# The Effect of ECB Unconventional Monetary Policy on Firms’ Performance during the Global Financial Crisis

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## Abstract

**:**

## 1. Introduction

## 2. An Overview of Factors Affecting Firms’ Performance

## 3. Leverage and Firms’ Performance in Times of Crisis

## 4. Hypotheses and Data

#### 4.1. Hypothesis

- How leverage and firms’ size, sovereign debt, and capital structure during the crisis affected the profitability of listed companies?
- How the non-conventional monetary policy implemented by ECB during the crisis affected listed firms’ performance?

#### 4.2. Sample

## 5. Methodology—Model Specification

## 6. Empirical Results

#### 6.1. Econometric Tests

#### 6.1.1. Unit Root Test

#### 6.1.2. Hausman Test

#### 6.1.3. Autocorrelation

#### 6.2. Regression Analysis

#### 6.2.1. 1st Model Specification Output: EPS as Proxy Variable of Profitability

Dependent Variable: EPS | 1 | 2 | 3 | 4 | 5 | 6 | |
---|---|---|---|---|---|---|---|

C | COEF | 0.44714 | 0.461079 | 0.44714 | 0.461079 | 0.44714 | 0.461079 |

PROB * | 0 | 0 | 0 | 0 | 0 | 0 | |

DER | COEF | −0.177232 | −0.213892 | −0.177232 | −0.213892 | −0.177232 | −0.213892 |

PROB * | 0 | 0 | 0.0115 | 0.0311 | 0.0127 | 0.0147 | |

Δ(ln_size) | COEF | 0.138839 | 0.138647 | 0.138839 | 0.138647 | 0.138839 | 0.138647 |

PROB * | 0.0212 | 0.0216 | 0.0047 | 0.0044 | 0.0249 | 0.0306 | |

Δ((ln_TA_ECB) | COEF | 0.39317 | 0.387494 | 0.39317 | 0.387494 | 0.39317 | 0.387494 |

PROB * | 0.0101 | 0.0114 | 0.0015 | 0.0019 | 0.0016 | 0.0029 | |

10_YBY | COEF | −0.008269 | −0.008074 | −0.008269 | −0.008074 | −0.008269 | −0.008074 |

PROB * | 0.0095 | 0.0115 | 0.0027 | 0.0032 | 0.0024 | 0.0044 | |

crisis | COEF | −0.094122 | −0.100117 | −0.094122 | −0.100117 | −0.094122 | −0.10012 |

PROB * | 0.0746 | 0.0589 | 0.2284 | 0.2073 | 0.2133 | 0.2049 | |

Period included | 14 | 14 | 14 | 14 | 14 | 14 | |

Cross-Section included | 47 | 47 | 47 | 47 | 47 | 47 | |

Total Panel Obs | 584 | 584 | 584 | 584 | 584 | 584 | |

R-squared | 0.59713 | 0.370964 | 0.59713 | 0.370964 | 0.59713 | 0.370964 | |

Time effect | None | None | None | None | None | None | |

Cross-Section effect | Random | Fixed | Random | Fixed | Random | Fixed | |

Coef. covariance method | Ordinary | Ordinary | White period | White period | Period SUR | Period SUR |

#### 6.2.2. Second Model Specification Output: ROE as Proxy Variable of Profitability

Dependent Variable: ROE | 1 | 2 | 3 | 4 | 5 | 6 | |
---|---|---|---|---|---|---|---|

C | COEF | 0.161855 | 0.159983 | 0.161855 | 0.159983 | 0.161855 | 0.159983 |

PROB * | 0 | 0 | 0 | 0 | 0 | 0 | |

DER | COEF | −0.029134 | −0.028541 | −0.029134 | −0.028541 | −0.029134 | −0.028541 |

PROB * | 0.0012 | 0.0029 | 0.115 | 0.1362 | 0.0486 | 0.1117 | |

Δ(ln_size) | COEF | 0.039589 | 0.039625 | 0.039589 | 0.039625 | 0.039589 | 0.039625 |

