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:
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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