Электронная библиотека
Зарубежный опыт построения систем индикаторов банковских кризисов
Киселев В.Ю., Чичканов Н.Ю.
|
|
||
1 |
Макроэкономические риски и риски глобализацииВведение. Задачи и основные элементы систем раннего оповещения о банковских кризисах | |
2 |
Эмпирическое определение банковского кризиса | |
3 |
Таблица 1. Основные элементы системы индикаторов банковских кризисовТаблица 2. Подходы к эмпирическому определению банковского кризиса в различных исследованиях | |
5 |
Таблица 3. Сравнение классификаций банковских кризисовДанные для системы индикаторов | |
7 |
Выборка показателей для индикаторов и трансформация переменных | |
8 |
Таблица 4. Основные группы показателей, используемых при построении EWS | |
10 |
Модели построения EWS | |
12 |
Критерии оптимизации сигналов, анализ робастности и вневыборочное тестирование EWS | |
14 |
Рис. 2. Возможные исходы прогнозирования кризисаТаблица 5. Методы оптимизации пороговых значений сигналов | |
16 |
Рис. 3. Сравнение кривых ошибок при изменении пороговых значений индикаторов EWSЗаключение | |
17 |
Рис. 4. Сравнение функций потерь регулятора при изменении пороговых значений индикаторов EWSЛитература |
1. Alessi L., Detken C. (2011). «Quasi real time early warning indicators for costly asset price boom / bust cycles: a role for global liquidity». Euro-pean Journal of Political Economy, Vol. 27, pp. 520–533.
2. Asanovic Z. (2013). «Early warning model for systemic banking crises in Montenegro». Economic and Business Review, Vol. 15, No. 2, pp. 135–149.
3. Babecky J. et al. (2014). «Banking, debt, and currency crises in developed countries: stylized facts and early warning indicators». Journal of Fi-nancial Stability, Vol. 15, pp. 1–17.
4. Barrell R., Davis E.P., Karim D., Liadze I. (2010). «Bank regulation, property prices and early warning systems for banking crises in OECD coun-tries». Journal of Banking and Finance, Vol. 34, pp. 2255–2264.
5. Basel Committee on Banking Supervision. Guidance for National Authorities Operating the Countercyclical Capital Buffer. — Подробнее .
6. Behn M., Detken C., Peltonen T.A., Schudel W. (2013). Setting Countercyclical Capital Buffers Based on Early Warning Models. Would It Work. — Подробнее .
7. Berg A., Borensztein E., Pattillo C. (2005). «Assessing early warning systems: how have they worked in practice?» IMF Staff Papers, Vol. 52, No. 3, pp. 462–502.
8. Bongini P., Claessens S., Ferri G. (1999). «The political economy of distress in East Asian financial institutions». Journal of Financial Services Re-search, Vol. 19, No. 1, pp. 5–25.
9. Bordo M.D., Dueker M.J., Wheelok D.C. (2001). Aggregate Price Shocks and Financial Instability: a Historical Analysis. — Подробнее .
10. Borio C., Drehmann M. (2009). «Assessing the risk of banking crises-revisited». BIS Quarterly Review, March, pp. 29–46.
11. Borio C., Lowe P. (2002). «Assessing the risk of banking crises». BIS Quarterly Review, December, pp. 43–54.
12. Borio C., Lowe P. (2002). Asset Prices, Financial and Monetary Stability: Exploring the Nexus. — Подробнее .
13. Boudebbous T., Chichti J.E. (2013). «Determinants of systemic banking crises in the countries of Central and Eastern Europe». Journal of Busi-ness Studies Quarterly, Vol. 5, No. 1, pp. 103–124.
14. Bussiere, M., Fratzscher M. (2002). Towards a New Early Warning System of Financial Crises. — Подробнее .
15. Caggiano G., Calice P., Leonida L. (2014). «Early warning systems and systemic banking crises in low income countries: a multinomial logit ap-proach». Journal of Banking and Finance, Vol. 47, pp. 258–269.
