A New Database for Financial Crises in European Countries: ECB/ESRB EU Crises Database

The relationship between excessive lending, risk premium and risk‐taking: Evidence from European banks

“…3 3 Broadly speaking, the crisis began in the summer of 2007 in the United States when the asset‐backed commercial paper (ABCP) market froze in August 2007, the third quarter of 2007 (Cornett et al, 2011; Ivashina & Scharfstein, 2010). This is also in line with the new European Systemic Risk Board crisis data set (Lo Duca et al, 2017; European Crisis Database of the European Central Bank) which suggests that the systemic crises and severe episodes began to materialise between 2007 and 2008 in countries highly exposed to external shocks and the U.S. housing market which then affected banking systems in connection to the European banking between 2008 and 2009. Nonetheless, we are guided by similar studies in the literature that use yearly observations panel data for European countries and they specify the year 2008 as the cut‐off year for the period before and after the crisis (Anastasiou, Louri, & Tsionas, 2019; Maudos, 2017).…”

The Scarring Effects of Deep Contractions

“…To gain a better intuition about the circumstances surrounding severe contractions, we classify these into one of the following four categories: ( 1 We use a combination of simple rules of thumb and judgment to perform this classification. We first ask whether the severe event coincides with either a banking crisis (as defined by the superset of the Laeven and Valencia (2018), Reinhart and Rogoff (2009) and ESRB datasets (see Lo Duca et al (2016)), a substantial monetary policy tightening (as defined by the increase in nominal interest rates during the period) 21 , or an oil price shock (as defined by the 1973-74 and 1978-79 oil price shocks). In the case of multiple potential causes, we examine the published literature and allocate depending on our reading of the dominant driver of the event.…”

Financial Crises, Macroprudential Policy and the Reliability of Credit-to-GDP Gaps

“…These are obtained from three complementary sources. The first one is the ESRB-European Financial Crises database documented in Lo Duca et al (2017). 2 The other ones, which cover also non-European countries, are Laeven and Valencia (2018) and Jordà et al (2017).…”