Mediating Role of LC between ESG and BRT: LSDVC vs. System GMM
| Step 1 | Step 2 | Step 3 | Step 4 | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ESG → BRT | ESG → LC | LC → BRT | ESG → BRT, controlling LC | |||||||||||||
| Spec | AH | AB | BB | Sys GMM | AH | AB | BB | Sys GMM | AH | AB | BB | Sys GMM | AH | AB | BB | Sys GMM |
| BRT it-1 | 0.4446** (0.0125) | 0.4598** (0.0118) | 0.5861*** (0.009) | 0.4715 * (0.0913) | NA | NA | NA | NA | 0.3421** (0.012) | 0.2810*** (0.004) | 0.4392*** (0.001) | 0.3628 * (0.0524) | 0.3363* (0.076) | 0.3419* (0.064) | 0.4363* (0.059) | 0.5082 *** (0.0041) |
| ESG it-1 | −0.0198** (0.032) | −0.0211** (0.030) | −0.0207** (0.029) | −0.0217 ** (0.0315) | 0.0554*** (0.005) | 0.0587*** (0.004) | 0.0601*** (0.003) | 0.0598 *** (0.0034) | NA | NA | NA | NA | −0.0129* (0.081) | −0.0135* (0.079) | −0.0141* (0.076) | −0.0149 * (0.0821) |
| LC it-1 | NA | NA | NA | NA | 0.3244** (0.0423) | 0.2257* (0.0674) | 0.3653* (0.0923) | 0.4215* (0.0723) | −0.0983** (0.024) | −0.1061** (0.020) | −0.1119** (0.019) | −0.1126 ** (0.0389) | −0.1215** (0.021) | −0.1243** (0.020) | −0.1310** (0.018) | −0.1362 ** (0.0212) |
| SIZE | −0.4417* (0.062) | −0.4572* (0.059) | −0.4633* (0.058) | −0.4824 ** (0.0126) | 0.5211*** (0.008) | 0.5326*** (0.006) | 0.5398*** (0.006) | 0.5376 *** (0.0052) | −0.3075 (0.161) | −0.5138 (0.155) | −0.4181 (0.150) | −0.3227 (0.1514) | −0.3024* (0.060) | −0.4118* (0.058) | −0.4221* (0.057) | −0.4693 * (0.0597) |
| CAP | −0.1031 (0.132) | −0.1076 (0.129) | −0.1098 (0.127) | −0.0995 (0.1351) | 0.1378 (0.146) | 0.1412 (0.143) | 0.1427 (0.141) | 0.1385 (0.1426) | −0.1492** (0.019) | −0.1510** (0.018) | −0.1518** (0.018) | −0.1497 ** (0.0192) | −0.1095** (0.024) | −0.1112** (0.023) | −0.1118** (0.023) | −0.1096 ** (0.0247) |
| GDP | −0.0261 (0.887) | −0.0272 (0.881) | −0.0278 (0.876) | −0.0248 (0.8853) | 0.0863* (0.078) | 0.0881* (0.076) | 0.0888* (0.076) | 0.0879 * (0.0765) | −0.0292 (0.562) | −0.0295 (0.560) | −0.0297 (0.559) | −0.0281 (0.5629) | −0.0307 (0.386) | −0.0313 (0.381) | −0.0315 (0.379) | −0.0304 (0.3854) |
| INF | 0.0148 (0.493) | 0.0151 (0.490) | 0.0155 (0.488) | 0.0161 (0.4827) | −0.0551 (0.254) | −0.0558 (0.253) | −0.0561 (0.252) | −0.0551 (0.2520) | 0.0383 (0.507) | 0.0387 (0.506) | 0.0389 (0.505) | 0.0385 (0.5076) | 0.0101 (0.649) | 0.0105 (0.647) | 0.0106 (0.647) | 0.0103 (0.6499) |
| BC | −0.0168** (0.027) | −0.0171** (0.026) | −0.0173** (0.025) | −0.0181 ** (0.0259) | 0.0317 (0.123) | 0.0321 (0.122) | 0.0324 (0.121) | 0.0318 (0.1217) | −0.0245 (0.217) | −0.0247 (0.215) | −0.0248 (0.215) | −0.0247 (0.2184) | −0.0047 (0.771) | −0.0049 (0.769) | −0.0049 (0.768) | −0.0048 (0.7716) |
