MES vs ∆CoVaR: Empirical evidence from Pakistan

References

• Acharya, V., Pedersen, L. H., Philippon, T., & Richardson, M. P. (2010). Measuring systemic risk, AFA, Denver Meeting paper, Available at SSRN, https://doi.org/http://dx.doi.org/10.2139/ssrn.1573171.
   Google Scholar
• Acharya, V. V., Pedersen, L. H., Philippon, T., & Richardson, M. (2017). Measuring SystemicRisk. Review of Financial Studies, 30(1), 2–21. https://doi.org/https://doi.org/10.1093/rfs/hhw088
   Google Scholar
• Adrian, T., & Boyarchenko, N. (2012). Intermediary leverage cycles and financial stability. FRB of New York Staff Report, 567. https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr567.pdf
   Google Scholar
• Adrian, T., & Brunnermeier, M. (2016). CoVaR. American Economic Review, 106(7), 1705–1741. https://doi.org/https://doi.org/10.1257/aer.20120555
   Google Scholar
• Allen, F., & Gale, D. (2000). Financial contagion. The Journal of Political Economy, 108(1), 1–33. https://doi.org/https://doi.org/10.1086/262109
   Google Scholar
• Allen, F., & Gale, D. (2004). Financial fragility, liquidity, and asset prices. Journal of European Economic Association, 2(6), 1015–1048. https://doi.org/https://doi.org/10.1162/JEEA.2004.2.6.1015
   Google Scholar
• Amini, H., Cont, R., & Minca, A. (2016). Resilience to contagion in financial networks. Mathematical Finance, 26(2), 329–365. https://doi.org/https://doi.org/10.1111/mafi.12051
   Google Scholar
• Andries, A. M., & Mutu, S. (2016). Systemic risk, corporate governance and regulation of banks across emerging countries. Economics Letters, 144(1), 1–9. https://doi.org/https://doi.org/10.1016/j.econlet.2016.04.0
   Google Scholar
• Andrieş, A. M., Nistor, S., & Sprincean, N. (2018). The impact of central bank transparency on systemic risk—Evidence from Central and Eastern Europe. Research in International Business and Finance, 51(C). https://doi.org/https://doi.org/10.1016/j.ribaf.2018.06.002
   Google Scholar
• Anginer, D., Demirguc-Kunt, A., & Zhu, M. (2014). How does competition affect bank systemic risk? Journal of Financial Intermediation, 23(1), 1–26. https://doi.org/https://doi.org/10.1016/j.jfi.2013.11.001
   Google Scholar
• Battiston, S., Gatti, D., Gallegati, M., Greenwald, B., & Stiglitz, J. (2012). Default cascades: When does risk diversification increase stability? Journal of Financial Stability, 8(3), 138–149. https://doi.org/https://doi.org/10.1016/j.jfs.2012.01.002
   Google Scholar
• Beck, T., Demirguc-Kunt, A., & Levine, R. (2006). Bank concentration, competition, and crises: First results. Journal of Banking and Finance, 30(5), 1581–1603. https://doi.org/https://doi.org/10.1016/j.jbankfin.2005.05.010
   Google Scholar
• Billio, M., Getmansky, M., Lo, A. W., & Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of Financial Economics, 104(3), 535–559. https://doi.org/https://doi.org/10.1016/j.jfineco.2011.12.010
   Google Scholar
• Blundell, R., & Bond, S. (1998). Initial conditions & moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. https://doi.org/https://doi.org/10.1016/S0304-4076(98)00009-8
   Google Scholar
• Bonollo, M., Di Persio, L., & Prezioso, L. (2018). The Default Risk Charge approach to regulatory risk measurement processes. Dependence Modeling, 6(1), 309–330. https://doi.org/https://doi.org/10.1515/demo-2018-0018
   Google Scholar
• Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, 8(4), 236–251. https://doi.org/https://doi.org/10.1016/j.jfs.2011.12.003
   Google Scholar
• Bostandzic, D., & Weiß, G. N. F. (2018). Why do some banks contribute more to global systemic risk? Journal of Financial Intermediation, 35(PA), 17–40. https://doi.org/https://doi.org/10.1016/j.jfi.2018.03.003
   Google Scholar
• Botev, J., Egert, B., & Jawadi, F. (2019). The non-linear relationship betweeneconomic growth and financial development: Evidence from developing, emerging and advanced economies. International Economics, 160(C), 3–13. https://doi.org/https://doi.org/10.1016/j.inteco.2019.06.004
   Google Scholar
• Boyd, B. K. (1995). CEO duality and bank performance: A contingency model. Strategic Management Journal, 16(4), 301–312. https://doi.org/https://doi.org/10.1002/smj.4250160404
   Google Scholar
• Brownlees, C. T., & Engle, R. F. (2012). Volatility, correlation and tails for systemic risk measurement, SSRN Scholarly Paper ID 1611229. Social Science Research Network.
