Banking fragility and distress : an econometric study of macroeconomic determinants

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dc.contributor Suomen Pankki
dc.contributor.author Pesola, Jarmo
dc.date.accessioned 2014-09-22T07:59:08Z
dc.date.available 2014-09-22T07:59:08Z
dc.date.issued 2005
dc.identifier.isbn 952-462-216-5
dc.identifier.issn 1456-6184
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/7885
dc.description.abstract The macroeconomic determinants of banking sector distresses in the Nordic countries, Belgium, Germany, Greece, Spain and the UK are analysed using an econometric model estimated on panel data from partly the early 1980s to 2002.The dependent variable is the ratio of banks' loan losses to lending.In addition to the lagged dependent variable, the explanatory variables include a surprise change in incomes and real interest rates, both variables as a separate cross-product term with lagged aggregate indebtedness.The underlying macroeconomic account that this paper puts forward is that loan losses are basically generated by strong adverse aggregate shocks under high exposure of banks to such shocks.The underlying innovations to income and real interest rates are constructed using published macro-economic forecast for these variables.According to the results, high customer indebtedness combined with adverse macroeconomic surprise shocks to income and real interest rates contributed to the distress in banking sector. Loan losses also display strong autoregressive behaviour which might indicate a feedback effect from loan losses back to macroeconomic level in deep recessions.The results can be used in macro stresstesting the banking sector. Key words: financial fragility, shock, loan loss, banking crisis JEL Classification numbers: G21, E44
dc.format.extent 95 s.
dc.language.iso eng
dc.relation.ispartofseries Bank of Finland Research Discussion Papers
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject makrotalous
dc.subject luottotappiot
dc.subject pankkitoiminta
dc.subject pankkikriisit
dc.subject Suomi
dc.subject Norja
dc.subject luotot
dc.subject häiriöt
dc.subject ekonometria
dc.subject maksuvaikeudet
dc.subject riskit
dc.subject Pohjoismaat
dc.subject Saksa
dc.subject Iso-Britannia
dc.subject Espanja
dc.subject Belgia
dc.subject Kreikka
dc.subject Islanti
dc.subject Ruotsi
dc.subject Tanska
dc.subject kansantaloustiede
dc.subject SP
dc.subject RP
dc.subject RM
dc.title Banking fragility and distress : an econometric study of macroeconomic determinants
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-20140807155
dc.subject.jel G21
dc.subject.jel E44
dc.series.name Bank of Finland Research Discussion Papers
dc.series.year 2005
dc.series.number 13/2005
dc.series.sortingnumber 13
dc.date.publication 1.5.2005
dc.contributor.orgunit Monetary Policy and Research Department

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