16. Caprio G., Klingebiel D. (1996). Bank Insolvencies. Cross-Country Experience. — Подробнее .
17. Caprio G., Klingebiel D., (2003). Episodes of Systemic and Borderline Financial Crises. — Подробнее .
18. Caprio G., Klingebiel D., Laeven L., Noguera G. (2005). «Banking crisis database». In: Honohan P., Laeven L. (Eds.). Systemic Financial Crises. Cambridge: Cambridge University Press.
19. Chamon M., Manasse P., Prati A. (2007). «Can we predict the next capital account crisis?» IMF Staff Papers, Vol. 54, No. 2, pp. 270–305.
20. Davis E.P., Karim D. (2008). «Comparing early warning systems for banking crisis». Journal of Financial Stability, Vol. 4, pp. 89–120.
21. Davis E., Karim D. (2008). «Could early warning systems have helped to predict the sub-prime crisis?» National Institute Economic Review, Vol. 206, pp. 35–47.
22. Davis E.P., Karim D., Liadze I. (2011). «Should multivariate early warning systems for banking crises pool across regions?» Review of World Eco-nomics, Vol. 147, No. 4, pp. 693–716.
23. Demirguc-Kunt A., Detragiache E. (2005). «Cross-country empirical studies of systemic bank distress: a survey». National Institute Economic Review, Vol. 192, pp. 68–83.
24. Demirg??-Kunt A., Detragiache E. (2000). «Monitoring banking sector fragility. A multivariate logit». The World Bank Economic Review, Vol. 14, No. 2, pp. 287–307.
25. Demirg??-Kunt A., Detragiache E. (1998). «The determinants of banking crises in developed and developing countries». IMF Staff Papers, Vol. 45, No. 1 pp. 81–109.
26. Detken C. et al. (2014). Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options. — Подробнее .
27. Duttagupta R., Cashin P. (2011). «Anatomy of banking crises in developing and emerging market countries». Journal of International Money and Finance, Vol. 30, No. 2, pp. 354–376.
28. Duttagupta R., Cashin P. (2008). The Anatomy of Banking Crises. — Подробнее .
29. Eichengreen B., Rose A. (1998). Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises. — Подробнее .
30. Evrensel A. (2008). «Banking crisis and financial structure: a survival-time analysis». International Review of Economics and Finance, Vol. 17, pp. 589–602.
31. Frankel J., Saravelos G. (2012). «Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis». Journal of International Economics, Vol. 87, pp. 216–231.
32. Ghosh S., Ghosh A. (2002). Structural Vulnerability and Currency Crises. — Подробнее .
33. Glick R., Hutchison M. (2001). «Banking and currency crises: how common are the twins?» In: Glick R., Moreno R., Spiegel M. (Eds.). Financial Crises in Emerging Markets. Cambridge: Cambridge University Press.
34. Hahm J.-H., Shin H.S., Shin K. (2011). « Non-core bank liabilities and financial vulnerability». Journal of Money, Credit and Banking, Vol. 45, No. 1, pp. 3–36.
35. Hanschel E., Monnin P. (2005). «Measuring and forecasting stress in the banking sector: evidence from Switzerland». BIS Working Paper, No. 22, pp. 431–449.
36. Hardy D., Pazarbasioglu C. (1998). Leading Indicators of Banking Crises: Was Asia Different? — Подробнее .
37. Hawkins J., Klau M. (2000). Measuring Potential Vulnerabilities in Emerging Market Economies. — Подробнее .
38. Herrala R. (1999). «Banking crises vs depositor crises: the era of the Finnish markka 1865–1998». Scandinavian Economic History Review, Vol. 47, No. 2, pp. 5–22.
39. Hoggarth G., Reis R., Saporta V. (2002). «Costs of banking system instability: some empirical evidence». Journal of Banking and Finance, Vol. 26, No. 5, pp. 825–855.
