Dynamic modeling of idiosyncratic risk under economic sensitivity. A case of Pakistan

References

• Almazan, A., & Molina, C. (2005). Intra-industry capital structure dispersion. Journal of Economics and Management Strategy, 14(2), 263–15. https://doi.org/10.1111/j.1530-9134.2005.00042.x
   Web of Science ®Google Scholar
• Altunbas, Y., Binici, M., & Gambacorta, L. (2017). Macroprudential policy and bank risk. Journal of International Money and Finance. https://doi.org/10.1016/j.jimonfin.2017.11.012
   Web of Science ®Google Scholar
• Andries, A. M., & Mutu, S. (2016). Systemic risk, corporate governance and regulation of banks across emerging countries. Economics Letters, 144, 59–63. http://dx.doi.10.1016/j.econlet.2016.04.0
   PubMed Web of Science ®Google Scholar
• Anwar, Y. (2012, March 5). Long term debt financing - issues and challenges for Pakistan. Institute of Business Management.
   Google Scholar
• Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence & an application to employment equations. Review of Economic Studies, 58(2), 277–297. https://doi.org/10.2307/2297968
   Web of Science ®Google Scholar
• Arellano, M., & Bover, D. (1995). Another look at the instrumental variable estimation of error component models. Journal of Econometrics, 68(1), 29–51. https://doi.org/10.1016/0304-4076(94)01642-D
   Web of Science ®Google Scholar
• Avramidis, P., & Pasiouras, F. (2015). Calculating systemic risk capital: A factor model approach. Journal of Financial Stability, 16, 138–150. https://doi.org/10.1016/j.jfs.2015.01.003
   Web of Science ®Google Scholar
• Balboa, M., López-Espinosa, G. & Rubia, A. (2015). Granger causality and systemic risk. Finance Research Letters, 15, 49–58. doi:10.1016/j.frl.2015.08.003
   Web of Science ®Google Scholar
• Beard, W., & Dess, G. (1984). Dimensions of organizational task environments. Administrative Science Quarterly, 29(1), 52–73. https://doi.org/10.2307/2393080
   Web of Science ®Google Scholar
• Bessler, W., Kurmann, P., & Nohel, T. (2015). Time-varying systematic and idiosyncratic risk exposures of US bank holding companies. Journal of International Financial Markets, Institutions and Money, 35, 45–68. https://doi.org/10.1016/j.intfin.2014.11.009
   Web of Science ®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/10.1016/S0304-4076(98)00009-8
   Web of Science ®Google Scholar
• Boutchkova, M., Doshi, H., Durnev, A., & Molchanov, A. (2011). Precarious politics and return volatility. Review of Financial Studies, 25(4), 1111–1154. https://doi.org/10.1093/rfs/hhr100
   Web of Science ®Google Scholar
• Boyd, B. K. (1995). CEO duality and firm performance: A contingency model. Strategic Management Journal, 16(4), 301–312. https://doi.org/10.1002/smj.4250160404
   Web of Science ®Google Scholar
• Boyd, J. H., & De Nicolo, G. (2005). The theory of bank risk taking and competition revisited. Journal of Finance, 60(3), 1329–1343. https://doi.org/10.1111/j.1540-6261.2005.00763.x
   Web of Science ®Google Scholar
• Chen, M., Wu, J., Jeon, N. B., & Wang, R. (2017). Monetary policy and bank risk-taking: Evidence from emerging economies. Emerging Markets Review, 31, 116–140. https://doi.org/10.1016/j.ememar.2017.04.001
   Web of Science ®Google Scholar
• Claessens, S., Djankov, S., & Xu, L. C. (2000). Corporate performance in the East Asian Financial crisis. World Bank Research Observer, 15(1), 23–46. https://doi.org/10.1093/wbro/15.1.23
   Web of Science ®Google Scholar
• Cohen, L. J., Cornett, M. M., Marcus, A. J., & Tehranian, H. (2014). Bank earnings management and tail risk during the financial crisis. Journal of Money, Credit and Banking, 46(1), 171–197. https://doi.org/10.1111/jmcb.12101
   Web of Science ®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. Intrnational Monetary Fund.
