Systemic Early Warning Systems for Eu15 Based on the 2008 Crisis

Papadopoulos, Savas; Stavroulias, Pantelis; Sager, Thomas W.

doi:10.2139/ssrn.4185896

Cited by 5 publications

(3 citation statements)

References 24 publications

(21 reference statements)

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“…(g) Systemic liquidity risk (SYSTEMIC_LIQ_RISK) as a measure of systemic risk. This is consistent with the approaches described in Malandrakis (2014) 8 and Papadopoulos et al (2016). 9 Systemic liquidity risk is represented by a dummy variable, which takes values 0 (no-systemic liquidity risk) before 2010 and 1 (systemic liquidity risk exists) after 2010.…”

Section: Methodssupporting

confidence: 71%

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence from Greece

2019

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Section: Methodssupporting

confidence: 71%

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence from Greece

2019

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“…For the EU composition of the sample, we take into account the empirical evidence presented in the literature (Babecký et al, 2014; Davis & Karim, 2008) which indicates that the performance of an early warning system to anticipate financial stress episodes improves when the sample consists of homogeneous countries (including with similar institutional characteristics). In addition, Papadopoulos et al (2016) show that although EWS studies using global samples benefit from more data, the potential for predictive power would be lower for them than for research targeting homogeneous groups of countries.…”

Section: Datamentioning

confidence: 99%

“…2626Peduzzi et al (1996) argue that in cases where there are less than 10 events per variable, the coefficients of the regressions could be biased. However, Papadopoulos et al (2016) indicate that at least six events per independent variable can be considered fairly reliable for robust standard errors.…”

mentioning

confidence: 99%

What is the optimal capital ratio implying a stable European banking system?

Jakubik,

Moinescu

2023

International Finance

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This paper aims to determine the ‘new normal’ for banking stability in terms of capital adequacy, reviewing the incidence of banking stress episodes by lagged solvency ratios, based on the experience at the European level after the global financial crisis. We provide rating ladders for both risk‐weighted solvency ratios and a simple gearing (leverage) ratio for time horizons of up to 3 years using well‐known credit risk scoring procedures. Our findings empirically confirm that the recent dual metric structure of the capital adequacy framework is conducive to enhancing the accuracy of banking stability assessment. Specifically, our empirical analysis suggests that both tier 1 capital ratio and leverage ratio generally remain statistically significant in multivariate combinations for crisis probability measurement purposes. Robustness checks with well‐established macrofinancial indicators as control variables suggest that this tandem is hardly replaceable in multivariate early warning systems by combinations of macroimbalance and financial soundness indicators traditionally employed as leading factors of banking crises. Moreover, the pandemic period provides meaningful evidence that robust capital positions, in line with our estimate, have so far been ‘part of the solution’ for dealing with systemic events.

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