   Google Scholar
• Brunnermeier, M. K., Dong, G., & Palia, D. (2012). Banks’ non-interest income and systemic risk, Working Paper. Princeton University, Princeton.
   Google Scholar
• Bruyckere, D. V., Gerhardt, M., Schepens, G., & Vennet, V. R. (2013). Bank/sovereign risk spillovers in the European debt crisis. Journal of Banking & Finance, 37(12), 4793–4809. https://doi.org/https://doi.org/10.1016/j.jbankfin.2013.08.012
   Google Scholar
• Chandia, K. E., Riaz, S., Javid, A. Y., Iqbal, M. B., Azam, M., & Gul, I. (2019). Assessment of Public And External Debt Sustainability Using Debt Dynamics Equation Approach: A comparative study of Pakistan and India. Millennial Asia, 10(1), 25–55. https://doi.org/https://doi.org/10.1177/0976399619825688
   Google Scholar
• Cordoni, F., & Di Persio, L. (2016). A BSDE with delayed generator approach to pricing under counterparty risk and collateralization. International Journal of Stochastic Analysis, 2016, 1–11. https://doi.org/https://doi.org/10.1155/2016/1059303
   Google Scholar
• Crowe, C., Dell’Ariccia, G., Igan, D., & Rabanal, P. (2011). Policies for macro-financial stability: Options to deal with real estate booms. IMF Staff Discussion. International Monetary Fund.
   Google Scholar
• de Mendonça, H. F., & Barcelos, V. I. (2015). Securitization and credit risk: Empirical evidence from an emerging economy. North American Journal of Economics and Finance, 32(C), 12–28. https://doi.org/https://doi.org/10.1016/j.najef.2015.01.002
   Google Scholar
• de Mendonça, H., Da Silva., & Silva, R. B. D. (2018). Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. North American Journal of Economics and Finance, 43(C), 141–157. https://doi.org/https://doi.org/10.1016/j.najef.2017.10.011
   Google Scholar
• Dell’Ariccia, G., & Marquez, R. (2006). Lending Booms and Lending Standards. Journal of Finance, 61(5), 2511–2546. https://doi.org/https://doi.org/10.1111/j.1540-6261.2006.01065.x
   Google Scholar
• Demirguc-Kunt, A., Kane, E., & Laeven, L. (2009). Deposit Insurance Around the World: Issues of Design and Implementation. MIT Press.
