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    Long Run Macroeconomic and Sectoral Determinants of Systemic Banking Crises


    Wosser, Michael (2015) Long Run Macroeconomic and Sectoral Determinants of Systemic Banking Crises. Working Paper. National University of Ireland Maynooth. (Unpublished)

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    Abstract

    In a panel comprising 61 countries covering the years 1980-2010 we show that macroeconomic variables such as GDP and real-interest rates lose potency as systemic banking crisis determinants when estimated over a full business cycle and that the choice of panel time-span is of high relevance. Using a shorter panel (1998-2011) involving 75 countries, we show that sectoral variables such as Bank Z-Score, private-credit-to-GDP ratio, bank credit-to-deposit ratio and non-performing loan levels represent an improved model-fit over their macroeconomic-focused counterparts, yielding improved in-sample crisis predictions. Whereas sectoral-centric models may over-estimate the likelihood of systemic banking crises this does not constitute a model weakness if not overlooking embryonic crises is the key objective. Future research is facilitated via the establishment of a control cluster of determinants with both sectoral as well as macroeconomic constituents.

    Item Type: Monograph (Working Paper)
    Keywords: Systemic Banking Crises; Determinants; Sectoral variables; Stability;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 6637
    Depositing User: Ms Sandra Doherty
    Date Deposited: 07 Dec 2015 14:10
    Publisher: National University of Ireland Maynooth
    URI:

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