메뉴 건너뛰기




Volumn 35, Issue 4, 2011, Pages 807-818

Forecasting the fragility of the banking and insurance sectors

Author keywords

Banking; Financial linkages; Financial stability; Insurances; Unobserved common factors

Indexed keywords


EID: 79951549872     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.10.024     Document Type: Article
Times cited : (32)

References (56)
  • 1
    • 44149089357 scopus 로고    scopus 로고
    • Flexible inflation targeting and financial stability: is it enough to stabilize inflation and output?
    • Akram Q.F., Eitrheim Ø. Flexible inflation targeting and financial stability: is it enough to stabilize inflation and output?. Journal of Banking and Finance 2008, 32:1242-1254.
    • (2008) Journal of Banking and Finance , vol.32 , pp. 1242-1254
    • Akram, Q.F.1    Eitrheim, Ø.2
  • 5
    • 30944464594 scopus 로고    scopus 로고
    • Reduced form versus structural models of credit risk: a case study of three models
    • Moody's KMV White Paper.
    • Arora, N., Bohn, J., Zhu, F., 2005. Reduced form versus structural models of credit risk: a case study of three models. Moody's KMV White Paper.
    • (2005)
    • Arora, N.1    Bohn, J.2    Zhu, F.3
  • 6
    • 0002093572 scopus 로고
    • The impact of initiating dividend payments on shareholders wealth
    • Asquith P., Mullins D. The impact of initiating dividend payments on shareholders wealth. Journal of Business 1983, 56:77-96.
    • (1983) Journal of Business , vol.56 , pp. 77-96
    • Asquith, P.1    Mullins, D.2
  • 7
    • 0033176839 scopus 로고    scopus 로고
    • Predicting currency crises: the indicator approach and an alternative
    • Berg A., Pattillo C. Predicting currency crises: the indicator approach and an alternative. Journal of International Money and Finance 1999, 18:561-586.
    • (1999) Journal of International Money and Finance , vol.18 , pp. 561-586
    • Berg, A.1    Pattillo, C.2
  • 8
    • 15544377383 scopus 로고    scopus 로고
    • Measuring the effect of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach
    • Bernanke B.S., Boivin J., Eliasz P. Measuring the effect of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 2005, 120:387-422.
    • (2005) Quarterly Journal of Economics , vol.120 , pp. 387-422
    • Bernanke, B.S.1    Boivin, J.2    Eliasz, P.3
  • 9
    • 39749084409 scopus 로고    scopus 로고
    • Forecasting default with the Merton distance to default model
    • Bharath S.T., Shumway T. Forecasting default with the Merton distance to default model. Review of Financial Studies 2008, 21:1339-1369.
    • (2008) Review of Financial Studies , vol.21 , pp. 1339-1369
    • Bharath, S.T.1    Shumway, T.2
  • 10
    • 2442456346 scopus 로고    scopus 로고
    • Cyclical patterns in profits, provisioning and lending of banks and procyclicality of the new Basel capital requirements
    • Bikker J.A., Hu H. Cyclical patterns in profits, provisioning and lending of banks and procyclicality of the new Basel capital requirements. BNL Quarterly Review 2002, 221:143-175.
    • (2002) BNL Quarterly Review , vol.221 , pp. 143-175
    • Bikker, J.A.1    Hu, H.2
  • 11
    • 85015692260 scopus 로고
    • The valuation of options and corporate liabilities
    • Black F., Scholes M. The valuation of options and corporate liabilities. Journal of Political Economy 1973, 81:637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 12
    • 84897079438 scopus 로고
    • The Lagrange multiplier test and its application to model specification in econometrics
    • Breusch T.S., Pagan A.R. The Lagrange multiplier test and its application to model specification in econometrics. Review of Economic Studies 1980, 47:239-253.
    • (1980) Review of Economic Studies , vol.47 , pp. 239-253
    • Breusch, T.S.1    Pagan, A.R.2
  • 14
    • 35748942416 scopus 로고    scopus 로고
    • An option-based approach to bank vulnerabilities in emerging markets
    • IMF Working paper 04/33.
    • Chan-Lau, J.A., Jobert, A., Kong, J., 2004. An option-based approach to bank vulnerabilities in emerging markets. IMF Working paper 04/33.
    • (2004)
    • Chan-Lau, J.A.1    Jobert, A.2    Kong, J.3
  • 15
    • 58049116628 scopus 로고    scopus 로고
    • The END: a new indicator of financial and nonfinancial corporate sector vulnerability
    • IMF Working paper 05/231.
    • Chan-Lau, J.A., Gravelle, T., 2005. The END: a new indicator of financial and nonfinancial corporate sector vulnerability. IMF Working paper 05/231.
    • (2005)
    • Chan-Lau, J.A.1    Gravelle, T.2
  • 17
    • 79951555453 scopus 로고    scopus 로고
