MES vs ∆CoVaR: Empirical evidence from Pakistan

The global financial crisis unveiled that inadequate analysis of risk can annihilate the financial system and repercussions can encompass the whole economy. Pakistan is one of the developing economies that has experienced robust growth in the banking sector. This hard earned growth can only be susta...

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Autores principales:	Hasan Hanif, Imran Yousaf, Abdul waheed, Waseem ullah
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	mes ∆covar dcc developing economy & system gmm Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/aabdb98d6b2c420b818e676272363f9d
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spelling	oai:doaj.org-article:aabdb98d6b2c420b818e676272363f9d2021-12-02T18:50:55ZMES vs ∆CoVaR: Empirical evidence from Pakistan2331-197510.1080/23311975.2021.1938927https://doaj.org/article/aabdb98d6b2c420b818e676272363f9d2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2021.1938927https://doaj.org/toc/2331-1975The global financial crisis unveiled that inadequate analysis of risk can annihilate the financial system and repercussions can encompass the whole economy. Pakistan is one of the developing economies that has experienced robust growth in the banking sector. This hard earned growth can only be sustained by adequately examining the risk exposure of the financial system. Consistent with this purview, this study attempts to comprehensively analyse for the first time, the systemic importance of financial institutions of Pakistan using ∆CoVaR and MES. Moreover, the study employs System GMM to analyze the bank, sector and country level determinants of systemic risk measures. The findings of the study signify that MES and ∆CoVaR measures identify different institutions as systemically important. Similarly, the influence of variables also changes with change in the systemic measure. The estimation of determinants of systemic risk outline that non-interst income is insignificant when MES is used as measure of systemic risk but the same turns significant for ∆CoVaR. The impact of deposit ratio also changes across the measures of systemic risk. Concentration has positive impact on MES but negatively influences ∆CoVaR. Finally, the impact of bank claims also varies across the measures of systemic risk. The study contributes to the literature by highlighting the complementary nature of systemic risk measures for the first time in a developing economy like Pakistan. The study also identifies important relationships necessary to chalk out micro and macro prudential regulations imperative for the stability of financial system.Hasan HanifImran YousafAbdul waheedWaseem ullahTaylor & Francis Grouparticlemes∆covardccdeveloping economy & system gmmBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	mes ∆covar dcc developing economy & system gmm Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	mes ∆covar dcc developing economy & system gmm Business HF5001-6182 Management. Industrial management HD28-70 Hasan Hanif Imran Yousaf Abdul waheed Waseem ullah MES vs ∆CoVaR: Empirical evidence from Pakistan
description	The global financial crisis unveiled that inadequate analysis of risk can annihilate the financial system and repercussions can encompass the whole economy. Pakistan is one of the developing economies that has experienced robust growth in the banking sector. This hard earned growth can only be sustained by adequately examining the risk exposure of the financial system. Consistent with this purview, this study attempts to comprehensively analyse for the first time, the systemic importance of financial institutions of Pakistan using ∆CoVaR and MES. Moreover, the study employs System GMM to analyze the bank, sector and country level determinants of systemic risk measures. The findings of the study signify that MES and ∆CoVaR measures identify different institutions as systemically important. Similarly, the influence of variables also changes with change in the systemic measure. The estimation of determinants of systemic risk outline that non-interst income is insignificant when MES is used as measure of systemic risk but the same turns significant for ∆CoVaR. The impact of deposit ratio also changes across the measures of systemic risk. Concentration has positive impact on MES but negatively influences ∆CoVaR. Finally, the impact of bank claims also varies across the measures of systemic risk. The study contributes to the literature by highlighting the complementary nature of systemic risk measures for the first time in a developing economy like Pakistan. The study also identifies important relationships necessary to chalk out micro and macro prudential regulations imperative for the stability of financial system.
format	article
author	Hasan Hanif Imran Yousaf Abdul waheed Waseem ullah
author_facet	Hasan Hanif Imran Yousaf Abdul waheed Waseem ullah
author_sort	Hasan Hanif
title	MES vs ∆CoVaR: Empirical evidence from Pakistan
title_short	MES vs ∆CoVaR: Empirical evidence from Pakistan
title_full	MES vs ∆CoVaR: Empirical evidence from Pakistan
title_fullStr	MES vs ∆CoVaR: Empirical evidence from Pakistan
title_full_unstemmed	MES vs ∆CoVaR: Empirical evidence from Pakistan
title_sort	mes vs ∆covar: empirical evidence from pakistan
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/aabdb98d6b2c420b818e676272363f9d
work_keys_str_mv	AT hasanhanif mesvscovarempiricalevidencefrompakistan AT imranyousaf mesvscovarempiricalevidencefrompakistan AT abdulwaheed mesvscovarempiricalevidencefrompakistan AT waseemullah mesvscovarempiricalevidencefrompakistan
_version_	1718377465090408448

MES vs ∆CoVaR: Empirical evidence from Pakistan

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