Causes of banking crises: Deregulation, credit booms and asset bubbles, then and now

Roy, Saktinil; Kemme, David M.

doi:10.1016/j.iref.2012.04.001

Cited by 66 publications

(36 citation statements)

References 32 publications

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“…Using partially modified type (2) models leads to even lower QPS and LPS indicators but not necessarily to better performance in terms of other indicators. The "usefulness" of the models is not huge when assessed under benchmark threshold probability (0.5) due to the small number of signals issued (as pointed out in the work of Roy and Kemme (2012), such an outcome is typical for this approach), although it is still positive. As could be expected, re-estimating all the coefficients substantially improves the models' performance.…”

Section: Variable/coefficient [P-values In Brackets]mentioning

confidence: 97%

“…Next we simulate the models and calculate the formal performance indicators. We do this for the optimized probability threshold as well as for the benchmark threshold probability (0.5) as recommended in the work of Roy and Kemme (2012). As in Gerdesmeier et al's (2010) study we also report the quadratic probability score (QPS) and log probability score (LPS) to assess the goodness of fit of the models.…”

Section: Variable/coefficient [P-values In Brackets]mentioning

confidence: 99%

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Early warning indicators of asset price boom/bust cycles in emerging markets

Ponomarenko

2013

Emerging Markets Review

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We apply recently developed early warning indicator systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset prices, real activity and financial indicators is generally found to be efficacious. We also find that, in addition to this set of variables, early warning indicator systems for emerging countries may be augmented with capital flow indicators.

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Section: Variable/coefficient [P-values In Brackets]mentioning

confidence: 97%

Section: Variable/coefficient [P-values In Brackets]mentioning

confidence: 99%

Early warning indicators of asset price boom/bust cycles in emerging markets

Ponomarenko

2013

Emerging Markets Review

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“…Some borrowers spend on imported goods. Banks’ lending policies affect house prices, which have been found to Granger‐cause current account deficits (Roy and Kemme, ). V = F ( L ) + x , where F is the foreign debt per bank if there is no exogenous shock and x is an exogenous shock.…”

Section: An Indebted Open Economymentioning

confidence: 99%

A Short Note on the Net Stable Funding Ratio Requirement with Endogenous Money

Kauko

2016

Economic Notes

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The Net Stable Funding Ratio (NSFR) regulation stipulates that banks’ available stable funding shall be at least equal to the required stable funding. This should reduce banks’ liquidity risks. In the current monetary system, deposit money is created by lending, but the NSFR requirement restricts the possibilities to grant loans, limiting the availability of stable funding. In a closed economy, this contradiction poses no macroeconomic problems. However, the outcome may be unstable if there is a substantial amount of foreign debt financed via the international interbank market; a minor shock can have a drastic impact on loan and deposit stocks.

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“…A vast amount of research points to credit expansion as a major determinant of booms and busts in housing markets (Agnello & Schuknecht, 2011;Mian & Sufi, 2009), an increased probability of a banking crisis (Bordo & Meissner, 2012;Roy & Kemme, 2012), and heightened vulnerability of the economy to global downturns (Feldkircher, 2014). A vast amount of research points to credit expansion as a major determinant of booms and busts in housing markets (Agnello & Schuknecht, 2011;Mian & Sufi, 2009), an increased probability of a banking crisis (Bordo & Meissner, 2012;Roy & Kemme, 2012), and heightened vulnerability of the economy to global downturns (Feldkircher, 2014).…”

Section: Introductionmentioning

confidence: 99%

“…Since the beginning of the global financial crisis, a great deal of attention has been paid to lending booms. A vast amount of research points to credit expansion as a major determinant of booms and busts in housing markets (Agnello & Schuknecht, 2011;Mian & Sufi, 2009), an increased probability of a banking crisis (Bordo & Meissner, 2012;Roy & Kemme, 2012), and heightened vulnerability of the economy to global downturns (Feldkircher, 2014). As a corollary, factors inducing excessive credit growth deserve particular attention.…”

Section: Introductionmentioning

confidence: 99%

Economic, institutional, and socio‐cultural determinants of consumer credit in the context of monetary integration

Borowski

Jaworski

Olipra

2018

International Finance

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We investigated the determinants of consumer credit in relation to nominal GDP in 23 EU countries using panel regressions for 1997–2014. Our contribution to existing research is evidence that both higher density of bank units and greater concentration of the banking sector lead to higher consumer lending. Our results show that the consumer credit to GDP ratio decreases when banking supervision becomes a part of a politically independent central bank. This signals that access to consumer credit is more difficult when supervision is independent from government. Finally, we find that joining the Eurozone boosts consumer lending. This result is consistent with the permanent income hypothesis, which states that households’ current consumption is determined not only by their current income but also by the income that they expect to earn. Our results can be used to increase the effectiveness of macroprudential policy in avoiding consumer lending booms and ensuring financial stability.

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Causes of banking crises: Deregulation, credit booms and asset bubbles, then and now

Cited by 66 publications

References 32 publications

Early warning indicators of asset price boom/bust cycles in emerging markets

Early warning indicators of asset price boom/bust cycles in emerging markets

A Short Note on the Net Stable Funding Ratio Requirement with Endogenous Money

Economic, institutional, and socio‐cultural determinants of consumer credit in the context of monetary integration

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