Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/191467
Authors: 
Year of Publication: 
2013
Series/Report no.: 
IRENE Working Paper No. 13-02
Publisher: 
University of Neuchâtel, Institute of Economic Research (IRENE), Neuchâtel
Abstract: 
The goal of this paper is to provide alternative approaches to generate indexes in order to assess banking distress. Specifically, we focus on two groups of indexes that are based on the signalling approach and on the zero in ated Poisson models. The results show that the indexes based on these approaches perform better than those constructed by using the variance-equal and the factor analysis methods. Specifically, they are better at capturing relevant events, signalling distress episodes and forecasting properties. The importance of this study is two-fold: first, we contribute extra information that can be useful for forecasting banking system soundness in the aim of preventing future financial crises; second we provide alternative methods for measuring banking distress.
Subjects: 
Stress-banking indexes
Signalling approach
Limited dependent variable methods
JEL: 
C16
C25
G21
G33
G34
Document Type: 
Working Paper

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