   Google Scholar
• de Mendonça, H. F. D., & da Silva. (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, 141–157. https://doi.org/10.1016/j.najef.2017.10.011
   Web of Science ®Google Scholar
• Dell’Ariccia, G., Laeven, L., & Marquez, R. (2014). Real interest rates, leverage, and bank risk-taking. Journal of Economic Theory, 149, 65–99. https://doi.org/10.1016/j.jet.2013.06.002
   Web of Science ®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., Rubia, G., Valderrama,L., A., & Miguel Anton, M. (2013). Good for one, bad for all: Determinants of individual versus systemic risk. Journal of Financial Stability, 9(3), 287–299. https://doi.org/10.1016/j.jfs.2013.05.002
   Web of Science ®Google Scholar
• Esty, B. C. (1997). Organizational form and risk taking in the savings and loan industry. Journal of Financial Economics, 44(1), 25–44. https://doi.org/10.1016/S0304-405X(96)00897-5
   Web of Science ®Google Scholar
• Fortin, R., Goldberg, G. M., & Roth, G. (2010). Bank risk taking at the onset of the current banking crisis. Financial Review, 45(4), 891–913. https://doi.org/10.1111/j.1540-6288.2010.00277.x
   Google Scholar
• Gaud, P., Jan, E., Hoesli, M., & Bender, A. (2005). The Capital structure of Swiss companies: An empirical analysis using dynamic panel data. European Financial Management, 11(1), 51–69. https://doi.org/10.1111/j.1354-7798.2005.00275.x
   Web of Science ®Google Scholar
• Greene, W. (2008). Econometrics Analysis (Sixth ed.). Prentice Hall.
   Google Scholar
• Gregory, K., & Hambusch, G. (2015). Factors driving risk in the US banking industry: The role of capital, franchise value and lobbying. International Journal of Managerial Finance, 11(3), 388–410. https://doi.org/10.1108/IJMF-02-2015-0017
   Web of Science ®Google Scholar
• Gruca, T. S., & Rego, L. L. (2005). Customer satisfaction, cash flow, and shareholder value. Journal of Marketing, 69(3), 115–130. https://doi.org/10.1509/jmkg.69.3.115.66364
   Web of Science ®Google Scholar
• Hasan, M. M., & Habib, A. (2017). Firm life cycle and idiosyncratic volatility. International Review of Financial Analysis, 50, 164–175. http://dx.doi.10.1016/j.irfa.2017.01.003
   Web of Science ®Google Scholar
• Hughes, J. P., & Mester, L. (2013). Who said large banks don’t experience scale economies? Evidence from a risk-return-driven cost function. Journal of Financial Intermediation, 44, 51–63.
   Google Scholar
• Iyer, R. S., & Harper, T. J. (2017). Cash flow volatility and investor sentiment. Journal of Managerial Finance, 43(2), 178–192. https://doi.org/10.1108/MF-02-2016-0045
   Web of Science ®Google Scholar
• Kayo, E., & Kimura, H. (2011). Hierarchical determinants of capital structure. Journal of Banking and Finance, 35(2), 358–371. https://doi.org/10.1016/j.jbankfin.2010.08.015
   Web of Science ®Google Scholar
• Khiari, W., & Nachnouchi, J. (2018). Banks’ systemic risk in the Tunisian context: Measures and determinants. Research in International Business and Finance, 45, 620–631. https://doi.org/10.1016/j.ribaf.2017.07.181
   Web of Science ®Google Scholar
• Kinateder, H., & Wagner, N. (2017). Quntitative easing and the pricing of EMU sovereign debt. Quarterly Review of Economics and Finance, 66, 1–12. http://dx.doi.10.1016/j.qref.2017.04.013
   Web of Science ®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/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. http://doi.org/10.1108/
   Web of Science ®Google Scholar
• Konishi, M., & Yasuda, Y. (2004). Factors affecting bank risk taking: Evidence from Japan. Journal of Banking & Finance, 28(1), 215–232. https://doi.org/10.1016/S0378-4266(02)00405-3
   Web of Science ®Google Scholar
• Kosmidou, K., Kousenidis, D., Ladas, A., & Negkakis, C. (2017). Determinants of risk in the banking sector during the European financial crisis. Journal of Financial Stability, 33, 285–296. http://dx.doi.org/10.1016/j.jfs.2017.06.006
   Web of Science ®Google Scholar
• Krasnikov, A., Mishra, S., & Orozco, D. A. (2009). Evaluating the financial impact of branding using trademarks: A framework and empirical evidence. Journal of Marketing, 73(6), 154–166. https://doi.org/10.1509/jmkg.73.6.154
   Web of Science ®Google Scholar
• Kumari, J., Mahakud, J., & Hiremath, S. G. (2017). Determinants of idiosyncratic volatility: Evidence from the Indian stock market. Research in International Business and Finance. http://dx.doi.org/10.1016/j.ribaf.2017.07.182
   Web of Science ®Google Scholar
• Laeven, L., & Levine, R. (2009). Bank governance, regulation and risk taking. Journal of Financial Economics, 93(2), 259–275. https://doi.org/10.1016/j.jfineco.2008.09.003
