The macroeconomic sources of systemic risk in the banking sectors of five new EU member states

Festić, Mejra; Kavkler, Alenka; Repina, Sebastijan

doi:10.1016/j.jbankfin.2010.08.007

Cited by 151 publications

(86 citation statements)

References 29 publications

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“…Their key findings were that banking sector development ultimately leads towards the income inequality. Similar findings have been explained by [8].…”

Section: Literature Reviewsupporting

confidence: 90%

Financial Market Development, Bank Risk with Key Indicators and Their Impact on Financial Performance: A Study from Pakistan

Kamran¹,

Chaudhry²,

Murtaza³

et al. 2016

AJIBM

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The regulatory outcomes and how the various banks are operating in the economy have their significant impact on the overall banking system and in determining the firmness of financial structure. In the current study analysis, we have conducted this work to examine the relationship between the financial market development, bank risks with key indicators and their ultimate impact on financial performance in the banking sector of Pakistan from 2003 to 2011. For this purpose, panel data analysis has been performed and both the firm specific and country specific factors have been considered. The bank risk is analyzed in two dimensions of bank risk: first is capitalization ratio that measures the total amount of debt in company's capital structure (banks behavior) and second one is TEIR-I capital ratio which is the proxy used to compare the present level of risk based assets in firm's balance sheet. A conceptual model has been developed for this purpose and key findings being made. Stock market development and banking sector development is used to measure the financial market development of the economy. Core findings of the study stated that there exists significant relationship between financial market development in banking sector and financial performance with key indicators.

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“…Their key findings were that banking sector development ultimately leads towards the income inequality. Similar findings have been explained by [8].…”

Section: Literature Reviewsupporting

confidence: 90%

Financial Market Development, Bank Risk with Key Indicators and Their Impact on Financial Performance: A Study from Pakistan

Kamran¹,

Chaudhry²,

Murtaza³

et al. 2016

AJIBM

View full text Add to dashboard Cite

show abstract

“…Since macroeconomic conditions may have a strong impact on within as well as cross-country variation in bank risk-taking (Ali and Daly 2010;Bouvatier et al 2014;Castro 2013;Chaibi and Ftiti 2015;Festić et al 2011), we use three variables, GDP Per Capita (log), GDP Growth, and Inflation, to control for variation in macroeconomic conditions. GDP Per Capita (log) is measured as the natural logarithm of the annual gross domestic product per capita, measured in current US dollars.…”

Section: Methodology and Variablesmentioning

confidence: 99%

“…The extant literature has focused on the structure of the banking industry (Boyd and Nicolo 2005;Martinez-Miera and Repullo 2010), banking regulations Haq et al 2014;Haq and RichardHeaney 2012;Rahman et al 2015), macroeconomic indicators such as GDP per capita, GDP growth, and inflation (Ali and Daly 2010;Bouvatier et al 2014;Castro 2013;Chaibi and Ftiti 2015;Festić et al 2011), the level of financial development (Vithessonthi 2014), legal institutions (Cole and Turk 2013;Houston et al 2010), financial openness (Bourgain et al 2012;Cubillas and González 2014), national culture , and political institutions ) as significant determinants of cross-country variation in bank risk-taking. We analyze the impact of trade openness on bank risk-taking behavior and add to this literature.…”

Section: Introductionmentioning

confidence: 99%

Trade Openness and Bank Risk-Taking Behavior: Evidence from Emerging Economies

Ashraf

Arshad

Liang

2017

JRFM

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Abstract:In this paper, we examine the impact of trade openness on bank risk-taking behavior. Using a panel dataset of 291 banks from 37 emerging countries over the period from 1998 to 2012, we find that higher trade openness decreases bank risk-taking. The results are robust when we use alternative bank risk-taking proxies and alternative estimation methods. We argue that trade openness provides diversification opportunities to banks in lending activities, which decrease overall bank risk. Further to this end, we observe that higher trade openness helps domestic banks to smooth out income volatility and decreases the impact of a financial crisis on banks.

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“…The first relationship has been widely corroborated, Festic et al (2011). As noted by Truck and Rachev (2005), a change in the portfolio's default risk is given by either a change in its exposure profile (e.g., debtors moving from high-quality ratings to low-quality ones) or a change in the probability of default (PD) of a given type of debtor.…”

Section: Introductionmentioning

confidence: 94%

Conditional Coverage and Its Role in Determining and Assessing Long-Term Capital Requirements

2014

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We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we state a result that links the concepts of conditional and unconditional solvency and offers an alternative interpretation of the unconditional capital. For the latter, we propose using the minimum of the conditional coverage vector in the determination of long-term capital requirements, as well as using its minimum and its standard deviation in the long-term assessment of a given capital figure. Both applications are illustrated empirically. The entire analysis can be understood as an attempt to recognize and incorporate capital cyclicality into the measurement and analysis of default risk. We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we state a result that links the concepts of conditional and unconditional solvency and offers an alternative interpretation of the unconditional capital. For the latter, we propose using the minimum of the conditional coverage vector in the determination of long-term capital requirements, as well as using its minimum and its standard deviation in the long-term assessment of a given capital figure. Both applications are illustrated empirically. The entire analysis can be understood as an attempt to recognize and incorporate capital cyclicality into the measurement and analysis of default risk. J EL

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The macroeconomic sources of systemic risk in the banking sectors of five new EU member states

Cited by 151 publications

References 29 publications

Financial Market Development, Bank Risk with Key Indicators and Their Impact on Financial Performance: A Study from Pakistan

Financial Market Development, Bank Risk with Key Indicators and Their Impact on Financial Performance: A Study from Pakistan

Trade Openness and Bank Risk-Taking Behavior: Evidence from Emerging Economies

Conditional Coverage and Its Role in Determining and Assessing Long-Term Capital Requirements

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