PROB * | 0.001 | 0.001 | 0.0007 | 0.0005 | 0.0007 | 0.001 | |

Δ((ln_TA_ECB) | COEF | 0.086936 | 0.086578 | 0.086936 | 0.086578 | 0.086936 | 0.086578 |

PROB * | 0.0042 | 0.0044 | 0.0001 | 0.0002 | 0.0002 | 0.0004 | |

10_YBY | COEF | −0.003383 | −0.003384 | −0.003383 | −0.003384 | −0.003383 | −0.003384 |

PROB * | 0 | 0 | 0 | 0 | 0 | 0 | |

crisis | COEF | −0.079879 | −0.08029 | −0.079879 | −0.08029 | −0.079879 | −0.08029 |

PROB * | 0 | 0 | 0.0013 | 0.0013 | 0.0009 | 0.0013 | |

Period included | 14 | 14 | 14 | 14 | 14 | 14 | |

Cross-Section included | 47 | 47 | 47 | 47 | 47 | 47 | |

Total Panel Obs | 583 | 583 | 583 | 583 | 583 | 583 | |

R-squared | 0.56566 | 0.558006 | 0.56566 | 0.558006 | 0.56566 | 0.558006 | |

Time effect | None | None | None | None | None | None | |

Cross-Section effect | Random | Fixed | Random | Fixed | Random | Fixed | |

Coef. covariance method | Ordinary | Ordinary | White period | White period | Period SUR | Period SUR |

#### 6.2.3. Third Model Specification Output: ROA as Proxy Variable of Profitability

Dependent Variable: ROA | 1 | 2 | 3 | 4 | 5 | 6 | |
---|---|---|---|---|---|---|---|

C | COEF | 0.107204 | 0.198994 | 0.107204 | 0.198994 | 0.107204 | 0.198994 |

PROB * | 0.0075 | 0 | 0.0071 | 0.007 | 0.0271 | 0 | |

DER | COEF | −0.003533 | −0.120537 | −0.003533 | −0.120537 | −0.003533 | −0.120537 |

PROB * | 0.8575 | 0.0002 | 0.816 | 0.0532 | 0.8472 | 0 | |

Δ(ln_size) | COEF | −5.22 × 10^{−5} | 0.000447 | −5.22 × 10^{−5} | 0.000447 | −5.22 × 10^{−5} | 0.000447 |

PROB * | 0.999 | 0.9911 | 0.9974 | 0.9832 | 0.9983 | 0.986 | |

Δ((ln_TA_ECB) | COEF | −0.037446 | −0.030357 | −0.037446 | −0.030357 | −0.037446 | −0.030357 |

PROB * | 0.7154 | 0.7685 | 0.6374 | 0.6637 | 0.6251 | 0.6836 | |

10_YBY | COEF | −0.001016 | −0.00116 | −0.001016 | −0.00116 | −0.001016 | −0.00116 |

PROB * | 0.6352 | 0.5902 | 0.0291 | 0.0007 | 0.0658 | 0.0895 | |

crisis | COEF | −0.066438 | −0.058327 | −0.066438 | −0.058327 | −0.066438 | −0.058327 |

PROB * | 0.0601 | 0.1035 | 0.1307 | 0.0704 | 0.1336 | 0.1532 | |

Period included | 14 | 14 | 14 | 14 | 14 | 14 | |

Cross-Section included | 46 | 46 | 46 | 46 | 46 | 46 | |

Total Panel Obs | 570 | 570 | 570 | 570 | 570 | 570 | |

R-squared | 0.6361 | 0.50994 | 0.6361 | 0.50994 | 0.6361 | 0.509943 | |

Time effect | None | None | None | None | None | None | |

Cross-Section effect | Random | Fixed | Random | Fixed | Random | Fixed | |

Coef. covariance method | Ordinary | Ordinary | White period | White period | Period SUR | Period SUR |

