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The time profile of risk in banking crises: evidence from Scandinavian banking sectors

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  • Ari Hyytinen
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    Abstract

    The purpose of this study is to characterize and document the historical time profile of risk in the Scandinavian banking sectors in the truly turbulent economic environment of the past decade, namely over the overlapping periods of financial liberalization, intensified competition, changing macroeconomic conditions and banking crisis. Of particular interest is whether, when and how the risk of banks evolved as the banking crisis unfolded in each Scandinavian country. Three modern econometric methods are used that allow for time-varying risk parameters in the standard one-factor market model. The main finding is that the state of and developments within the banking industry were not reflected in the sample path of the risk parameters until the damage had been done and the severe problems afflicting banks began to realize in full.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010021746
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 12 (2002)
    Issue (Month): 9 ()
    Pages: 613-623

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    Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:613-623

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    Cited by:
    1. Olga Bohachova, 2008. "The Impact of Macroeconomic Factors on Risks in the Banking Sector: A Cross-Country Empirical Assessment," IAW Discussion Papers 44, Institut für Angewandte Wirtschaftsforschung (IAW).
    2. Hyytinen, Ari & Takalo, Tuomas, 2003. "Preventing systemic crises through bank transparency," Research Discussion Papers 25/2003, Bank of Finland.
    3. R. Vander Vennet & O. De Jonghe & L. Baele, 2004. "Bank risks and the business cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/264, Ghent University, Faculty of Economics and Business Administration.
    4. Claudia M. Buch & Gayle L. DeLong & Katja Neugebauer, 2007. "International Banking and the Allocation of Risk," IAW Discussion Papers 32, Institut für Angewandte Wirtschaftsforschung (IAW).

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