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

Journal of Banking and Finance

Volumn 35, Issue 2, 2011, Pages 310-322

  Festić, Mejra ^a,b   Kavkler, Alenka ^a,b   Repina, Sebastijan ^b  

^a UNIVERSITY OF MARIBOR   (Slovenia)

^b EIPF   (Slovenia)

Author keywords

Cyclicality; Economic growth; Loan portfolio; Non performing loans; Systemic risk

Indexed keywords

EID: 79951552155     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.08.007     Document Type: Article

References (43)

1. Aloui, R., Aïssa, M.S.B., Nguyen, D.K., 2010. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? Journal of Banking and Finance. (7.8.10). http://www.citeulike.org/journal/els-03784266.
2. Ådahl M. Banking in the Baltics - the development of the banking systems of Estonia, Latvia and Lithuania since independence: The internationalization of Baltic banking 1998-2002 2006, Österreichische Nationalbank, Vienna.
3. Arpa, M., Giulini, I., Ittner, A., Pauer, F., 2001. The influence of macroeconomic developments on Austrian banks: Implications for banking supervision. Bank for International Settlements, BIS Paper, No. 1/2001: Basel.
4. Babihuga, R., 2007. Macroeconomic and financial soundness indicators: An empirical investigation. IMF Working Paper, No. 07/115: Washington.
5. Babouček, I., Jančar, M., 2005. A VAR analysis of the effects to macroeconomic shocks to the quality of the aggregate loan portfolio of the Czech banking sector. Working Paper Series, No. 1/2005, the Czech National Bank, Prague.
6. BACA, 2009. Bank Austria Creditanstalt - Uni Credit Group. Internal Data Base.
7. Backé P., Wójcik C. Credit booms, monetary integration and the new neoclassical synthesis. Journal of Banking and Finance 2008, 32(3):458-470.
8. Berglöf E., Roland G. Bank restructuring and soft budget constraints in financial transition. Journal of the Japanese and the International Economies 1995, 9(4):354-375.
9. Berger A.N., Demirguc-Kunt R., Levine R., Haubrich J.G. Bank concentration and competition: An evaluation in the making. Journal of Money, Credit and Banking 2004, 36(3):433-451.
10. Blaschke, W., Jones, M., 2001. Stress testing of financial systems: An overview of issues, methodologies and FSAP experiences. IMF Working Paper, No. 01/88, Washington.
11. Borio, C., Lowe, P., 2002. Asset prices, financial and monetary stability: Exploring the nexus. BIS Working Papers, No. 114, Bank for International Settlements, Basel.
12. Calvo A.G., Mendoza E. Contagion, globalization and the volatility of capital flows. Capital Flows and Emerging Economies 2000, University of Chicago Press, Chicago. S. Edwards (Ed.).
13. Cragg J.G., Donald S.G. Testing identifiability and specification in instrumental variable models. Econometric Theory 1993, 9:222-240.
14. Čihák M., Heřmánek J., Hlaváček M. New approaches to the stress testing of the Czech banking sector. Czech Journal of Economics and Finance (Finance aúvěr) 2007, 10(2):41-59.
15. Dell'Ariccia G., Marquez R.S. Lending booms and lending standards. Journal of Finance 2006, 61:1045-1066.
16. De Nicolo G., Geadah S., Rozhkov D. Bridging the great divide: Poorly developed financial systems in the CIS-7 countries may jeopardize their sustained growth. Finance and Development 2003, 40(4):42-45.
17. EIPF, 2009. Economic Institute of the Law School. Internal Data Base.
18. Ferreira C. The banking sector, economic growth and EU integration. Journal of Economic Studies 2008, 35(6):512-527.
19. Fofack, H., 2005. Non-performing loans in Sub-Saharan Africa: Causal analysis and macroeconomic implications. Policy Research Working Paper, No. 3769, World Bank, Washington.
