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Bank Failure Risk: Different Now?

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  • Sherrill Shaffer

Abstract

Motivated by the debate over similarities between the current and previous financial crises, logit estimates reveal significantly changed linkages between observable financial ratios and probabilities of subsequent bank failure using U.S. data from the 1980s and 2008.

Suggested Citation

  • Sherrill Shaffer, 2012. "Bank Failure Risk: Different Now?," CAMA Working Papers 2012-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle: RePEc:een:camaaa:2012-23
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2017-02/23_shaffer_2012.pdf
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    References listed on IDEAS

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    1. Cole, Rebel A. & Gunther, Jeffery W., 1995. "Separating the likelihood and timing of bank failure," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1073-1089, September.
    2. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 1," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 79-81 National Bureau of Economic Research, Inc.
    3. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 1065-1188, November.
    4. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 4," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 295-297 National Bureau of Economic Research, Inc.
    5. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Varieties of Crises and Their Dates," Introductory Chapters,in: This Time Is Different: Eight Centuries of Financial Folly Princeton University Press.
    6. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 3," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 247-249 National Bureau of Economic Research, Inc.
    7. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 5," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 377-379 National Bureau of Economic Research, Inc.
    8. Arena, Marco, 2008. "Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 299-310, February.
    9. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 2," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 165-167 National Bureau of Economic Research, Inc.
    10. DeYoung, Robert, 2003. " De Novo Bank Exit," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(5), pages 711-728, October.
    11. Rebel A. Cole & Jeffery W. Gunther, 1995. "FIMS: a new monitoring system for banking institutions," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jan, pages 1-15.
    12. Gary Whalen, 1991. "A proportional hazards model of bank failure: an examination of its usefulness as an early warning tool," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 21-31.
    13. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 6," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 471-473 National Bureau of Economic Research, Inc.
    14. Reinhart, Carmen & Reinhart, Vincent, 2008. "Is the US too big to fail?," MPRA Paper 12976, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Gerhard Hambusch & Sherrill Shaffer, 2012. "Forecasting Bank Leverage," Working Paper Series 176, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. repec:taf:apeclt:v:24:y:2017:i:7:p:498-501 is not listed on IDEAS
    3. Doug Dyer & Majdi Quttainah & Pengfei Ye, 2015. "Privatization, intermediation and performance: global evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 207-229, December.
    4. Gerhard Hambusch & Sherrill Shaffer, 2016. "Forecasting bank leverage: an alternative to regulatory early warning models," Journal of Regulatory Economics, Springer, vol. 50(1), pages 38-69, August.
    5. Krause, Thomas & Sondershaus, Talina & Tonzer, Lena, 2017. "Complexity and bank risk during the financial crisis," Economics Letters, Elsevier, vol. 150(C), pages 118-121.
    6. Felix Noth & Lena Tonzer, 2017. "Bank risk proxies and the crisis of 2007/09: a comparison," Applied Economics Letters, Taylor & Francis Journals, vol. 24(7), pages 498-501, April.
    7. Chernykh, Lucy & Cole, Rebel A., 2015. "How should we measure bank capital adequacy for triggering Prompt Corrective Action? A (simple) proposal," Journal of Financial Stability, Elsevier, vol. 20(C), pages 131-143.
    8. repec:bla:apacel:v:31:y:2017:i:1:p:53-65 is not listed on IDEAS

    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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