Dynamic modeling of systemic risk and firm value: A case of Pakistan

The study examines the systemic risk of banking sector in Pakistan and elucidates the factors that exacerbate the systemic risk taking. First, a systemic risk measure ∆CoVaR is applied to analyze the contribution of individual institution to the whole financial system. Secondly, systemic risk and fi...

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Autores principales:	Hasan Hanif, Muhammad Naveed, Mobeen Ur Rehman
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2019
Materias:	systemic risk ∆covar sectoral variables bank valuation micro and macro prudential regulations Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/a382912467d24192b72a2f884b7258ff
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spelling	oai:doaj.org-article:a382912467d24192b72a2f884b7258ff2021-12-02T16:07:36ZDynamic modeling of systemic risk and firm value: A case of Pakistan2331-197510.1080/23311975.2019.1651440https://doaj.org/article/a382912467d24192b72a2f884b7258ff2019-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2019.1651440https://doaj.org/toc/2331-1975The study examines the systemic risk of banking sector in Pakistan and elucidates the factors that exacerbate the systemic risk taking. First, a systemic risk measure ∆CoVaR is applied to analyze the contribution of individual institution to the whole financial system. Secondly, systemic risk and firm value are modeled in static and dynamic frameworks to measure the factors that build systemic risk and firm value. Most importantly, the study highlights the sector level variables munificence, dynamism and concentration are also important in comprehending the risk dynamics along with the much-emphasized firm and country level variables, notably size, political stability, and bank claims. The results imply that the repercussions of excessive risk taking can be ameliorated by increasing liquidity requirements and having a close watch on leverage. Accordingly, monetary policy should be aligned with macro prudential policy to alleviate systemic risk. Furthermore, the Granger causality results indicate that systemic risk engenders idiosyncratic risk and not vice versa, implying regulation of systemic risk can lower the idiosyncratic risk as well. Last but not the least, systemic risk has positive effect on valuation, implying systemic risk cannot be curbed by sheer market discipline and requires external intervention.Hasan HanifMuhammad NaveedMobeen Ur RehmanTaylor & Francis Grouparticlesystemic risk∆covarsectoral variablesbank valuationmicro and macro prudential regulationsBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 6, Iss 1 (2019)
institution	DOAJ
collection	DOAJ
language	EN
topic	systemic risk ∆covar sectoral variables bank valuation micro and macro prudential regulations Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	systemic risk ∆covar sectoral variables bank valuation micro and macro prudential regulations Business HF5001-6182 Management. Industrial management HD28-70 Hasan Hanif Muhammad Naveed Mobeen Ur Rehman Dynamic modeling of systemic risk and firm value: A case of Pakistan
description	The study examines the systemic risk of banking sector in Pakistan and elucidates the factors that exacerbate the systemic risk taking. First, a systemic risk measure ∆CoVaR is applied to analyze the contribution of individual institution to the whole financial system. Secondly, systemic risk and firm value are modeled in static and dynamic frameworks to measure the factors that build systemic risk and firm value. Most importantly, the study highlights the sector level variables munificence, dynamism and concentration are also important in comprehending the risk dynamics along with the much-emphasized firm and country level variables, notably size, political stability, and bank claims. The results imply that the repercussions of excessive risk taking can be ameliorated by increasing liquidity requirements and having a close watch on leverage. Accordingly, monetary policy should be aligned with macro prudential policy to alleviate systemic risk. Furthermore, the Granger causality results indicate that systemic risk engenders idiosyncratic risk and not vice versa, implying regulation of systemic risk can lower the idiosyncratic risk as well. Last but not the least, systemic risk has positive effect on valuation, implying systemic risk cannot be curbed by sheer market discipline and requires external intervention.
format	article
author	Hasan Hanif Muhammad Naveed Mobeen Ur Rehman
author_facet	Hasan Hanif Muhammad Naveed Mobeen Ur Rehman
author_sort	Hasan Hanif
title	Dynamic modeling of systemic risk and firm value: A case of Pakistan
title_short	Dynamic modeling of systemic risk and firm value: A case of Pakistan
title_full	Dynamic modeling of systemic risk and firm value: A case of Pakistan
title_fullStr	Dynamic modeling of systemic risk and firm value: A case of Pakistan
title_full_unstemmed	Dynamic modeling of systemic risk and firm value: A case of Pakistan
title_sort	dynamic modeling of systemic risk and firm value: a case of pakistan
publisher	Taylor & Francis Group
publishDate	2019
url	https://doaj.org/article/a382912467d24192b72a2f884b7258ff
work_keys_str_mv	AT hasanhanif dynamicmodelingofsystemicriskandfirmvalueacaseofpakistan AT muhammadnaveed dynamicmodelingofsystemicriskandfirmvalueacaseofpakistan AT mobeenurrehman dynamicmodelingofsystemicriskandfirmvalueacaseofpakistan
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Dynamic modeling of systemic risk and firm value: A case of Pakistan

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