| BNK | 1.2673* (0.070) | 1.2761* (0.069) | 1.2815* (0.068) | 1.2743* (0.0684) | 2.8212** (0.018) | 2.8269** (0.018) | 2.8285** (0.018) | 2.8129 ** (0.0181) | 0.8072 (0.141) | 0.8084 (0.140) | 0.8091 (0.139) | 0.8024 (0.1420) | 0.5975* (0.051) | 0.5980* (0.050) | 0.5981* (0.050) | 0.5968* (0.0521) |
| DCOVID | 0.1075 (0.832) | 0.1081 (0.831) | 0.1086 (0.835) | 0.1046 (0.8422) | 0.4712 (0.434) | 0.4725 (0.432) | 0.4741 (0.431) | 0.4697 (0.4328) | −0.2064 (0.401) | −0.2070 (0.400) | −0.2074 (0.400) | −0.2055 (0.4026) | −0.4692 (0.306) | −0.4698 (0.305) | −0.4701 (0.305) | −0.4729 (0.3084) |
| AR(1) p-value | – | – | – | 0.0453 | – | – | – | 0.0128 | – | – | – | 0.0159 | – | – | – | 0.0138 |
| AR(2) p-value | – | – | – | 0.6021 | – | – | – | 0.2714 | – | – | – | 0.5372 | – | – | – | 0.5110 |
| Hansen (p-value) | – | – | – | 0.2941 | – | – | – | 0.8092 | – | – | – | 0.6936 | – | – | – | 0.6078 |
| Sargan (p-value) | – | – | – | 0.2479 | – | – | – | 0.7198 | – | – | – | 0.6182 | – | – | – | 0.4587 |
| Wald Test (p-value) | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| N (banks) | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 |
| Step 1 | Step 2 | Step 3 | Step 4 | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ESG → BRT | ESG → LC | LC → BRT | ESG → BRT, controlling LC | |||||||||||||
| Spec | AH | AB | BB | Sys GMM | AH | AB | BB | Sys GMM | AH | AB | BB | Sys GMM | AH | AB | BB | Sys GMM |
| BRT | 0.4446** (0.0125) | 0.4598** (0.0118) | 0.5861*** (0.009) | 0.4715 * (0.0913) | NA | NA | NA | NA | 0.3421** (0.012) | 0.2810*** (0.004) | 0.4392*** (0.001) | 0.3628 * (0.0524) | 0.3363* (0.076) | 0.3419* (0.064) | 0.4363* (0.059) | 0.5082 *** (0.0041) |
| ESG | −0.0198** (0.032) | −0.0211** (0.030) | −0.0207** (0.029) | −0.0217 ** (0.0315) | 0.0554*** (0.005) | 0.0587*** (0.004) | 0.0601*** (0.003) | 0.0598 *** (0.0034) | NA | NA | NA | NA | −0.0129* (0.081) | −0.0135* (0.079) | −0.0141* (0.076) | −0.0149 * (0.0821) |
| LC | NA | NA | NA | NA | 0.3244** (0.0423) | 0.2257* (0.0674) | 0.3653* (0.0923) | 0.4215* (0.0723) | −0.0983** (0.024) | −0.1061** (0.020) | −0.1119** (0.019) | −0.1126 ** (0.0389) | −0.1215** (0.021) | −0.1243** (0.020) | −0.1310** (0.018) | −0.1362 ** (0.0212) |
| SIZE | −0.4417* (0.062) | −0.4572* (0.059) | −0.4633* (0.058) | −0.4824 ** (0.0126) | 0.5211*** (0.008) | 0.5326*** (0.006) | 0.5398*** (0.006) | 0.5376 *** (0.0052) | −0.3075 (0.161) | −0.5138 (0.155) | −0.4181 (0.150) | −0.3227 (0.1514) | −0.3024* (0.060) | −0.4118* (0.058) | −0.4221* (0.057) | −0.4693 * (0.0597) |
