How well do aggregate bank ratios identify banking problems? /

How well do aggregate bank ratios identify banking problems? /

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Bibliographic Details
Author / Creator:Čihák, Martin, author.
Imprint:[Washington, D.C.?] : International Monetary Fund, ©2007.
Description:1 online resource (40 pages) : illustrations
Language:English
Series:IMF working paper, 2227-8885 ; WP/07/275
IMF working paper ; WP/07/275.
Subject:
Banks and banking -- Econometric models.
Bank examination -- Econometric models.
Banks and banking -- Econometric models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12496390
Hidden Bibliographic Details
Other authors / contributors:Schaeck, Klaus, author.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN:1282448390
9781282448391
1451912919
9781451912913
1462369944
9781462369942
1452732957
9781452732954
9786613821584
6613821586
Notes:Includes bibliographical references (pages 38-40).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
Summary:The paper provides an empirical analysis of aggregate banking system ratios during systemic banking crises. Drawing upon a wide cross-country dataset, we utilize parametric and nonparametric tests to assess the power of these ratios to discriminate between sound and unsound banking systems. We also estimate a duration model to investigate whether the ratios help determine the timing of a banking crisis. Despite some weaknesses in the available data, our findings offer initial evidence that some indicators are precursors for the likelihood and timing of systemic banking problems. Nevertheless, we caution against sole reliance on these indicators and advocate supplementing them with other tools and techniques.
Other form:Print version: Čihák, Martin. How well do aggregate bank ratios identify banking problems?. [Washington, D.C.?] : International Monetary Fund, ©2007
Standard no.:10.5089/9781451912913.001
Table of Contents:
  • I. Introduction; II. Macroprudential Analysis and Financial Soundness Indicators; III. Survey of the Literature on Econometric Models for Banking Crises; Tables; 1. Significant Explanatory Variables in Selected Studies; IV. Review of the Data; A. Dataset; 2. Descriptive Statistics of the Banking Ratios in the Sample; 3. Banking Crises Commencing 1998 or Later; B. Behavior of Financial Soundness Indicators in Crises; Figures; 1. Regulatory Capital to Risk-Weighted Assets; 2. Capital to Assets; 3. Nonperforming Loans to Total Gross Loans.
  • 4. Nonperforming Loans Net of Provisions to Capital5. Return on Equity; 6. Crisis versus Noncrisis Countries; V. Econometric Analysis; A. Logit Regression Analysis; 4. Logit Regression Results; B. Duration Analysis; 5. Duration Analysis Results; C. Nonparametric Tests; 7. Type I/Type II Error for Capital Adequacy to Risk Weighted Assets; 8. Type I/Type II Error for Capital to Assets; 9. Type I/Type II Error for Nonperforming Loans to Total Gross Loans; 10. Type I/Type II Error for Nonperforming Loans Net of Provisions to Capital; 11. Return on Equity.
  • 12. Nonperforming Loans to Total Gross Loans vs. Capital Adequacy13. NPLs Net of Provisions to Capital vs. Capital Adequacy; VI. Conclusion; Appendices; I. Financial Soundness Indicators; II. Explanatory Variables; III. Country Composition of the Sample; References.

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