40. Hosni K. (2014). «Early warning indicators for systemic banking crises». Journal of Business Studies Quarterly, Vol. 5, No. 4, pp. 222–244.
41. Ho T. (2004). How Useful are Regime-Switching Models in Banking Crises Identification. — Подробнее .
42. Illing M., Liu Y. (2003). An Index of Financial Stress for Canada. — Подробнее .
43. Illing M., Liu Y. (2006). «Measuring financial stress in a developed country: an application to Canada». Journal of Financial Stability, Vol. 2, No. 3, pp. 243–65.
44. Jahn N., Kick T. (2012). Early Warning Indicators for the German Banking System: a Macroprudential Analysis. — Подробнее .
45. Kalatie S., Laakkonen H., T?l? E. (2015). Indicators Used in Setting the Countercyclical Capital Buffer. — Подробнее .
46. Kaminsky G. (1999). Currency and Banking Crises: the Early Warnings of Distress. — Подробнее .
47. Kaminsky G., Lizondo S., Reinhart C. (1998). Leading Indicators of Currency Crisis. — Подробнее .
48. Kaminsky G., Reinhart C. (1998). «Financial crisis in Asia and Latin America: then and now». The American Economic Review, Vol. 88, No. 2, pp. 444–448.
49. Kaminsky G., Reinhart C. (1999). «The twin crises: the causes of banking and balance-of-payments problems». American Economic Review, Vol. 89, pp. 473–500.
50. Kauko K. (2014). «How to foresee banking crises? A survey of the empirical literature». Economic Systems, Vol. 38, pp. 289–308.
51. Laeven L., Valencia F. (2010). Resolution of Banking Crises: the Good, the Bad, and the Ugly. — Подробнее .
52. Laeven L.,Valencia F. (2008). Systemic Banking Crises: a New Database. — Подробнее .
53. Laeven L., Valencia F. (2012). Systemic Banking Crises Database: an Update. — Подробнее .
54. Laeven L., Valencia F. (2013). «Systemic banking crises database». IMF Economic Review, Vol. 61, No. 2, pp. 225–270.
55. Lo Duca M., Peltonen T. (2013). «Assessing systemic risks and predicting systemic events». Journal of Banking and Finance, Vol. 37, No. 7, pp. 2183–2195.
56. Manasse P., Roubini N. (2009). «Rules of thumb» for sovereign debt crises». Journal of International Economics, Vol. 78, No. 2, pp. 192–205.
57. Mulder C., Perrelli R., Rocha M. (2002). The Role of Corporate, Legal and Macroeconomics Balance Sheet Indicators in Crisis Detection and Preven-tion. — Подробнее .
58. Puddu S. (2012). Optimal Weights and Stress Banking Indexes. — Подробнее .
59. Reinhart C.M., Rogoff K.S. (2013). «Banking crises: an equal opportunity menace». Journal of Banking and Finance, Vol. 37, pp. 4557–4573.
60. Rossi M. (1999). Financial Fragility and Economic Performance in Developing Economies: Do Capital Controls, Prudential Regulation and Supervi-sion Matter? — Подробнее .
61. Tamola A. (2004). A Financial Stress Index to Identify Banking Crises. — Подробнее .
62. Van den Berg J., Candelon B., Urbain J. (2008). «A cautious note on the use of panel models to predict financial crises». Economics Letters, Vol. 101, pp. 80–83.
63. Von Hagen J., Ho T.-K. (2007). «Money market pressure and the determinants of banking crises». Journal of Money, Credit and Banking, Vol. 39, No. 5, pp. 1037–1066.
Киселев Вадим Юрьевич
Главный экономист департамента банковского надзора Банка России. г. Москва
Чичканов Николай Юрьевич
Стажер-исследователь департамента финансов факультета экономических наук НИУ ВШЭ. г. Москва