#### 6.2.4. Fourth Model Specification Output: Tobin’s Q as Proxy Variable of Profitability

Dependent Variable: Q_Ratio | |||||||
---|---|---|---|---|---|---|---|

1 | 2 | 3 | 4 | 5 | 6 | ||

C | COEF | 1.092988 | 1.059682 | 1.092988 | 1.059682 | 1.092988 | 1.059682 |

PROB * | 0 | 0 | 0 | 0 | 0 | 0 | |

DER | COEF | −0.160357 | −0.142412 | −0.160357 | −0.142412 | −0.160357 | −0.142412 |

PROB * | 0 | 0.0005 | 0.0146 | 0.0317 | 0.0106 | 0.0655 | |

Δ(ln_size) | COEF | 0.302626 | 0.302538 | 0.302626 | 0.302538 | 0.302626 | 0.302538 |

PROB * | 0 | 0 | 0 | 0 | 0 | 0 | |

Δ((ln_TA_ECB) | COEF | 0.208225 | 0.207779 | 0.208225 | 0.207779 | 0.208225 | 0.207779 |

PROB * | 0.1108 | 0.1117 | 0.0017 | 0.0017 | 0.0033 | 0.0041 | |

10_YBY | COEF | −0.019175 | −0.019232 | −0.019175 | −0.019232 | −0.019175 | −0.019232 |

PROB * | 0 | 0 | 0 | 0 | 0 | 0 | |

Crisis | COEF | −0.354293 | −0.357651 | −0.354293 | −0.357651 | −0.354293 | −0.357651 |

PROB * | 0 | 0 | 0.0018 | 0.0017 | 0.0013 | 0.0016 | |

Period included | 14 | 14 | 14 | 14 | 14 | 14 | |

Cross-Section included | 47 | 47 | 47 | 47 | 47 | 47 | |

Total Panel Obs | 584 | 584 | 584 | 584 | 584 | 584 | |

R-squared | 0.6718 | 0.612885 | 0.6718 | 0.612885 | 0.6718 | 0.612885 | |

Time effect | None | None | None | None | None | None | |

Cross-Section effect | Random | Fixed | Random | Fixed | Random | Fixed | |

Coef. covariance method | Ordinary | Ordinary | White period | White period | Period SUR | Period SUR |

## 7. Conclusions

## Author Contributions

## Funding

## Institutional Review Board Statement

## Informed Consent Statement

## Data Availability Statement

## Conflicts of Interest

## References

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No | Entities | No | Entities | No | Entities |
---|---|---|---|---|---|

1 | OTE | 17 | CENE | 33 | ENTERSOFT |

2 | AEGEAN | 18 | GR. PLASTICS | 34 | PLAISIO |

3 | OPAP | 19 | QUEST | 35 | IKTINOS |

4 | POWER CORP. | 20 | COCA COLA | 36 | INTRACOM HOL |

5 | JUMBO | 21 | AUTOHELLAS | 37 | BRIQ |

6 | MYTILINEOS | 22 | ELLAKTOR | 38 | PROFSYSTEM |

7 | HEL. PETRELEUM | 23 | THE SPORT | 39 | PAPOUTSANIS |

8 | TERNA ENERGY | 24 | KRIKRI | 40 | TECH. OLYMPIC |

9 | MOTOROIL | 25 | ATHEX | 41 | INTRACOM |

10 | LAMDA DEV. | 26 | FOURLIS | 42 | ALUMIL |

11 | VIOHALCO | 27 | THRACE PLASTICS | 43 | LOULIS MILLS |

12 | TITAN | 28 | IASO CLINIC | 44 | PETROPOULOS |

13 | GEK TERNA | 29 | THES. WATER | 45 | ELTON |

14 | EYDAP | 30 | ATH. MEDICAL | 46 | SPACE |

15 | SARANTIS | 31 | AVAX | 47 | INFORM |

16 | PIR. PORT | 32 | FLEXOPACK | 48 | ASCOMP |

49 | CENTRIC |

DER | Ln_Size | Ln_TA_ECB | 10_YBY | EPS | ROA | ROE | Q_ratio | |
---|---|---|---|---|---|---|---|---|

