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    Essays on Systemic Banking Crises and Bank Regulation


    Wosser, Michael (2016) Essays on Systemic Banking Crises and Bank Regulation. PhD thesis, National University of Ireland Maynooth.

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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 deposit insurance remain statistically significant crisis determinants in the long run but that variables such as real-interest rates and inflation are not reported as systemic banking crisis determinants when estimated over a full business cycle. When studies such as these are conducted we find that the choice of panel time-span is highly relevant. 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 yield 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: Thesis (PhD)
    Keywords: Systemic Banking Crises; Bank Regulation;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 7555
    Depositing User: IR eTheses
    Date Deposited: 19 Oct 2016 16:04
    URI:

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