Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe
AbstractA reduced-form model including nonlinearities is estimated from pooled data from nine European countries during 1982-2004 to show the effects of macroeconomic shocks and financial fragility on bank loan losses. The main ingredients of the model are unanticipated-output and interest-rate shocks estimated from published macroeconomic and naïve forecasts. The model fits the data well, capturing the extremely high levels of loan losses witnessed in different financial crises.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 35 (2011)
Issue (Month): 11 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jbf
Financial fragility Macroeconomic shock Joint effect Loan loss;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Foos, Daniel & Norden, Lars & Weber, Martin, 2010. "Loan growth and riskiness of banks," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2929-2940, December.
- Bernanke, Ben S, 1983.
"Nonmonetary Effects of the Financial Crisis in Propagation of the Great Depression,"
American Economic Review,
American Economic Association, vol. 73(3), pages 257-76, June.
- Ben S. Bernanke, 1983. "Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression," NBER Working Papers 1054, National Bureau of Economic Research, Inc.
- Jacob A. Bikker & Paul A.J. Metzemakers, 2003.
"Bank Provisioning Behaviour and Procyclicality,"
DNB Staff Reports (discontinued)
111, Netherlands Central Bank.
- Bikker, J.A. & Metzemakers, P.A.J., 2005. "Bank provisioning behaviour and procyclicality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 141-157, April.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, .
"Macroeconomic Dynamics and Credit Risk: A Global Perspective,"
Center for Financial Institutions Working Papers
03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
- Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series 995, CESifo Group Munich.
- Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
- Asli DemirgÃ¼Ã§-Kunt & Enrica Detragiache, 2005.
"Cross-Country Empirical Studies of Systemic Bank Distress: A Survey,"
National Institute Economic Review,
National Institute of Economic and Social Research, vol. 192(1), pages 68-83, April.
- Asli DemirgÃ¼Ã§-Kunt & Enrica Detragiache, 2005. "Cross-Country Empirical Studies of Systemic Bank Distress: A Survey," IMF Working Papers 05/96, International Monetary Fund.
- Demirguc-Kunt, Asli & Detragiache, Enrica, 2005. "Cross-country empirical studies of systemic bank distress : a survey," Policy Research Working Paper Series 3719, The World Bank.
- Dale F. Gray; & Robert C. Merton & Zvi Bodie, 2009.
"New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability,"
Working Papers Central Bank of Chile
541, Central Bank of Chile.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008.
"Banking Crises: An Equal Opportunity Menace,"
NBER Working Papers
14587, National Bureau of Economic Research, Inc.
- De Graeve, F. & Kick, T. & Koetter, M., 2008. "Monetary policy and financial (in)stability: An integrated micro-macro approach," Journal of Financial Stability, Elsevier, vol. 4(3), pages 205-231, September.
- Giovanni Dell'Ariccia & Raghuram Rajan & Enrica Detragiache, 2005.
"The Real Effect of Banking Crises,"
IMF Working Papers
05/63, International Monetary Fund.
- Jan Willem van den End & Marco Hoeberichts & Mostafa Tabbae, 2006. "Modelling Scenario Analysis and Macro Stress-testing," DNB Working Papers 119, Netherlands Central Bank, Research Department.
- Bastos, João A., 2010.
"Forecasting bank loans loss-given-default,"
Journal of Banking & Finance,
Elsevier, vol. 34(10), pages 2510-2517, October.
- Hans Gersbach & Alexander Lipponer, 2003. "Firm Defaults and the Correlation Effect," European Financial Management, European Financial Management Association, vol. 9(3), pages 361-378.
- Goetz von Peter, 2004.
"Asset prices and banking distress: a macroeconomic approach,"
BIS Working Papers
167, Bank for International Settlements.
- von Peter, Goetz, 2009. "Asset prices and banking distress: A macroeconomic approach," Journal of Financial Stability, Elsevier, vol. 5(3), pages 298-319, September.
- Kiyotaki, Nobuhiro & Moore, John, 1997.
Journal of Political Economy,
University of Chicago Press, vol. 105(2), pages 211-48, April.
- Nobuhiro Kiyotaki & John Moore, 1995. "Credit Cycles," NBER Working Papers 5083, National Bureau of Economic Research, Inc.
- John Moore & Nobuhiro Kiyotaki, . "Credit Cycles," Discussion Papers 1995-5, Edinburgh School of Economics, University of Edinburgh.
- Ryo Kato, 2003. "Matlab code for Kiyotaki-Moore credit cycles," QM&RBC Codes 113, Quantitative Macroeconomics & Real Business Cycles.
- Blank, Sven & Dovern, Jonas, 2009.
"What macroeconomic shocks affect the German banking system? Analysis in an integrated micro-macro model,"
Discussion Paper Series 2: Banking and Financial Studies
2009,15, Deutsche Bundesbank, Research Centre.
- Sven Blank & Jonas Dovern, 2010. "What macroeconomic shocks affect the German banking system?: Analysis in an integrated micro-macro model," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 2(2), pages 126-148, June.
- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
- Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
- Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
If references are entirely missing, you can add them using this form.