   Google Scholar
• Espinosa, L. G., Rubia, A., Valderrama, L., & Miguel Anton, M. (2013). Good for one, bad for all: Determinants of individual versus systemic risk. Journal of Financial Stability, 9, 9(3), 287–299. https://doi.org/https://doi.org/10.1016/j.jfs.2013.05.002
   Google Scholar
• Freixas, X., Parigi, B., & Rochet, J. C. (2000). Systemic risk interbank relations and liquidity provision by the central bank. Journal of Money, Credit, and Banking, 32(3), 611. https://doi.org/https://doi.org/10.2307/2601198
   Google Scholar
• Galindo, A., Schiantarelli, F., & Weiss, A. (2007). Does financial liberalization improve the allocation of investment? Micro evidence from the developing countries. Journal of Development Economics, 93(2), 562–587. https://doi.org/https://doi.org/10.1016/j.jdeveco.2005.09.008
   Google Scholar
• Gong, X.-L., Liu, X.-H., Xiong, X., & Zhang, W. (2019). Financial systemic risk measurement based on causal network connectedness analysis. International Review of Economics and Finance, 64(C), 290–307. https://doi.org/https://doi.org/10.1016/j.iref.2019.07.004
   Google Scholar
• Grilli, R., TedesChi, G., & Gallegati, M. (2015). Markets connectivity and financial contagion. Journal of Economic Interaction and Coordination, 10(2), 287–304. https://doi.org/https://doi.org/10.1007/s11403-014-0129-1
   Google Scholar
• Hanif, H., Naveed, M., & Rehman, M. (2019). Dynamic modelling of systemic risk & firm value: A case of Pakistan. Cogent Business & Management, 6(1), 1–17. https://doi.org/https://doi.org/10.1080/23311975.2019.1651440
   Google Scholar
• Hanif, H., Naveed, M., Rehman, M., & McMillan, D. (2020). Extending the forward systemic risk measure: Do sector level variables matter. Cogent Business & Management, 7(1), 1–12. https://doi.org/https://doi.org/10.1080/23311975.2020.1809944
   Google Scholar
• Huang, Q., De Haan, J., & Scholtens, B. (2019). Analysing Systemic Risk in the Chinese Banking System. Pacific Economic Review, 24(2), 348–372. https://doi.org/https://doi.org/10.1111/1468-0106.12212
   Google Scholar
• Kashyap, A. K., Raghuram, R., & Jeremy, C. (2002). Banks as liquidity Providers: An explanation for the coexistence of lending and Deposit-Taking. Journal of Finance, 57(1), 33–74. https://doi.org/https://doi.org/10.1111/1540-6261.00415
   Google Scholar
• Khiari, W., & NachnouChi, J. (2018). Banks’ systemic risk in the Tunisian context: Measures and Determinants. Research in International Business and Finance, 45(C), 620–631. https://doi.org/https://doi.org/10.1016/j.ribaf.2017.07.181
   Google Scholar
• Kleinow, J., Horsch, A., & Molina, M. G. (2017). Factors driving systemic risk of banks in Latin America. Journal of Economics and Finance, 41(2), 211–234. https://doi.org/https://doi.org/10.1007/s12197-015-9341-7
   Google Scholar
• Kleinow, J., & Nell, T. (2015). Determinants of systemically important banks: The case of Europe. Journal of Financial Economic Policy, 7(4), 446–476. https://doi.org/https://doi.org/10.1108/JFEP-07-2015-0042
   Google Scholar
• Kulathunga, A., & Rehman, S. S. (2015). South Asia banking sector soundness assessment: Access to bank financing measurement. Journal of International Business and Economics, 15(1), 102–109. https://doi.org/https://doi.org/10.18374/JIBE-15-1.8
   Google Scholar
• Laeven, L., Ratnovski, L., & Tong, H. (2016). Bank size, capital, and systemic risk: Some international evidence. Journal of Banking and Finance, 69(S1), 25–34. https://doi.org/https://doi.org/10.1016/j.jbankfin.2015.06.022
   Google Scholar
• Lee, J., Lin, E. M. H., Lin, J. J., & Zhao, Y. (2019). Bank systemic risk and CEO overconfidence. The North American Journal of Economics and Finance. 54(C), 1-13. https://doi.org/https://doi.org/10.1016/j.najef.2019.03.011
   Google Scholar
• Leitner, Y. (2005). Financial networks: Contagion, commitment, and private sector bailouts. The Journal of Finance, 60(6), 2925–2953. https://doi.org/https://doi.org/10.1111/j.1540-6261.2005.00821.x
   Google Scholar
• Levine, R. (1997). Financial development and economic growth: Views and Agenda. Journal of Economic Literature, 35(2), 688–726.
   Google Scholar
• Levine, R. (2005). Finance and growth: Theory and evidence. In P. Aghion & S. Durlauf (Eds.), Handbook of Economic Growth, 865-934. Elsevier.
