Early Warning Indicators for the German Banking System: A Macroprudential Analysis
In this paper, we introduce a continuous and forward-looking stability indicator for the banking system based on information on all financial institutions in Germany between 1995 and 2010. Explaining this indicator by means of panel regression techniques, we identify significant macroprudential early warning indicators (such as asset price indicators, leading indicators for the business cycle and monetary indicators) and spillover effects. International spillovers play a significant role across all banking sectors, whereas regional spillovers and the credit-to- GDP ratio are more important for cooperative banks and less relevant for commercial banks.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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.:
- 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.
- 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.
- Asli DemirgÃ¼Ã§-Kunt & Enrica Detragiache, 2005. "Cross-Country Empirical Studies of Systemic Bank Distress: A Survey," IMF Working Papers 05/96, International Monetary Fund.
- Ho, Tai-Kuang & von Hagen, Jürgen, 2004.
"Money Market Pressure and the Determinants of Banking Crises,"
CEPR Discussion Papers
4651, C.E.P.R. Discussion Papers.
- Jürgen Von Hagen & Tai-Kuang Ho, 2007. "Money Market Pressure and the Determinants of Banking Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1037-1066, 08.
- von Hagen, Jürgen & Ho, Tai-kuang, 2004. "Money market pressure and the determinants of baning crises," ZEI Working Papers B 20-2004, ZEI - Center for European Integration Studies, University of Bonn.
- Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013.
"Risk, uncertainty and monetary policy,"
Working Paper Series
1565, European Central Bank.
- Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2010. "Risk, Uncertainty and Monetary Policy," NBER Working Papers 16397, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2010. "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers 8154, C.E.P.R. Discussion Papers.
- Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2012. "Risk, uncertainty and monetary policy," Working Paper Research 229, National Bank of Belgium.
- Koetter, Michael & Kick, Thomas, 2007.
"Slippery slopes of stress: ordered failure events in German banking,"
Discussion Paper Series 2: Banking and Financial Studies
2007,03, Deutsche Bundesbank, Research Centre.
- Kick, Thomas & Koetter, Michael, 2007. "Slippery slopes of stress: Ordered failure events in German banking," Journal of Financial Stability, Elsevier, vol. 3(2), pages 132-148, July.
- Stefano Puddu, 2013. "Optimal Weights and Stress Banking Indexes," IRENE Working Papers 13-02, IRENE Institute of Economic Research.
- Behr, Andreas & Kamp, Andreas & Memmel, Christoph & Pfingsten, Andreas, 2007. "Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks," Discussion Paper Series 2: Banking and Financial Studies 2007,05, Deutsche Bundesbank, Research Centre.
- Miroslav Misina & Greg Tkacz, 2008. "Credit, Asset Prices, and Financial Stress in Canada," Working Papers 08-10, Bank of Canada.
- Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
- Koetter, Michael & Poghosyan, Tigran, 2008. "Real estate markets and bank distress," Discussion Paper Series 2: Banking and Financial Studies 2008,18, Deutsche Bundesbank, Research Centre.
- 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.
- Miguel A. Segoviano & Charles Goodhart, 2009. "Banking stability measures," LSE Research Online Documents on Economics 24416, London School of Economics and Political Science, LSE Library.
- Fichtner, Ferdinand & Rüffer, Rasmus & Schnatz, Bernd, 2009. "Leading indicators in a globalised world," Working Paper Series 1125, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:kuk:journl:v:47:y:2014:i:1:p:5-47. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Credit and Capital Markets)
If references are entirely missing, you can add them using this form.