20. Gambera, M., 2000. Simple forecasts of bank loan quality in the business cycle. Emerging Issue Series, No. 3, Federal Reserve Bank of Chicago, Chicago.
21. Gerlach, S., Peng, W., Shu, C., 2005. Macroeconomic conditions and banking performance in Hong Kong SAR: A panel data study. BIS Papers, No. 22, Bank for International Settlements, Basel.
22. Gropp, R., Vesala, J., Vulpes, G., 2002. Equity and bond market signals as leading indicators of bank fragility. ECB Working Paper, No. 150, European Central Bank, Frankfurt.
23. Hahn J., Hausman J.A. A new specification test for the validity instrumental variables. Econometrica 2002, 70(1):163-189.
24. Hausman J.A. Specification test in econometrics. Econometrica 1978, 46(3):1251-1272.
25. Hoggarth G., Sorensen S., Zicchino L. Stress tests of UK banks using a VAR approach. Bank of England Quarterly Bulletin 2005, 45(4):478.
26. Jakubík P. Macroeconomic environment and credit risk. Czech Journal of Economics and Finance (Finance aúvěr) 2007, 10(1):133-166.
27. Kaminsky G., Reinhart M.C. The twin crises: The causes of banking and balance of payments problems. American Economic Review 1999, 89:473-500.
28. Kiss, G., Nagy, M., Vonnak, B., 2006. Credit growth in Central and Eastern Europe: Trend, cycle or boom? Working Papers, No. 2006/10, Hungarian National Bank, Budapest.
29. Kleibergen F., Paap R. Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics 2006, 133(1):97-126.
30. Kleibergen, F., Schaffer, M.E., 2007. Ranktest: Stata module for testing the rank of a matrix using the Kleibergen-Paap rk statistic. (15.02.10). http://ideas.repec.org/c/boc/bocode/s456865.html.
31. Koivu, T., 2002. Banking and finance in the Baltic countries. Institute for Economies in Transition, BOFIT, No. 11/2002, Bank of Finland, Helsinki.
32. Lütkepohl, H., Xu, F., 2009. The role of log transformation in forecasting economic variables. CESifo Working Paper, No. 2591, Center for Economic Studies, München.
33. Männasoo K., Mayes D.G. Explaining bank distress in Eastern European transition economies. Journal of Banking and Finance 2009, 33:244-253.
34. Murray M.P. Avoiding invalid instruments and coping with weak instruments. Journal of Economic Perspectives 2006, 20(4):111-132.
35. Pang J., Wu H. Financial markets, financial dependence, and the allocation of capital. Journal of Banking and Finance 2009, 33:810-818.
36. Podpiera, R., 2006. Does compliance with Basel Core Principles bring any measurable benefits? IMF Staff Papers 53, 2, 306-325, International Monetary Fund, Washington.
37. Quagliariello, M., 2003. Are macroeconomic indicators useful in predicting bank loan quality: Evidence from Italy. Bank of Italy, Rome.
38. Schinasi, J.G., 2005. Preserving financial stability. IMF Economic Issues, No. 36/2005, International Monetary Fund, Washington.
39. Sirtaine, S., Skamnelos, I., 2007. Credit growth in emerging Europe: A cause for stability concerns? Policy Research Working Paper Series, No. 4281/2007, World Bank, Washington.
40. Staiger D., Stock J.H. Instrumental variables regression with weak instruments. Econometrica 1997, 65(3):557-586.
41. Stock J.H., Yogo M. Testing for weak instruments in linear IV regressions. Identification and Inference for Econometric Models 2005, Cambridge University Press, Cambridge. K.D.W. Andrews, J.H. Stock (Eds.).
42. Uhde A., Heimeshoff U. Consolidation in banking and financial stability in Europe: Empirical evidence. Journal of Banking and Finance 2009, 33(2):1299-1311.
43. Zeman, J., Jurča, P., 2008. Macro stress testing of the Slovak banking sector. Working Paper, No. 1/2008, Slovak National Bank, Bratislava.