We tested the reliability of different versions of the Z-score and CAMELS-based financial strength indices (aggregated from bank-level data) in detecting periods of banking crisis on a sample of 20 Central, Eastern, and Southeastern European (CESEE) countries during 1995â2014. We demonstrated that the predictive power of both types of accounting-based measures is weak. Our results cast some doubt on their usefulness in academic research and in the macroprudential monitoring framework for emerging economies. Thus, there is a need to strengthen the informational content of accounting data through more frequent and higher-quality data disclosures, including exposures allowing for analysis of interconnectedness and network effects for systemic banking risk monitoring
Bongini, P., Iwanicz-Drozdowska, M., Smaga, P., & Witkowski, B. (2018). In search of a measure of banking sector distress: empirical study of CESEE banking sectors. RISK MANAGEMENT, 20(3), 242-257 [10.1057/s41283-017-0031-y].
Citazione: | Bongini, P., Iwanicz-Drozdowska, M., Smaga, P., & Witkowski, B. (2018). In search of a measure of banking sector distress: empirical study of CESEE banking sectors. RISK MANAGEMENT, 20(3), 242-257 [10.1057/s41283-017-0031-y]. | |
Tipo: | Articolo in rivista - Articolo scientifico | |
Carattere della pubblicazione: | Scientifica | |
Presenza di un coautore afferente ad Istituzioni straniere: | Si | |
Titolo: | In search of a measure of banking sector distress: empirical study of CESEE banking sectors | |
Autori: | Bongini, P; Iwanicz-Drozdowska, M; Smaga, P; Witkowski, B | |
Autori: | ||
Data di pubblicazione: | 2018 | |
Lingua: | English | |
Rivista: | RISK MANAGEMENT | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1057/s41283-017-0031-y | |
Appare nelle tipologie: | 01 - Articolo su rivista |
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Bongini2018_Article_InSearchOfAMeasureOfBankingSec.pdf | Publisher's version | Administrator Richiedi una copia | ||
2017RM000543_paper_revised (1).pdf | Postprint | Open Access Visualizza/Apri |