGE		*0.3141438		***0.3680938			***0.0441469		***0.0438479
Bank-specific variables
ASQLNPL	**−0.0543	0.3872531	*0.0038955	−0.229766	−0.03118	***0.0581703	0.0364385	***0.0564117	0.0541562	**0.0293916
CAPADEQ	−0.003395	***1.443315	0.01005	***1.110742	**0.0314962	**0.0344742	***1.577213	**0.0678635	***1.718515	**0.0930905
COSTINCOME	**−0.0171	−0.1008008	−0.00508	0.0090628	0.0078359	***−0.0153322	**0.0269367	−0.0008417	0.0198552	0.0019474
LIQUID	0.0009895	0.0578146	**0.0063486	**0.0605264	*0.007332	***−0.0041907	0.0214975	*−0.0058884	**0.034109	−0.0064516
LTA	−0.115672	−0.6793743	*0.1034206	0.43824	**0.2363698	**0.1056531	0.0834534	−0.1532094	0.1442413	−0.0920213
TAX	*0.01102	0.1411983	0.00248	0.0432658	0.0023306	***0.0093888	0.0085968	0.009617	*0.0208194	0.0022062
DIV	0.0020	−0.0308772	−0.00323	*−0.0187168	**−0.0049218	−0.000145	−0.0008661	−0.0003398	−0.001698	0.0002089
Macroeconomic variables
(E)Energyintensity	**−0.0824	−0.0590214				***−0.0848092	*−0.12201
(S)Unempl	−0.03284	*−1.507489				***−0.1320148	***−0.2186528
(G)GovEff	***−0.3268373	**4.232675				***−0.4671792	***0.4853093
Fintech					0.1200034					*−0.1497917
GDPGrowth					−0.0042962					**−0.0118465
Dummy variables
Time 2020	0.1790	−0.1455962	*−0.1284407	0.2968135	**0.0348227	***−0.3159323	0.6832752	*−0.1636174	0.423501	−0.0030766
Intercept	1.4792	10.7902	−1.68753	*−12.44244	−4.257467	0.5714831	**−6.466373	2.861596	***−10.74557	2.591893
Instrumental Variables	9.0000	8.0000	9.0000	10.0000	12.0000
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	1.4700	1.6000	1.2300	1.3300	1.6600	1.4700	1.6000	1.2300	1.3300	1.6600
AR(1)	0.0200	0.3210	0.0050	0.2010	0.0060
AR(2)	0.2370	0.2230	0.3190	0.8650	0.1150
Hansen test	0.1150	0.1470	0.1010	0.1120	0.2410
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	***0.915046		***0.9424311		***0.8761498	***0.4754339		***0.6405408		***0.5981621
L.LEVERAGE		*0.3141438		***0.3680938			***0.0441469		***0.0438479
Bank-specific variables
ASQLNPL	**−0.0543	0.3872531	*0.0038955	−0.229766	−0.03118	***0.0581703	0.0364385	***0.0564117	0.0541562	**0.0293916
CAPADEQ	−0.003395	***1.443315	0.01005	***1.110742	**0.0314962	**0.0344742	***1.577213	**0.0678635	***1.718515	**0.0930905
COSTINCOME	**−0.0171	−0.1008008	−0.00508	0.0090628	0.0078359	***−0.0153322	**0.0269367	−0.0008417	0.0198552	0.0019474
LIQUID	0.0009895	0.0578146	**0.0063486	**0.0605264	*0.007332	***−0.0041907	0.0214975	*−0.0058884	**0.034109	−0.0064516
LTA	−0.115672	−0.6793743	*0.1034206	0.43824	**0.2363698	**0.1056531	0.0834534	−0.1532094	0.1442413	−0.0920213
TAX	*0.01102	0.1411983	0.00248	0.0432658	0.0023306	***0.0093888	0.0085968	0.009617	*0.0208194	0.0022062
DIV	0.0020	−0.0308772	−0.00323	*−0.0187168	**−0.0049218	−0.000145	−0.0008661	−0.0003398	−0.001698	0.0002089
Macroeconomic variables
(E)Energyintensity	**−0.0824	−0.0590214				***−0.0848092	*−0.12201
(S)Unempl	−0.03284	*−1.507489				***−0.1320148	***−0.2186528
(G)GovEff	***−0.3268373	**4.232675				***−0.4671792	***0.4853093
Fintech					0.1200034					*−0.1497917
GDPGrowth					−0.0042962					**−0.0118465
Dummy variables
Time 2020	0.1790	−0.1455962	*−0.1284407	0.2968135	**0.0348227	***−0.3159323	0.6832752	*−0.1636174	0.423501	−0.0030766
Intercept	1.4792	10.7902	−1.68753	*−12.44244	−4.257467	0.5714831	**−6.466373	2.861596	***−10.74557	2.591893
Instrumental Variables	9.0000	8.0000	9.0000	10.0000	12.0000
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	1.4700	1.6000	1.2300	1.3300	1.6600	1.4700	1.6000	1.2300	1.3300	1.6600
AR(1)	0.0200	0.3210	0.0050	0.2010	0.0060
AR(2)	0.2370	0.2230	0.3190	0.8650	0.1150
Hansen test	0.1150	0.1470	0.1010	0.1120	0.2410
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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