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Modeling the stability dynamics of Ukrainian banking system

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  • Kozmenko, Olha
  • Kuzmenko, Olha

Abstract

The article is stressed on the stability indicator of the banking system as binary variable, which takes a single value in unstable condition and non-zero value otherwise. It is offered to explore stability dynamics of Ukrainian banking system as time series, suggested to perform stability indicator on the basis of stationary time series verification by adaptation of the Forster-Stewart method to the peculiarities of the research subject. In the article it is relevant to identify the main factors of stability indicator formation, realize decomposition of a system - forming components of the variable to be explained on the base of autoregression trend-seasonal additive or multiplicative models.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 50841.

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Date of creation: 01 Aug 2013
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Publication status: Published in Banks and Bank Systems 2.8(2013): pp. 55-62
Handle: RePEc:pra:mprapa:50841

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Keywords: stability index of the banking system; stability dynamics; time series; decomposition analysis; regression analysis.;

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  1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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  3. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  4. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  5. Fumio Hayashi & Joseph Altonji & Laurence Kotlikoff, 1991. "Risk-Sharing, Altruism, and the Factor Structure of Consumption," NBER Working Papers 3834, National Bureau of Economic Research, Inc.
  6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  7. Keuzenkamp, Hugo A. & Magnus, Jan R., 1995. "On tests and significance in econometrics," Journal of Econometrics, Elsevier, vol. 67(1), pages 5-24, May.
  8. Keuzenkamp, H.A. & Magnus, J.R., 1995. "On tests and significance in econometrics," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153236, Tilburg University.
  9. Yehning Chen, 1999. "Banking Panics: The Role of the First-Come, First-Served Rule and Information Externalities," Journal of Political Economy, University of Chicago Press, vol. 107(5), pages 946-968, October.
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