Mean | 1.049658 | 973.2439 | 2.675441 | 8.451733 | 0.248320 | 0.054722 | 0.083367 | 0.645047 |

Std. Dev | 6.211510 | 2057.763 | 1.170617 | 7.842741 | 0.715923 | 0.357453 | 0.231941 | 0.799867 |

Skewness | 24.72504 | 3.751930 | 0.513012 | 2.641242 | −1.227462 | 23.70665 | 9.751106 | 5.059916 |

Kurtosis | 624.0049 | 19.93701 | 2.107303 | 9.524240 | 31.34942 | 592.0150 | 169.4886 | 44.14927 |

Jarque-Bera | 10,527,005 | 9480.073 | 56.64498 | 2158.154 | 22,975.69 | 9,617,182 | 787,937.1 | 49,530.65 |

Probability | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 |

Observations | 651 | 663 | 735 | 735 | 681 | 661 | 673 | 662 |

DER | ln_Size | ln_TA_ECB | 10_YBY | EPS | ROA | ROE | Q_Ratio | |
---|---|---|---|---|---|---|---|---|

DER | 1.000.000 | |||||||

ln_size | 0.160397 | 1.000000 | ||||||

lnTA_ECB | 0.107924 | 0.002189 | 1.000000 | |||||

10_YBY | −0.033572 | −0.065761 | −0.113151 | 1.000000 | ||||

EPS | −0.084126 | 0.244443 | −0.008792 | −0.082069 | ||||

ROA | −0.205962 | 0.183864 | −0.092181 | −0.094052 | 0.531957 | 1.000000 | ||

ROE | −0.146290 | 0.299990 | −0.137695 | −0.106633 | 0.663813 | 0.837003 | 1.000000 | |

Q_ratio | −0.247562 | 0.216890 | −0.147470 | −0.169170 | 0.327863 | 0.669526 | 0.644679 | 1.000000 |

EPS | ROE | |||||||
---|---|---|---|---|---|---|---|---|

Method | Statistic | Prob. * | Cross-Sections | Obs | Statistic | Prob. * | Cross-Sections | Obs |

Levin, Lin & Chu t | 67.9947 | 1.0000 | 49 | 632 | −17.7175 | 0.0000 | 48 | 622 |

Im. Pesaran and Shin W-stat | 4.74459 | 1.0000 | 48 | 629 | −7.40125 | 0.0000 | 47 | 619 |

ADF—Fisher Chi-square | 160.011 | 0.0001 | 49 | 632 | 184.716 | 0.0000 | 48 | 622 |

PP—Fisher Chi-square | 176.983 | 0.0000 | 49 | 632 | 197.234 | 0.0000 | 48 | 622 |

ROA | Q_ratio | |||||||

Method | Statistic | Prob. * | Cross-Sections | Obs | Statistic | Prob. * | Cross-Sections | Obs |

Levin, Lin & Chu t | −8.37233 | 0.0000 | 47 | 612 | −11.6131 | 0.0000 | 47 | 613 |

Im. Pesaran and Shin W-stat | −5.84394 | 0.0000 | 46 | 609 | −5.33958 | 0.0000 | 46 | 610 |

ADF—Fisher Chi-square | 178.064 | 0.0000 | 47 | 612 | 149.623 | 0.0002 | 47 | 613 |

PP—Fisher Chi-square | 187.007 | 0.0000 | 47 | 612 | 192.087 | 0.0000 | 47 | 613 |