   Google Scholar
• Lin, E., Sun, E., & Yu, M. (2016). Systemic risk, financial markets, and performance of financial institutions. Financial Economics, 262(2), 579–603. https://doi.org/https://doi.org/10.1007/s10479-016-2113-8
   Google Scholar
• Liu, J., & Zhong, R. (2017). Political uncertainty and a bank’s credit risk: Evidence from the international CDS market. Journal of Financial Stability, 30(C), 53–66. https://doi.org/https://doi.org/10.1016/j.jfs.2017.03.006
   Google Scholar
• Mishra, S., & Modi, B. (2013). Positive and negative corporate social responsibility, financial leverage, and idiosyncratic risk. Journal of Buqsiness Ethics, 117(2), 431–448. https://doi.org/https://doi.org/10.1007/s10551-012-1526-9
   Google Scholar
• Papanikolaou, N., & Wolff, C. (2014). The role of on- and off–balance-sheet leverage of banks in the late 2000s crisis. Journal of Financial Stability, 14(1), 3–22. https://doi.org/https://doi.org/10.1016/j.jfs.2013.12.003
   Google Scholar
• Qin, X., & Zhou, C. (2018). Financial structure and determinants of systemic risk contribution. Pacific-Basin Finance Journal, 50(C), 1–15. https://doi.org/https://doi.org/10.1016/j.pacfin.2018.10.012
   Google Scholar
• Qin, X., & Zhu, X. (2014). Too non-traditional to fail? Determinants of systemic risk for BRICs banks. Applied Economics Letters, 21(4), 261–264. https://doi.org/https://doi.org/10.1080/13504851.2013.854292
   Google Scholar
• Rajan, R. G. (2006). Has finance made the world riskier? European Financial Management, 12(4), 499–533. https://doi.org/https://doi.org/10.1111/j.1468-036X.2006.00330.x
   Google Scholar
• Smith, J. D., Chen, J., Anderson, D. H., & Cahan, S. (2015). The influence of bank financial position and industry characteristics on capital structure adjustment. Journal of Accounting and Finance, 55(4), 1135–1169. https://doi.org/https://doi.org/10.1111/acfi.12083
   Google Scholar
• Souza, R. S., Tabak, M. B., Silva, C. T., & Guerra, M. S. (2015). Insolvency and contagion in the Brazilian interbank market. Physica, 43(C), 140–151. https://doi.org/https://doi.org/10.1016/j.physa.2015.03.005
   Google Scholar
• Strobl, S. (2016). Stand-alone vs systemic risk-taking of financial institutions. The Journal of Risk Finance, 17(4), 374–389. https://doi.org/https://doi.org/10.1108/JRF-05-2016-0064
   Google Scholar
• Uhde, A., & Heimeshoff, U. (2009). Consolidation in banking and financial stability in Europe– Further evidence. Journal of Banking & Finance, 33(7), 1299–1311. https://doi.org/https://doi.org/10.1016/j.jbankfin.2009.01.006
   Google Scholar
• Varotto, S., & Zhao, L. (2018). Systemic risk and bank size. Journal of International Money and Finance, 82(C), 45–70. https://doi.org/https://doi.org/10.1016/j.jimonfin.2017.12.002
   Google Scholar
• Weib, G. N., Bostandzic, D., & Neumann, S. (2014). What factors drive systemic risk during international financial crises? Journal of Banking and Finance, 41(4), 78–96. https://doi.org/https://doi.org/10.1016/j.jbankfin.2014.01.001
   Google Scholar
• Yeşin, P. (2013). Foreign currency loans and systemic risk in Europe. Federal Reserve Bank of St. Louis Review, 95(3), 219–235.
   Google Scholar
• Yun, J., & Moon, H. (2014). Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models. Pacific Basin Finance Journal, 27(C), 94–114. https://doi.org/https://doi.org/10.1016/j.pacfin.2014.02.005
   Google Scholar
• Yun, T. S., Jeong, D., & Park, S. (2019). Too central to fail” systemic risk measure using PageRank algorithm. Journal of Economic Behavior and Organization, 162(C), 251–272. https://doi.org/https://doi.org/10.1016/j.jebo.2018.12.021
   Google Scholar
• Zedda, S., & Cannas, G. (2017). Analysis of banks systemic risk contribution and contagion determinants through the leave-one-out approach. Journal of Banking and Finance, 112, 1-38. https://doi.org/https://doi.org/10.1016/j.jbankÞn.2017.06.008
   Google Scholar