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Modeling the stability dynamics of Ukrainian banking system

Author

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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.

Suggested Citation

  • Kozmenko, Olha & Kuzmenko, Olha, 2013. "Modeling the stability dynamics of Ukrainian banking system," MPRA Paper 50841, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:50841
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    File URL: https://mpra.ub.uni-muenchen.de/50841/1/MPRA_paper_50841.pdf
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    References listed on IDEAS

    as
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    6. Mishkin, Frederic S, 1992. "Anatomy of a Financial Crisis," Journal of Evolutionary Economics, Springer, vol. 2(2), pages 115-130, August.
    7. Joseph Altonji & Fumio Hayashi & Laurence J. Kotlikoff, 1991. "Risk-sharing, altruism, and the factor structure of consumption," Discussion Paper / Institute for Empirical Macroeconomics 48, Federal Reserve Bank of Minneapolis.
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    Cited by:

    1. Gulati, Rachita & Singh, Nirmal & Kumar, Sunil & Duppati, Geeta, 2023. "Bank stability in the Indian subcontinent region: Evolution and determinants," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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