DER | ln_size | |||||||

Method | Statistic | Prob. * | Cross-Sections | Obs | Statistic | Prob. * | Cross-Sections | Obs |

Levin, Lin & Chu t | −188.082 | 0.0000 | 46 | 593 | −4.00048 | 0.0000 | 47 | 612 |

Im. Pesaran and Shin W-stat | −54.6483 | 0.0000 | 46 | 593 | −1.59376 | 0.0555 | 46 | 609 |

ADF—Fisher Chi-square | 147.055 | 0.0002 | 46 | 593 | 108.074 | 0.1521 | 47 | 612 |

PP—Fisher Chi-square | 169.130 | 0.0000 | 46 | 593 | 131.877 | 0.0061 | 47 | 612 |

ln_TA_ECB | 10_YBY | |||||||

Method | Statistic | Prob. * | Cross-Sections | Obs | Statistic | Prob. * | Cross-Sections | Obs |

Levin, Lin & Chu t | 1.47529 | 0.9299 | 49 | 686 | −11.8426 | 0.0000 | 49 | 686 |

Im. Pesaran and Shin W-stat | 8.78931 | 1.0000 | 49 | 686 | −6.20215 | 0.0000 | 49 | 686 |

ADF—Fisher Chi-square | 9.85204 | 1.0000 | 49 | 686 | 176.774 | 0.0000 | 49 | 686 |

PP—Fisher Chi-square | 6.16776 | 1.0000 | 49 | 686 | 178.480 | 0.0000 | 49 | 686 |

D(ln_TA_EBC) | D(ln_Size) | |||||||
---|---|---|---|---|---|---|---|---|

Method | Statistic | Prob. * | Cross-Sections | Obs | Statistic | Prob. * | Cross-Sections | Obs |

Levin, Lin & Chu t | −26.1842 | 0.0000 | 49 | 588 | −12.4099 | 0.0000 | 44 | 505 |

Im. Pesaran and Shin W-stat | −15.6643 | 0.0000 | 49 | 588 | −9.39500 | 0.0000 | 44 | 505 |

ADF—Fisher Chi-square | 415.753 | 0.0000 | 49 | 588 | 264.268 | 0.0000 | 44 | 505 |

PP—Fisher Chi-square | 197.000 | 0.0000 | 49 | 637 | 422.061 | 0.0000 | 44 | 551 |

Correlated Random Effects—Hausman Test | |||||||||
---|---|---|---|---|---|---|---|---|---|

Equation: EQEPS | Equation: EQROE | ||||||||

Test Cross-Section Random Effects | Test Cross-Section Random Effects | ||||||||

Test Summary | Chi-Sq. | Statistic | Chi-Sq. d.f. | Prob. * | Test Summary | Chi-Sq. | Statistic | Chi-Sq. d.f. | Prob. * |

Cross-section random | 6.727611 | 5 | 0.2417 | Cross-section random | 0.560475 | 5 | 0.9897 | ||

Variable | Fixed | Random | Var(Diff.) | Prob. | Variable | Fixed | Random | Var(Diff.) | Prob. |

DER | −0.21389 | −0.177232 | 0.000473 | 0.0919 | DER | −0.028541 | −0.02913 | 0.000011 | 0.8583 |

D(ln_size) | 0.138647 | 0.138839 | 0.000012 | 0.9551 | D(ln_size) | 0.039625 | 0.039589 | 0.000000 | 0.9398 |

D(ln_TA_ECB) | 0.387494 | 0.393170 | 0.000045 | 0.3961 | D(ln_TA_ECB) | 0.086578 | 0.086936 | 0.000001 | 0.7066 |

10_YBY | −0.00807 | −0.008269 | 0.000000 | 0.2877 | 10_YBY | −0.003384 | −0.00338 | 0.000000 | 0.9664 |

crisis | −0.10012 | −0.094122 | 0.000020 | 0.1801 | crisis | −0.080290 | −0.07988 | 0.000000 | 0.5200 |