    • How do central banks write on financial stability? IMF Working paper 06/133.
    • Cihák, M., 2006. How do central banks write on financial stability? IMF Working paper 06/133.
    • (2006)
    • Cihák, M.1
  • 20
    • 0347416071 scopus 로고    scopus 로고
    • The determinants of banking crises in developing and developed countries
    • IMF Staff Papers 45.
    • Demirgüç-Kunt, A., Detragiache, E., 1998. The determinants of banking crises in developing and developed countries. IMF Staff Papers 45.
    • (1998)
    • Demirgüç-Kunt, A.1    Detragiache, E.2
  • 21
    • 0344339036 scopus 로고    scopus 로고
    • Determinants of commercial bank interest margins and profitability: some international evidence
    • Demirgüç-Kunt A., Huizinger H. Determinants of commercial bank interest margins and profitability: some international evidence. World Bank Economic Review 1998, 13:379-408.
    • (1998) World Bank Economic Review , vol.13 , pp. 379-408
    • Demirgüç-Kunt, A.1    Huizinger, H.2
  • 22
    • 33947615128 scopus 로고    scopus 로고
    • The relevance of accounting data in the measurement of credit risk
    • Demirovic A., Thomas D.C. The relevance of accounting data in the measurement of credit risk. European Journal of Finance 2007, 13:253-268.
    • (2007) European Journal of Finance , vol.13 , pp. 253-268
    • Demirovic, A.1    Thomas, D.C.2
  • 23
    • 53649093540 scopus 로고    scopus 로고
    • Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components
    • De Mol C., Giannone D., Reichlin L. Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components. Journal of Econometrics 2008, 146:318-328.
    • (2008) Journal of Econometrics , vol.146 , pp. 318-328
    • De Mol, C.1    Giannone, D.2    Reichlin, L.3
  • 25
    • 77953539414 scopus 로고    scopus 로고
    • How resilient is the German banking system to macroeconomic shocks?
    • Dovern J., Meier C.-P., Vilsmeier J. How resilient is the German banking system to macroeconomic shocks?. Journal of Banking and Finance 2010, 34:1839-1848.
    • (2010) Journal of Banking and Finance , vol.34 , pp. 1839-1848
    • Dovern, J.1    Meier, C.-P.2    Vilsmeier, J.3
  • 26
    • 0037265313 scopus 로고    scopus 로고
    • Do indicators of financial crises work? An evaluation of an early warning system
    • Edison H.J. Do indicators of financial crises work? An evaluation of an early warning system. International Journal of Finance and Economics 2003, 8:11-53.
    • (2003) International Journal of Finance and Economics , vol.8 , pp. 11-53
    • Edison, H.J.1
  • 28
    • 34447138870 scopus 로고
    • Banking panics and business cycles
    • Gorton G. Banking panics and business cycles. Oxford Economic Papers 1988, 40:751-781.
    • (1988) Oxford Economic Papers , vol.40 , pp. 751-781
    • Gorton, G.1
  • 29
    • 0000109477 scopus 로고    scopus 로고
    • Economic and statistical measures of forecast accuracy
    • Granger C.W.J., Pesaran M.H. Economic and statistical measures of forecast accuracy. Journal of Forecasting 2000, 19:537-560.
    • (2000) Journal of Forecasting , vol.19 , pp. 537-560
    • Granger, C.W.J.1    Pesaran, M.H.2
  • 31
  • 32
    • 34547416683 scopus 로고    scopus 로고
    • Money market pressure and the determinants of banking crises
    • Hagen J., Ho T.-K. Money market pressure and the determinants of banking crises. Journal of Money, Credit, and Banking 2004, 39:1037-1066.
    • (2004) Journal of Money, Credit, and Banking , vol.39 , pp. 1037-1066
    • Hagen, J.1    Ho, T.-K.2
  • 34
    • 0039624712 scopus 로고    scopus 로고
    • The twin crises; the causes of banking and balance-of-payments problems
    • Kaminsky G.L., Reinhart C.M. The twin crises; the causes of banking and balance-of-payments problems. American Economic Review 1999, 89:473-500.
    • (1999) American Economic Review , vol.89 , pp. 473-500
    • Kaminsky, G.L.1    Reinhart, C.M.2
  • 36
    • 67349232797 scopus 로고    scopus 로고
    • The identification of technology regimes in banking: implications for the market power-fragility nexus
    • Koetter M., Poghosyan T. The identification of technology regimes in banking: implications for the market power-fragility nexus. Journal of Banking and Finance 2009, 33:1413-1422.
    • (2009) Journal of Banking and Finance , vol.33 , pp. 1413-1422
    • Koetter, M.1    Poghosyan, T.2
  • 37
    • 0000808665 scopus 로고
    • On the pricing of corporate debt: the risk structure of interest rates
    • Merton R.C. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 1974, 29:449-470.
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 38