   Web of Science ®Google Scholar
• Liu, J., & Zhong, R. (2017). Political uncertainty and a firm’s credit risk: Evidence from the international CDS market. Journal of Financial Stability, 30, 53–66. https://doi.org/10.1016/j.jfs.2017.03.006
   Web of Science ®Google Scholar
• Marco, T. G., Dolores, M., & Fernandez, R. (2008). Risk-taking behavior and ownership in the banking industry: The Spanish evidence. Journal of Economics and Business, 60(4), 332–354. https://doi.org/10.1016/j.jeconbus.2007.04.008
   Google Scholar
• Mishra, S., & Modi, B. (2013). Positive and negative corporate social responsibility, financial leverage, and idiosyncratic risk. Journal of Business Ethics, 117(2), 431–448. https://doi.org/10.1007/s10551-012-1526-9
   Web of Science ®Google Scholar
• Naceur, S. B., & Kandil, M. (2009). The impact of capital requirements on banks’ cost of intermediation and profitability. Journal of Economics and Business, 61(1), 70–89. https://doi.org/10.1016/j.jeconbus.2007.12.001
   Google Scholar
• Naceur, S. B., & Omran, M. (2011). The effects of bank regulations, competition and financial reforms on banks’ performance. Emerging Markets Review, 12(1), 1–20. https://doi.org/10.1016/j.ememar.2010.08.002
   Web of Science ®Google Scholar
• Niţoi, M., CliChici, D., & Moagăr-Poladian, S. (2019). The effects of prudential policies on bank leverage and insolvency risk in Central and Eastern Europe. Economic Modelling, 81, 148–160. https://doi.org/10.1016/j.econmod.2018.12.016
   Web of Science ®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/10.1016/j.jfs.2013.12.003
   Web of Science ®Google Scholar
• PÁSTOR, L. and Veronesi, P. (2012), Uncertainty about government policy and stock prices. The Journal of Finance, 4, 1219–1264. doi:10.1111/j.1540-6261.2012.01746.x
   Google Scholar
• Pikas, H. P., Lee, B., & Tenpao. (2003). The determinants of capital structure choice using linear models: High technology vs. traditional corporations. Journal of Academy of Business and Economics, 1(1), 720–727.
   Google Scholar
• Ramos-Tallada, J. (2015). Bank risks, monetary shocks and the creditchannel in Brazil: Identification and evidence from panel data. Journal of International Money and Finance, 55(C), 135–161. https://doi.org/10.1016/j.jimonfin.2015.02.014
   Google Scholar
• Roodman, D. (2009). How to do Xtabond2: An Introduction to Difference and System GMM in Stata. The Stata Journal: Promoting communications on statistics and Stata, 9(1), 86–136. doi:10.1177/1536867X0900900106
   Google Scholar
• Salas, V., & Saurina, J. (2002). Credit risk in two institutional regimes: Spanish commercial and savings banks. Journal of Financial Service, 22(3), 203–224. https://doi.org/10.1023/A:1019781109676
   Google Scholar
• Saunders, A., Strock, E., & Travlos, N. G. (1990). Ownership structure, deregulation, and bank risk taking. Journal of Finance, 45(2), 643–654. https://doi.org/10.1111/j.1540-6261.1990.tb03709.x
   Web of Science ®Google Scholar
• Simerly, L., & Li, M. (2000). Environmental dynamism, capital structure and performance: A theoretical integration and an empirical test. Strategic Management Journal, 21(1), 31–49. http://doi.org/10.1002/(SICI)1097-0266(200001)21:1<31::AID-SMJ76>3.0.CO;2-T
   Web of Science ®Google Scholar
• Smith, J. D., Chen, J., & Anderson, D. H. (2014). The influence of firm financial position and industry characteristics on capital structure adjustment. Journal of Accounting and Finance. doi: 10.1111/acfi.12083
   Web of Science ®Google Scholar
• Stiroh, J. K. (2006). New evidence on the determinants of bank risk. J Finan Serv Res, 30(3), 237–263. https://doi.org/10.1007/s10693-006-0418-5
   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/10.1108/JRF-05-2016-0064
   Web of Science ®Google Scholar
• Tuli, K., & Bharadwaj, S. G. (2009). Customer satisfaction and stock returns risk. Journal of Marketing, 73(6), 184–197. https://doi.org/10.1509/jmkg.73.6.184
   Web of Science ®Google Scholar
• Wang, S. M. (2016). Idiosyncratic volatility, executive compensation and corporate governance: Examination of the direct and moderate effects. Review of Management Sciences, 10, 213–244. https://doi.org/10.1007/s11846-014-0143-7
   Google Scholar
• Zedda, S., & Cannas, G. (2017). Analysis of banksÕ systemic risk contribution and contagion determinants through the leave-one-out approach. Journal of Banking and Finance. http://doi.org/10.1016/j.jbankÞn.2017.06.008
   Google Scholar