Equation: QROA | Equation: EQQ_Ratio | ||||||||

Test Cross-Section Random Effects | Test Cross-Section Random Effects | ||||||||

Test Summary | Chi-Sq. | Statistic | Chi-Sq. d.f. | Prob. * | Test Summary | Chi-Sq. | Statistic | Chi-Sq. d.f. | Prob. * |

Cross-section random | 22.591725 | 5 | 0.0004 | Cross-section random | 3.810531 | 5 | 0.5770 | ||

Variable | Fixed | Random | Var(Diff.) | Prob. | Variable | Fixed | Random | Var(Diff.) | Prob. |

DER | −0.12054 | −0.003533 | 0.000622 | 0.0000 | DER | −0.142412 | −0.16036 | 0.00173 | 0.1721 |

D(ln_size) | 0.000447 | −0.000052 | 0.000031 | 0.9284 | D(ln_size) | 0.302538 | 0.302626 | 0.000004 | 0.9636 |

D(ln_TA_ECB) | −0.03036 | −0.037446 | 0.000091 | 0.4566 | D(ln_TA_ECB) | 0.207779 | 0.208225 | 0.000015 | 0.9086 |

10_YBY | −0.00116 | −0.001016 | 0.000000 | 0.5312 | 10_YBY | −0.019232 | −0.01918 | 0.000000 | 0.6069 |

crisis | −0.05833 | −0.066438 | 0.000036 | 0.1750 | crisis | −0.357651 | −0.35429 | 0.000007 | 0.2035 |

WALDEPS | WALDROE | ROA | WALDQ_Ratio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|

Test Statistic | Value | df | Prob. * | Value | df | Prob. | Value | Df | Prob. * | Value | df | Prob. |

T-stat. | 33.3125 | 531 | 0.0000 | 50.23408 | 529 | 0.0000 | 9.25738 | 518 | 0.0000 | 79.59503 | 531 | 0.000 |

F-stat. | 1109.72 | (1.531) | 0.0000 | 2523.463 | (1.529) | 0.0000 | 85.699 | (1.518) | 0.0000 | 6335.370 | (1.531) | 0.000 |

Chi-square | 1109.72 | 1 | 0.0000 | 2523.463 | 1 | 0.0000 | 85.699 | 1 | 0.0000 | 6335.370 | 1 | 0.000 |

Null Hypothesis: C(1) = −0.5 | ||||||||||||

Null Hypothesis Summary: | ||||||||||||

Normalized Restriction (=0) | Value | Std. Err. | Value | Std. Err. | Value | Std. Err. | Value | Std. Err. | ||||

0.5 + C(1) | 1.2494 | 0.03751 | 1.25655 | 0.02501 | 0.4026 | 0.043490 | 1.220724 | 0.01534 |

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© 2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).

## Share and Cite

**MDPI and ACS Style**

Basdekis, C.; Christopoulos, A.; Gakias, E.; Katsampoxakis, I.
The Effect of ECB Unconventional Monetary Policy on Firms’ Performance during the Global Financial Crisis. *J. Risk Financial Manag.* **2023**, *16*, 258.
https://doi.org/10.3390/jrfm16050258

**AMA Style**

Basdekis C, Christopoulos A, Gakias E, Katsampoxakis I.
The Effect of ECB Unconventional Monetary Policy on Firms’ Performance during the Global Financial Crisis. *Journal of Risk and Financial Management*. 2023; 16(5):258.
https://doi.org/10.3390/jrfm16050258

**Chicago/Turabian Style**

Basdekis, Charalampos, Apostolos Christopoulos, Evgenios Gakias, and Ioannis Katsampoxakis.
2023. "The Effect of ECB Unconventional Monetary Policy on Firms’ Performance during the Global Financial Crisis" *Journal of Risk and Financial Management* 16, no. 5: 258.
https://doi.org/10.3390/jrfm16050258