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An Analysis of the Determinants of Systemic Banking Crises in Southeast European Countries

Author

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  • Željka Asanović

    (Central Bank of Montenegro, Podgorica, Montenegro)

Abstract

The purpose of this paper is to determine potential indicators of systemic banking crises in five Southeast European countries. Although signal horizon in the literature usually implies a period of 12 months before and 12 months after a crisis outbreak, models in this paper imply a 24-month pre-crisis period. Probability of a banking crisis occurrence is calculated using logit regression. Results have shown that banking system indicators have higher impact on probability of systemic banking crisis occurrence compared to macroeconomic indicators, and that the banking systems of these countries are significantly exposed to global trends.

Suggested Citation

  • Željka Asanović, 2018. "An Analysis of the Determinants of Systemic Banking Crises in Southeast European Countries," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(2), pages 165-186.
    • Handle: RePEc:cbk:journl:v:7:y:2018:i:2:p:165-186
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    Citations

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    Cited by:

    1. Miora Rakotonirainy & Jean Razafindravonona & Christian Rasolomanana, 2020. "Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 199-218.
    2. Kemal Kozarić & Emina Žunić Dželihodžić, 2020. "Effects of Macroeconomic Environment on Non-Performing Loans and Financial Stability: Case of Bosnia and Herzegovina," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 5-17.
    3. Veton Zeqiraj & Flamur Mrasori & Omer Iskenderoglu & Kazi Sohag, 2021. "Dynamic Impact of Banking Performance on Financial Stability: Fresh Evidence from Southeastern Europe," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(1), pages 165-181.

    More about this item

    Keywords

    determinants of systemic banking crises; logit regression; Southeast European countries;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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