| CAP | −0.1031 (0.132) | −0.1076 (0.129) | −0.1098 (0.127) | −0.0995 (0.1351) | 0.1378 (0.146) | 0.1412 (0.143) | 0.1427 (0.141) | 0.1385 (0.1426) | −0.1492** (0.019) | −0.1510** (0.018) | −0.1518** (0.018) | −0.1497 ** (0.0192) | −0.1095** (0.024) | −0.1112** (0.023) | −0.1118** (0.023) | −0.1096 ** (0.0247) |
| GDP | −0.0261 (0.887) | −0.0272 (0.881) | −0.0278 (0.876) | −0.0248 (0.8853) | 0.0863* (0.078) | 0.0881* (0.076) | 0.0888* (0.076) | 0.0879 * (0.0765) | −0.0292 (0.562) | −0.0295 (0.560) | −0.0297 (0.559) | −0.0281 (0.5629) | −0.0307 (0.386) | −0.0313 (0.381) | −0.0315 (0.379) | −0.0304 (0.3854) |
| INF | 0.0148 (0.493) | 0.0151 (0.490) | 0.0155 (0.488) | 0.0161 (0.4827) | −0.0551 (0.254) | −0.0558 (0.253) | −0.0561 (0.252) | −0.0551 (0.2520) | 0.0383 (0.507) | 0.0387 (0.506) | 0.0389 (0.505) | 0.0385 (0.5076) | 0.0101 (0.649) | 0.0105 (0.647) | 0.0106 (0.647) | 0.0103 (0.6499) |
| BC | −0.0168** (0.027) | −0.0171** (0.026) | −0.0173** (0.025) | −0.0181 ** (0.0259) | 0.0317 (0.123) | 0.0321 (0.122) | 0.0324 (0.121) | 0.0318 (0.1217) | −0.0245 (0.217) | −0.0247 (0.215) | −0.0248 (0.215) | −0.0247 (0.2184) | −0.0047 (0.771) | −0.0049 (0.769) | −0.0049 (0.768) | −0.0048 (0.7716) |
| BNK | 1.2673* (0.070) | 1.2761* (0.069) | 1.2815* (0.068) | 1.2743* (0.0684) | 2.8212** (0.018) | 2.8269** (0.018) | 2.8285** (0.018) | 2.8129 ** (0.0181) | 0.8072 (0.141) | 0.8084 (0.140) | 0.8091 (0.139) | 0.8024 (0.1420) | 0.5975* (0.051) | 0.5980* (0.050) | 0.5981* (0.050) | 0.5968* (0.0521) |
| DCOVID | 0.1075 (0.832) | 0.1081 (0.831) | 0.1086 (0.835) | 0.1046 (0.8422) | 0.4712 (0.434) | 0.4725 (0.432) | 0.4741 (0.431) | 0.4697 (0.4328) | −0.2064 (0.401) | −0.2070 (0.400) | −0.2074 (0.400) | −0.2055 (0.4026) | −0.4692 (0.306) | −0.4698 (0.305) | −0.4701 (0.305) | −0.4729 (0.3084) |
| AR(1) | – | – | – | 0.0453 | – | – | – | 0.0128 | – | – | – | 0.0159 | – | – | – | 0.0138 |
| AR(2) | – | – | – | 0.6021 | – | – | – | 0.2714 | – | – | – | 0.5372 | – | – | – | 0.5110 |
| Hansen ( | – | – | – | 0.2941 | – | – | – | 0.8092 | – | – | – | 0.6936 | – | – | – | 0.6078 |
| Sargan ( | – | – | – | 0.2479 | – | – | – | 0.7198 | – | – | – | 0.6182 | – | – | – | 0.4587 |
| Wald Test ( | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| N (banks) | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 | 62 |
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