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Title: Bank regulation, property prices and early warning systems for banking crises in OECD countries
Authors: Barrell, R
Davis, EP
Karim, D
Liadze, I
Keywords: Banking crises;Systemic risk;Early warning systems;Logit estimation;Bank regulation;Capital adequacy;Liquidity regulation
Issue Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 09-28
Abstract: Early warning systems (EWS) for banking crises generally omit bank capital, bank liquidity and property prices. Most work on EWS has been for global samples dominated by emerging market crises where time series data on bank capital adequacy and property prices are typically absent. We estimate logit crisis models for OECD countries, finding strong effects from capital adequacy and liquidity ratios as well as property prices, and can exclude traditional variables. Higher capital adequacy and liquidity ratios have a marked effect on the crisis probabilities, implying long run benefits to offset some of the costs that such regulations may impose.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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