    • 84993919451 scopus 로고
    • Price reactions to dividend initiations and omissions: overreaction or drift?
    • Michaely R., Thaler R.H., Womack K.L. Price reactions to dividend initiations and omissions: overreaction or drift?. Journal of Finance 1995, 50:573-608.
    • (1995) Journal of Finance , vol.50 , pp. 573-608
    • Michaely, R.1    Thaler, R.H.2    Womack, K.L.3
  • 39
    • 79951553238 scopus 로고    scopus 로고
    • Inter-industry linkages between UK life insurers and UK banks: an event study
    • Monks A., Stringa M. Inter-industry linkages between UK life insurers and UK banks: an event study. Bank of England Financial Stability Review 2005, 18:127-134.
    • (2005) Bank of England Financial Stability Review , vol.18 , pp. 127-134
    • Monks, A.1    Stringa, M.2
  • 40
    • 79951551536 scopus 로고    scopus 로고
    • Bank competition and international financial integration: evidence using a new index. HKIMR Working Paper 24.
    • Pasricha, G., 2009. Bank competition and international financial integration: evidence using a new index. HKIMR Working Paper 24.
    • (2009)
    • Pasricha, G.1
  • 41
    • 23044445565 scopus 로고    scopus 로고
    • General diagnostic tests for cross section dependence in panels
    • Cambridge Working Paper in Economics 0435.
    • Pesaran, M.H., 2004. General diagnostic tests for cross section dependence in panels. Cambridge Working Paper in Economics 0435.
    • (2004)
    • Pesaran, M.H.1
  • 42
    • 33745290412 scopus 로고    scopus 로고
    • Estimation and inference in large heterogeneous panels with a multifactor error structure
    • Pesaran M.H. Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 2006, 74:967-1012.
    • (2006) Econometrica , vol.74 , pp. 967-1012
    • Pesaran, M.H.1
  • 44
  • 46
    • 79951555311 scopus 로고    scopus 로고
    • Variable selection, estimation and inference for multi-period forecasting problems
    • DNB Working Paper 250.
    • Pesaran, M.H., Pick, A., Timmerman, A., 2010. Variable selection, estimation and inference for multi-period forecasting problems. DNB Working Paper 250.
    • (2010)
    • Pesaran, M.H.1    Pick, A.2    Timmerman, A.3
  • 47
    • 79951555363 scopus 로고    scopus 로고
    • Determinants of United Kingdom general insurance company performance
    • Shiu Y. Determinants of United Kingdom general insurance company performance. British Actuarial Journal 2004, 10:1079-1110.
    • (2004) British Actuarial Journal , vol.10 , pp. 1079-1110
    • Shiu, Y.1
  • 48
    • 0008104389 scopus 로고    scopus 로고
    • Forecasting bankruptcy more accurately: a simple hazard model
    • Shumway T. Forecasting bankruptcy more accurately: a simple hazard model. Journal of Business 2001, 74:101-124.
    • (2001) Journal of Business , vol.74 , pp. 101-124
    • Shumway, T.1
  • 49
    • 70350424932 scopus 로고    scopus 로고
    • Risk diversification by European financial conglomerates
    • Tinbergen Institute Discussion Paper 110/2.
    • Slijkerman, J.F., Schoenmaker, D., de Vries, C.G., 2005. Risk diversification by European financial conglomerates. Tinbergen Institute Discussion Paper 110/2.
    • (2005)
    • Slijkerman, J.F.1    Schoenmaker, D.2    De Vries, C.G.3
  • 50
  • 52
    • 75849138933 scopus 로고    scopus 로고
    • Market conditions, default risk and credit spreads
    • Tang D.Y., Yan H. Market conditions, default risk and credit spreads. Journal of Banking and Finance 2010, 34:743-753.
    • (2010) Journal of Banking and Finance , vol.34 , pp. 743-753
    • Tang, D.Y.1    Yan, H.2
  • 54
    • 64049110679 scopus 로고    scopus 로고
    • Consolidation in banking and financial stability in Europe: empirical evidence
    • Uhde A., Heimeshoff U. Consolidation in banking and financial stability in Europe: empirical evidence. Journal of Banking and Finance 2009, 33:1299-1311.
    • (2009) Journal of Banking and Finance , vol.33 , pp. 1299-1311
    • Uhde, A.1    Heimeshoff, U.2
  • 55
    • 1842663087 scopus 로고    scopus 로고
    • Default risk in equity returns
    • Vassalou M., Xing Y. Default risk in equity returns. Journal of Finance 2004, 59:831-868.
    • (2004) Journal of Finance , vol.59 , pp. 831-868
    • Vassalou, M.1    Xing, Y.2
  • 56
    • 0001953906 scopus 로고
    • Methodological issues related to the estimation of financial distress prediction models
    • Zmijewski M.E. Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting Research 1984, 22:59-82.
    • (1984) Journal of Accounting Research , vol.22 , pp. 59-82
    • Zmijewski, M.E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.