Willem Schudel
- 17 March 2015
- WORKING PAPER SERIES - No. 1766Details
- Abstract
- This paper assesses the trends of some main macroeconomic and macro-financial variables across different time horizons related to systemic banking crises. Specifically, by gradually shifting the observation horizon of the same statistical model across time, it observes how these variables are associated with banking crises in the past, present and future. The associations vary considerably when shifting horizons. Domestic house price growth increases the probability of observing a crisis in the future, but its effect disappears when moving closer to a crisis. The inverse holds true for the effect of the global credit gap, while global credit growth consistently and significantly increases the probability of a future banking crisis. Also, banking crises seem to be spatially correlated in the very short run. In all, the results can help policy makers by shedding light on the temporal horizon of the variables they monitor in addition to evaluating their predictive power.
- JEL Code
- C23 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Panel Data Models, Spatio-temporal Models
C51 : Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E51 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Money Supply, Credit, Money Multipliers
G01 : Financial Economics→General→Financial Crises
- 18 August 2014
- WORKING PAPER SERIES - No. 1719Details
- Abstract
- The rapid increase in intra-industry trade (IIT) between the EU15 and Central, Eastern and South-Eastern European (CESEE) countries after the collapse of the Soviet Union indicates a structural change in the nature of trade in CESEE and a new process of transition and real convergence to the EU. Using a product-level trade flows database and employing linear and non-linear panel data specifications, this paper assesses the determinants of intra-industry trade between the EU15 as the main trading block and CESEE, which are further divided into the
- JEL Code
- F14 : International Economics→Trade→Empirical Studies of Trade
F15 : International Economics→Trade→Economic Integration
F10 : International Economics→Trade→General
- 27 November 2013
- FINANCIAL STABILITY REVIEW - ARTICLEFinancial Stability Review Issue 2, 2013Details
- Abstract
- The systemic dimension of the financial crisis has underscored the need for an expanded set of policies to contain systemic risk throughout the financial cycle. Counter-cyclical capital buffers (CCBs) form an integral part of the expanded European macro-prudential toolkit in this respect, with a “time series” focus in that they increase the resilience of the banking sector to shocks arising from financial and economic stress over the cycle and thereby provide a means to attenuate pro-cyclicality inherent in the financial system. To guide the setting of CCBs, the Basel Committee on Banking Supervision (BCBS) has proposed a focus on, inter alia, the deviation of the domestic credit-to-GDP ratio fromits backward-looking trend (also known as the domestic credit-to-GDP gap), given its track record of signalling financial stress well in advance. The Capital Requirements Directive (CRD) IV specifies that other variables should also be taken into consideration in addition to the credit gap. This special feature assesses the usefulness of private sector credit and other macro-financial and banking sector indicators in guiding the setting of CCBs in a multivariate early warning model framework. The analysis shows that in addition to credit variables, other domestic and global financial factors such as equity and house prices, as well as aggregate banking sector balance sheet indicators, help to predict historical periods of financial vulnerabilities in EU Member States. Consequently, policy-makers deciding on CCB measures could benefit from considering a wide range of indicators.
- JEL Code
- G00 : Financial Economics→General→General
- 5 November 2013
- WORKING PAPER SERIES - No. 1604Details
- Abstract
- This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to 2012 Q3. We find that in addition to credit variables, other domestic and global financial factors such as equity and house prices as well as banking sector variables help to predict vulnerable states of the economy in EU Member States. We therefore suggest that policy makers take a broad approach in their analytical models supporting CCB policy measures.
- JEL Code
- G01 : Financial Economics→General→Financial Crises
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation - Network
- Macroprudential Research Network
- 31 January 2013
- OCCASIONAL PAPER SERIES - No. 141Details
- Abstract
- As the current financial crisis has shown, macroeconomic imbalances such as persistent current account and trade deficits, can seriously undermine a country's resilience to economic shocks. Maintaining and enhancing external competitiveness has thus become of increasing concern, particularly to European Union (EU) candidate countries whose economic growth models have been challenged in recent years. Drawing on previous studies, this paper assesses developments in the external competitiveness of EU candidate countries between 1999 and 2011. Taking a broad approach to the issue of competitiveness, the paper considers various indicators of both short and long-term competitiveness, including those related to domestic prices and costs, export performance, and institutional and structural issues. In the context of EU integration, comparisons are drawn with developments in the EU12. We find that, during the pre-crisis period, all candidate countries experienced robust export market growth, but also suffered losses in price and cost competitiveness. In terms of export characteristics, progress has been heterogeneous and also fairly slow when compared with the EU12. All candidate countries have increased their number of export products and trading partners, but only a few have been able to export more complex products. As regards structural issues such as corruption and bureaucratic efficiency, all countries have performed quite poorly with the exception of Iceland.
- JEL Code
- F1 : International Economics→Trade
F43 : International Economics→Macroeconomic Aspects of International Trade and Finance→Economic Growth of Open Economies
O52 : Economic Development, Technological Change, and Growth→Economywide Country Studies→Europe
P22 : Economic Systems→Socialist Systems and Transitional Economies→Prices