IDEAS home Printed from https://ideas.repec.org/a/diw/diwwob/85-12-3.html
   My bibliography  Save this article

Berücksichtigung des Teufelskreises zwischen Banken und Staaten verbessert Prognose von Kreditrisiken

Author

Listed:
  • Martin Bruns
  • Malte Rieth
  • Ben Schumann

Abstract

Bestehende Frühwarnsysteme für wirtschaftliche Krisen haben die Auswirkungen des Teufelskreises zwischen Banken und Staaten auf die Finanzstabilität nicht erkannt. Der vor-liegende Beitrag stellt ein neues Prognosemodell für Kredit-risiken im Banken- und Staatssektor vor, das die gegenseitigen Abhängigkeiten zwischen beiden Sektoren berücksichtigt. Dadurch verbessert sich die Genauigkeit der Vorhersage von Kreditrisiken deutlich. Die Schätzergebnisse weisen darauf hin, dass die finanzielle Widerstandsfähigkeit von Banken und Staaten eng miteinander verknüpft ist. Weitere institutionelle und regulatorische Maßnahmen zur Entflechtung beider Sektoren würden die Wahrscheinlichkeit von gemeinsamen Kreditereignissen reduzieren.

Suggested Citation

  • Martin Bruns & Malte Rieth & Ben Schumann, 2018. "Berücksichtigung des Teufelskreises zwischen Banken und Staaten verbessert Prognose von Kreditrisiken," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 85(12), pages 253-260.
    • Handle: RePEc:diw:diwwob:85-12-3
    as

    Download full text from publisher

    File URL: https://www.diw.de/documents/publikationen/73/diw_01.c.581006.de/18-12-3.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Banks; sovereigns; CDS spreads; forecasting; common correlated effects;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:diw:diwwob:85-12-3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bibliothek (email available below). General contact details of provider: https://edirc.repec.org/data/diwbede.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.