Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154191
Authors: 
Laina, Patrizio
Nyholm, Juho
Sarlin, Peter
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1758
Abstract: 
This paper investigates leading indicators of systemic banking crises in a panel of 11 EU countries, with a particular focus on Finland. We use quarterly data from 1980Q1 to 2013Q2, in order to create a large number of macro-financial indicators, as well as their various transformations. We make use of univariate signal extraction and multivariate logit analysis to assess what factors lead the occurrence of a crisis and with what horizon the indicators lead a crisis. We find that loans-to-deposits and house price growth are the best leading indicators. Growth rates and trend deviations of loan stock variables also yield useful signals of impending crises. While the optimal lead horizon is three years, indicators generally perform well with lead times ranging from one to four years. We also tap into unique long time-series of the Finnish economy to perform historical explorations into macro-financial vulnerabilities.
Subjects: 
banking crisis
Leading indicators
logit analysis
macro-financial indicators
signal extraction
JEL: 
E44
F30
G01
G15
C43
ISBN: 
978-92-899-1498-7
Document Type: 
Working Paper

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