跨境债权和银行危机:小型开放经济体的预警系统

D. Dieckelmann
{"title":"跨境债权和银行危机:小型开放经济体的预警系统","authors":"D. Dieckelmann","doi":"10.2139/ssrn.3374490","DOIUrl":null,"url":null,"abstract":"This paper presents an early warning system for predicting banking crises specifically tailored to developed small open economies. The model considers two sources of financial instability: Domestic macro-financial imbalances and exposure to foreign banking systems with high crisis risk. Exposure of small open economies is measured by their total cross-border bank claims against foreign countries relative to GDP and weighted by the domestic risk of banking crisis in the foreign economies. A combined system that captures both national and foreign-induced risks outperforms conventional domestic early warning models. Further, the system correctly predicts crisis incidence out-of-sample for every small open economy in the sample prior to the Global Financial Crisis. Low banking exposure to highly leveraged foreign economies explains the resilience of many small open economies during the recent crisis.","PeriodicalId":344099,"journal":{"name":"ERN: Banking & Monetary Policy (Topic)","volume":"132 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Cross-Border Claims and Banking Crises: An Early Warning System for Small Open Economies\",\"authors\":\"D. Dieckelmann\",\"doi\":\"10.2139/ssrn.3374490\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents an early warning system for predicting banking crises specifically tailored to developed small open economies. The model considers two sources of financial instability: Domestic macro-financial imbalances and exposure to foreign banking systems with high crisis risk. Exposure of small open economies is measured by their total cross-border bank claims against foreign countries relative to GDP and weighted by the domestic risk of banking crisis in the foreign economies. A combined system that captures both national and foreign-induced risks outperforms conventional domestic early warning models. Further, the system correctly predicts crisis incidence out-of-sample for every small open economy in the sample prior to the Global Financial Crisis. Low banking exposure to highly leveraged foreign economies explains the resilience of many small open economies during the recent crisis.\",\"PeriodicalId\":344099,\"journal\":{\"name\":\"ERN: Banking & Monetary Policy (Topic)\",\"volume\":\"132 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-05-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Banking & Monetary Policy (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3374490\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Banking & Monetary Policy (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3374490","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

本文提出了一个专门针对发达小型开放经济体的银行危机预警系统。该模型考虑了金融不稳定的两个来源:国内宏观金融失衡和对具有高危机风险的外国银行体系的敞口。小型开放经济体的风险敞口是通过其对外国的跨境银行债权总额相对于GDP来衡量的,并以外国经济体的银行危机的国内风险来加权。一个既能捕捉国内风险又能捕捉国外风险的综合系统比传统的国内预警模型要好。此外,该系统正确预测了全球金融危机前样本中每个小型开放经济体的样本外危机发生率。银行业对高杠杆外国经济体的敞口较低,解释了为何许多小型开放经济体在最近的危机中表现出弹性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Cross-Border Claims and Banking Crises: An Early Warning System for Small Open Economies
This paper presents an early warning system for predicting banking crises specifically tailored to developed small open economies. The model considers two sources of financial instability: Domestic macro-financial imbalances and exposure to foreign banking systems with high crisis risk. Exposure of small open economies is measured by their total cross-border bank claims against foreign countries relative to GDP and weighted by the domestic risk of banking crisis in the foreign economies. A combined system that captures both national and foreign-induced risks outperforms conventional domestic early warning models. Further, the system correctly predicts crisis incidence out-of-sample for every small open economy in the sample prior to the Global Financial Crisis. Low banking exposure to highly leveraged foreign economies explains the resilience of many small open economies during the recent crisis.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
期刊最新文献
Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking A Tiering Rule to Balance the Impact of Negative Policy Rates on Banks Optimal Monetary Policy Mix at the Zero Lower Bound The Impacts of Monetary Policy on Banks' Loan Portfolio Risk-taking The Incredible Upside-Down Fixed-Income Market - Negative Interest Rates and Their Implications
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1